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1

Handbook of Heavy Tailed Distributions in Finance || Modelling Dependence with Copulas and Applications to Risk Management

Embrechts, Paul

Year:

2003

Language:

english

File:

PDF, 627 KB

english, 2003

2

Statistics and Quantitative Risk Management for Banking and Insurance

Embrechts, Paul, Hofert, Marius

Journal:

Annual Review of Statistics and Its Application

Year:

2014

Language:

english

File:

PDF, 1.78 MB

english, 2014

3

Diversification in heavy-tailed portfolios: properties and pitfalls

Mainik, Georg, Embrechts, Paul

Journal:

Annals of Actuarial Science

Year:

2013

Language:

english

File:

PDF, 798 KB

english, 2013

4

Modelling of extremal events in insurance and finance

Paul Embrechts, Hanspeter Schmidli

Journal:

Mathematical Methods of Operations Research

Year:

1994

Language:

english

File:

PDF, 1.37 MB

english, 1994

5

Using copulae to bound the Value-at-Risk for functions of dependent risks

Paul Embrechts, Andrea Höing, Alessandro Juri

Journal:

Finance and Stochastics

Year:

2003

Language:

english

File:

PDF, 211 KB

english, 2003

6

Model uncertainty and VaR aggregation

Embrechts, Paul, Puccetti, Giovanni, Rüschendorf, Ludger

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 898 KB

english, 2013

7

An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

Chavez-Demoulin, Valérie, Embrechts, Paul, Hofert, Marius

Journal:

Journal of Risk and Insurance

Year:

2015

Language:

english

File:

PDF, 1.82 MB

english, 2015

8

On Esscher Transforms in Discrete Finance Models

Bühlmann, Hans, Delbaen, Freddy, Embrechts, Paul, Shiryaev, Albert N.

Journal:

Year:

1998

Language:

english

File:

PDF, 631 KB

english, 1998

9

Asset-liability management for long-term insurance business

Albrecher, Hansjörg, Bauer, Daniel, Embrechts, Paul, Filipović, Damir, Koch-Medina, Pablo, Korn, Ralf, Loisel, Stéphane, Pelsser, Antoon, Schiller, Frank, Schmeiser, Hato, Wagner, Joël

Journal:

European Actuarial Journal

Year:

2018

Language:

english

File:

PDF, 463 KB

english, 2018

10

Quantile-Based Risk Sharing

Embrechts, Paul, Liu, Haiyan, Wang, Ruodu

Journal:

Operations Research

Year:

2018

Language:

english

File:

PDF, 428 KB

english, 2018

11

Data-driven polynomial chaos expansion for machine learning regression

Torre, Emiliano, Marelli, Stefano, Embrechts, Paul, Sudret, Bruno

Journal:

Journal of Computational Physics

Year:

2019

Language:

english

File:

PDF, 1.23 MB

english, 2019

12

Simulating risk solvency

Paul Embrechts, Lode Wouters

Journal:

Insurance: Mathematics and Economics

Year:

1990

Language:

english

File:

PDF, 620 KB

english, 1990

13

Subexponentiality and infinite divisibility

Paul Embrechts, Charles M. Goldie, Noël Veraverbeke

Journal:

Probability Theory and Related Fields

Year:

1979

Language:

english

File:

PDF, 492 KB

english, 1979

14

Panjer recursion versus FFT for compound distributions

Paul Embrechts, Marco Frei

Journal:

Mathematical Methods of Operations Research

Year:

2009

Language:

english

File:

PDF, 273 KB

english, 2009

15

Extremes and Robustness: A Contradiction?

Rosario Dell’Aquila, Paul Embrechts

Journal:

Financial Markets and Portfolio Management

Year:

2006

Language:

english

File:

PDF, 364 KB

english, 2006

16

A Property of the Generalized Inverse Gaussian Distribution with Some Applications

Journal:

Journal of Applied Probability

Year:

1983

Language:

english

File:

PDF, 617 KB

english, 1983

17

Introduction: Special section on operational risk

J. David Cummins, Paul Embrechts

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 90 KB

english, 2006

18

Extreme Value Theory as a Risk Management Tool

Embrechts, Paul, Resnick, Sidney I., Samorodnitsky, Gennady

Journal:

North American Actuarial Journal

Year:

1999

Language:

english

File:

PDF, 224 KB

english, 1999

19

Martingales and Markov Chains: Solved Exercises and Elements of Theoryby Paolo Baldi; Laurent Mazliak; Pierre Priouret

Review by: Paul Embrechts

Journal:

Journal of the American Statistical Association

Year:

2003

Language:

english

File:

PDF, 336 KB

english, 2003

20

Multivariate Hawkes processes: an application to financial data

Embrechts, Paul, Liniger, Thomas, Lin, Lu

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 304 KB

english, 2011

21

[Handbook of Statistics] Stochastic Processes: Theory and Methods Volume 19 || Stochastic processes in insurance and finance

Embrechts, Paul

Year:

2001

Language:

english

File:

PDF, 3.17 MB

english, 2001

22

Aggregating risk capital, with an application to operational risk

Paul Embrechts and Giovanni Puccetti

Journal:

The GENEVA Risk and Insurance Review

Year:

2006

Language:

english

File:

PDF, 1.40 MB

english, 2006

23

Where mathematics, insurance and finance meet

Embrechts, Paul

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 545 KB

english, 2002

24

Quantile-based risk sharing with heterogeneous beliefs

Embrechts, Paul, Liu, Haiyan, Mao, Tiantian, Wang, Ruodu

Journal:

Mathematical Programming

Year:

2018

Language:

english

File:

PDF, 593 KB

english, 2018

25

A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas

Torre, Emiliano, Marelli, Stefano, Embrechts, Paul, Sudret, Bruno

Journal:

Probabilistic Engineering Mechanics

Year:

2018

Language:

english

File:

PDF, 810 KB

english, 2018

26

An introduction to wavelets with applications to Andrews; plots

Paul Embrechts, Agnes M. Herzberg, Heidi K. Kalbfleisch, William N. Traves, J. Robertson Whitla

Journal:

Journal of Computational and Applied Mathematics

Year:

1995

Language:

english

File:

PDF, 881 KB

english, 1995

27

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Paul Embrechts, Johanna Nešlehová, Mario V. Wüthrich

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.21 MB

english, 2009

28

Bounds for functions of multivariate risks

Paul Embrechts, Giovanni Puccetti

Journal:

Journal of Multivariate Analysis

Year:

2006

Language:

english

File:

PDF, 330 KB

english, 2006

29

Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Paul Embrechts, Dominik D. Lambrigger, Mario V. Wüthrich

Journal:

Year:

2009

Language:

english

File:

PDF, 512 KB

english, 2009

30

Sample quantiles of heavy tailed stochastic processes

Paul Embrechts, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 713 KB

english, 1995

31

HARCH Processes are Heavy Tailed

Paul Embrechts, Rudolf Gru¨bel

Journal:

Year:

1999

Language:

english

File:

PDF, 69 KB

english, 1999

32

Approximations for Compound Poisson and Pólya Processes

Paul Embrechts, Jens L. Jensen, Makoto Maejima and J. L. Teugels

Journal:

Advances in Applied Probability

Year:

1985

Language:

english

File:

PDF, 979 KB

english, 1985

33

Probability: A Survey of the Mathematical Theory.by John W. Lamperti

Review by: Paul Embrechts

Journal:

Journal of the American Statistical Association

Year:

1997

Language:

english

File:

PDF, 88 KB

english, 1997

34

Confidence Bounds for the Adjustment Coefficient

Susan M. Pitts, Rudolf Grübel and Paul Embrechts

Journal:

Advances in Applied Probability

Year:

1996

Language:

english

File:

PDF, 2.17 MB

english, 1996

35

The Pleasures of Countingby T. W. Korner

Review by: Paul Embrechts

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 90 KB

english, 1998

36

The Devil Is in the Tails

DONNELLY, Catherine, EMBRECHTS, Paul

Journal:

Year:

2010

Language:

english

File:

PDF, 1022 KB

english, 2010

37

Selfsimilar Processes () || Chapter 2. Some Historical Background

Embrechts, Paul

Year:

2009

Language:

english

File:

PDF, 108 KB

english, 2009

38

Selfsimilar Processes () || References

Embrechts, Paul

Year:

2009

Language:

english

File:

PDF, 84 KB

english, 2009

39

Selfsimilar Processes () || Index

Embrechts, Paul

Year:

2009

Language:

english

File:

PDF, 94 KB

english, 2009

40

The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Degen, Matthias, Embrechts, Paul, Lambrigger, Dominik D.

Journal:

Year:

2007

Language:

english

File:

PDF, 661 KB

english, 2007

41

Willmot G.E. and Lin X. Sheldon (2000): Lundberg Approximations for Compound Distributions with Insurance Applications. Springer Lecture Notes in Statistics, 156. ISBN 0 387 95135 0.

Embrechts, Paul

Journal:

Year:

2001

Language:

english

File:

PDF, 54 KB

english, 2001

42

An Academic Response to Basel 3.5

Embrechts, Paul, Puccetti, Giovanni, Rüschendorf, Ludger, Wang, Ruodu, Beleraj, Antonela

Journal:

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

43

Robustness in the Optimization of Risk Measures

Embrechts, Paul, Schied, Alexander, Wang, Ruodu

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 564 KB

english, 2018

44

Linear Regression for Heavy Tails

Balkema, Guus, Embrechts, Paul

Journal:

Year:

2018

Language:

english

File:

PDF, 3.80 MB

english, 2018

45

An Abelian theorem for a general class of Mellin-type integral transforms

Paul Embrechts, Edward Omey

Journal:

Journal of Mathematical Analysis and Applications

Year:

1988

Language:

english

File:

PDF, 344 KB

english, 1988

46

A bootstrap procedure for estimating the adjustment coefficient

Paul Embrechts, Thomas Mikosch

Journal:

Insurance: Mathematics and Economics

Year:

1991

Language:

english

File:

PDF, 866 KB

english, 1991

47

On convolution tails

Paul Embrechts, Charles M. Goldie

Journal:

Stochastic Processes and their Applications

Year:

1982

Language:

english

File:

PDF, 1.38 MB

english, 1982

48

Worst VaR scenarios

Paul Embrechts, Andrea Höing, Giovanni Puccetti

Journal:

Insurance: Mathematics and Economics

Year:

2005

Language:

english

File:

PDF, 606 KB

english, 2005

49

The central limit theorem for summability methods of I.I.D. random variables

Paul Embrechts, Makoto Maejima

Journal:

Probability Theory and Related Fields

Year:

1984

Language:

english

File:

PDF, 447 KB

english, 1984

50

Editorial

Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven Shreve

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 66 KB

english, 2004