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Paul Embrechts A
55 works
· latest 2018
· 3 institutions
cluster: provisional
Works
55 shown
A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas
Probabilistic Engineering Mechanics
·
2018
·
4 authors
·
Open access
112
citations
Quantile-Based Risk Sharing
Operations Research
·
2018
·
3 authors
152
citations
Aggregation-robustness and model uncertainty of regulatory risk measures
Finance and Stochastics
·
2015
·
3 authors
·
Open access
159
citations
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
Journal of Risk & Insurance
·
2015
·
3 authors
129
citations
An Academic Response to Basel 3.5
Risks
·
2014
·
5 authors
·
Open access
236
citations
Extreme-quantile tracking for financial time series
Journal of Econometrics
·
2014
·
3 authors
·
Open access
105
citations
Statistics and Quantitative Risk Management for Banking and Insurance
Annual Review of Statistics and Its Application
·
2014
·
2 authors
·
review
66
citations
Model uncertainty and VaR aggregation
Journal of Banking & Finance
·
2013
·
3 authors
·
Open access
295
citations
Quantitative Risk Management
International Encyclopedia of Statistical Science
·
2011
·
1 author
·
other
985
citations
Modeling exchange rate dependence dynamics at different time horizons
Journal of International Money and Finance
·
2010
·
2 authors
·
Open access
96
citations
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
Astin Bulletin
·
2010
·
2 authors
·
Open access
137
citations
Selfsimilar Processes
Princeton University Press eBooks
·
2009
·
1 author
·
book
146
citations
Copulas: A Personal View
Journal of Risk & Insurance
·
2009
·
1 author
204
citations
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
Extremes
·
2008
·
3 authors
·
Open access
137
citations
Panjer recursion versus FFT for compound distributions
Mathematical Methods of Operations Research
·
2008
·
2 authors
·
Open access
94
citations
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
Insurance Mathematics and Economics
·
2008
·
3 authors
93
citations
Testing for structural changes in exchange rates’ dependence beyond linear correlation
European Journal of Finance
·
2008
·
2 authors
·
Open access
52
citations
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
Astin Bulletin
·
2007
·
2 authors
·
Open access
125
citations
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
Astin Bulletin
·
2007
·
2 authors
·
Open access
71
citations
High Risk Scenarios and Extremes
Zurich lectures in advanced mathematics
·
2007
·
2 authors
·
book
87
citations
Aggregating risk capital, with an application to operational risk
The Geneva Risk and Insurance Review
·
2006
·
2 authors
·
Open access
65
citations
Quantitative models for operational risk: Extremes, dependence and aggregation
Journal of Banking & Finance
·
2006
·
3 authors
265
citations
Bounds for Functions of Dependent Risks
Finance and Stochastics
·
2006
·
2 authors
·
Open access
146
citations
Infinite-mean models and the LDA for operational risk
The Journal of Operational Risk
·
2006
·
3 authors
195
citations
Quantitative Risk Management: Concepts, Techniques, and Tools
·
2005
·
2 authors
2,201
citations
Strategic Long-Term Financial Risks: Single Risk Factors
Computational Optimization and Applications
·
2005
·
3 authors
·
Open access
87
citations
Worst VaR scenarios
Insurance Mathematics and Economics
·
2005
·
3 authors
57
citations
Bounds for functions of multivariate risks
Journal of Multivariate Analysis
·
2005
·
2 authors
·
Open access
116
citations
Change-point analysis for dependence structures in finance and insurance
Leicester Research Archive (University of Leicester)
·
2004
·
2 authors
·
chapter
·
Open access
50
citations
Using copulae to bound the Value-at-Risk for functions of dependent risks
Finance and Stochastics
·
2003
·
3 authors
278
citations
Modelling Dependence with Copulas and Applications to Risk Management
Elsevier eBooks
·
2003
·
3 authors
·
chapter
1,056
citations
Dependence structures for multivariate high-frequency data in finance
Quantitative Finance
·
2003
·
1 author
·
Open access
320
citations
QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK
·
2003
·
3 authors
106
citations
Correlation and Dependence in Risk Management: Properties and Pitfalls
Cambridge University Press eBooks
·
2002
·
3 authors
·
chapter
1,992
citations
Dependence Structures for Multivariate High-Frequency Data in Finance
Figshare
·
2002
·
1 author
·
Open access
381
citations
Actuarial versus Financial Pricing of Insurance
The Journal of Risk Finance
·
2000
·
1 author
127
citations
Extremes and integrated risk management
·
2000
·
1 author
187
citations
Extreme Value Theory as a Risk Management Tool
North American Actuarial Journal
·
1999
·
3 authors
465
citations
Correlation: Pitfalls and Alternatives
·
1999
·
3 authors
309
citations
On Esscher Transforms in Discrete Finance Models
Astin Bulletin
·
1998
·
4 authors
·
Open access
97
citations
Handbook of Brownian Motion-Facts and Formulae
Journal of the American Statistical Association
·
1998
·
3 authors
·
other
·
Open access
84
citations
S.A. Klugman, H.H. Panjer and G.E. Willmot (1998): Loss Models: From Data to Decisions. Wiley, New York.
Astin Bulletin
·
1998
·
1 author
·
other
·
Open access
124
citations
Modelling Extremal Events
Springer eBooks
·
1997
·
3 authors
·
book
4,397
citations
No-arbitrage, change of measure and conditional Esscher transforms
Data Archiving and Networked Services (DANS)
·
1996
·
4 authors
·
Open access
174
citations
Ruin estimation for a general insurance risk model
Advances in Applied Probability
·
1994
·
2 authors
101
citations
Some Aspects of Insurance Mathematics
Theory of Probability and Its Applications
·
1994
·
2 authors
66
citations
Modelling of extremal events in insurance and finance
Mathematical Methods of Operations Research
·
1994
·
2 authors
3,519
citations
Perpetuities and Random Equations
Contributions to statistics
·
1994
·
2 authors
·
chapter
65
citations
Martingales and insurance risk
Stochastic Models
·
1989
·
2 authors
176
citations
Asymptotic Behaviour of Compound Distributions
Astin Bulletin
·
1985
·
3 authors
·
Open access
58
citations
A property of longtailed distributions
Journal of Applied Probability
·
1984
·
2 authors
71
citations
A property of the generalized inverse Gaussian distribution with some applications
Journal of Applied Probability
·
1983
·
1 author
88
citations
Estimates for the probability of ruin with special emphasis on the possibility of large claims
Insurance Mathematics and Economics
·
1982
·
2 authors
388
citations
On closure and factorization properties of subexponential and related distributions
Journal of the Australian Mathematical Society Series A Pure Mathematics and Statistics
·
1980
·
2 authors
·
Open access
286
citations
Subexponentiality and infinite divisibility
Probability Theory and Related Fields
·
1979
·
3 authors
·
Open access
307
citations