R.j.a. Laeven

Biography

Prof. dr. Roger J. A. Laeven (1979) has been Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam, since 2011. He is the Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM). He serves as Editor of Insurance: Mathematics and Economics. He has been a part-time Professor in Quantitative Risk Management at KU Leuven since 2016. Roger holds an MSc (Fields: Actuarial Science and Econometrics, With highest honors) and a PhD (Fields: Actuarial Science and Econometrics, With highest honors), both from the University of Amsterdam. In 2004, he was a visiting research fellow at the London School of Economics, Department of Statistics, and from 2007-date he is a visiting research fellow at Princeton University, Bendheim Center for Finance. From 2001-2005, he was a part-time consultant for Mercer Oliver Wyman, and from 2007-2011, he was a tenured Associate Professor at Tilburg University.

Research Interest

Roger's research spans Probability and Mathematical Statistics, (Micro) Economic Theory, Actuarial Science and Quantitative Finance and has appeared in the top academic journals in all these fields. His areas of specialization include decision under uncertainty, (axiomatization and aggregation of) risk measures, modeling of stochastic dependence and semi-martingale theory; and their ramifications in insurance and finance, such as economic capital allocation, valuation in incomplete markets and multivariate asset pricing.