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The probability premium : a graphical representation

Eeckhoudt, Louis R.; Laeven, Roger J. A. - In: Economics letters 136 (2015), pp. 39-41

Persistent link: https://www.econbiz.de/10011435791

Robust portfolio choice and indifference valuation

Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141

Persistent link: https://www.econbiz.de/10010462159

Dynamic consumption and portfolio choice under prospect theory

Bilsen, Servaas van; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 91 (2020), pp. 224-237

Persistent link: https://www.econbiz.de/10012242015

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Robust return risk measures

Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10011963258

Expected utility and catastrophic risk in a stochastic economy-climate model

Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; … - 2010

Persistent link: https://www.econbiz.de/10008748390

Burr utility

Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; … - 2010

Persistent link: https://www.econbiz.de/10003992254

Editorial to the special issue on behavioral insurance : mathematics and economics

Laeven, Roger J. A.; Milevsky, Moshe Arye; Scherer, Matthias - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10012793905

Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level

van Bilsen, Servaas - 2017

We explicitly derive and explore the optimal consumption and portfolio policies of a loss- averse individual who endogenously updates his reference level over time. We find that he protects his current consumption by delaying painful reductions in consumption after a drop in wealth, and...

Persistent link: https://www.econbiz.de/10012972365

Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level

van Bilsen, Servaas - 2017

We explicitly derive and explore the optimal consumption and portfolio policies of a loss-averse individual who endogenously updates his reference level over time. We find that he protects his current consumption by delaying painful reductions in consumption after a drop in wealth, and...

Persistent link: https://www.econbiz.de/10012972448