12 citations · 32 across the 31 of their papers we have counts for
6 papers · 1 filter
A Rank-Dependent Theory for Decision under Risk and Ambiguity
Roger J. A. Laeven, Mitja Stadje
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation on the space of random v…
Optimal Stopping with Randomly Arriving Stopping Opportunities
Josha A. Dekker, Roger J. A. Laeven, John G. M. Schoenmakers +1
We develop simulation-based methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in a wide variety of a…
Law-Invariant Return and Star-Shaped Risk Measures
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and s…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
Delayed Hawkes birth-death processes
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not incre…
Elicitability of Return Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we…