What is a person called if he likes it when people laugh at him?

There's no such word in English.

There maybe in other languages. For example, I've heard the term Schadenfreude used in English because there no simple word that covers this. It means pleasure gained from another's misfortune. Interestingly it sounds rather like sadist, which was imported from French. Personally, I'm curious as to whether there are any connection between the two.

Assuming you are looking for an adjective, how about self-deprecatory?

Merriam-Webster defines the term as:

expressing disparagement or undervaluation of oneself

and gives the example:

But then, in a funny, charming, self-deprecatory way he'd start telling rambling, digressive, but observant and intelligent stories that would bare his soul and crack you up …

This is essentially your proposed situation.