12 citations · 32 across the 31 of their papers we have counts for
4 papers · 1 filter
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of -Divergences Approach to Combat Tail Uncertainty
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog +1
Risk measures, which typically evaluate the impact of extreme losses, are highly sensitive to misspecification in the tails. This paper studies a robust optimization approach to co…
Spatiotemporal Hawkes processes with a graphon-induced connectivity structure
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce a spatiotemporal self-exciting point process , boundedly finite both over time and space , with excitation structure determined by a…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…
On Geometrically Convex Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As rec…