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Faculty of Actuarial Science and Insurance - Roger Laeven
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Abstract: In the economics of risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this talk, I show that in canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
Based on joint work with Louis R. Eeckhoudt
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 also Co-Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM), hosting the activities of the associated research focal area. 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. 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.
Where
Bayes Business School, 106 Bunhill Row
2005
106 Bunhill Row, London EC1Y 8TZ, UK