Paul Embrechts - researchr alias

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Viewing Publication 1 - 17 from 17

2022

Robustness in the Optimization of Risk MeasuresPaul Embrechts, Alexander Schied, Ruodu Wang. ior, 70(1):95-110, 2022. [doi]

2020

Quantile-based risk sharing with heterogeneous beliefsPaul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang. mp, 181(2):319-347, 2020. [doi]

2019

Data-driven polynomial chaos expansion for machine learning regressionEmiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret. jcphy, 388:601-623, 2019. [doi]

2018

Quantile-Based Risk SharingPaul Embrechts, Haiyan Liu, Ruodu Wang. ior, 66(4):936-949, 2018. [doi]

2015

Aggregation-robustness and model uncertainty of regulatory risk measuresPaul Embrechts, Bin Wang, Ruodu Wang. fs, 19(4):763-790, 2015. [doi]

2014

Aggregation of log-linear risksPaul Embrechts, Enkelejd Hashorva, Thomas Mikosch. jap, 51(A):203-212, 2014. [doi]

2013

Four theorems and a financial crisisBikramjit Das, Paul Embrechts, Vicky Fasen. ijar, 54(6):701-716, 2013. [doi]

A note on generalized inversesPaul Embrechts, Marius Hofert. mmor, 77(3):423-432, 2013. [doi]

2010

Meta densities and the shape of their sample cloudsA. A. Balkema, Paul Embrechts, N. Nolde. ma, 101(7):1738-1754, 2010. [doi]

Bounds for the sum of dependent risks having overlapping marginalsPaul Embrechts, Giovanni Puccetti. ma, 101(1):177-190, 2010. [doi]

2009

Panjer recursion versus FFT for compound distributionsPaul Embrechts, Marco Frei. mmor, 69(3):497-508, 2009. [doi]

2006

How to Model Operational Risk If You MustPaul Embrechts. or 2007: 81 [doi]

Bounds for Functions of Dependent RisksPaul Embrechts, Giovanni Puccetti. fs, 10(3):341-352, 2006. [doi]

2005

Strategic Long-Term Financial Risks: Single Risk FactorsPaul Embrechts, Roger Kaufmann, Pierre Patie. coap, 32(1-2):61-90, 2005. [doi]

2004

EditorialFreddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve. fs, 8(1):1-2, 2004. [doi]

2003

Using copulae to bound the Value-at-Risk for functions of dependent risksPaul Embrechts, Andrea Höing, Alessandro Juri. fs, 7(2):145-167, 2003. [doi]

1994

Modelling of extremal events in insurance and financePaul Embrechts, Hanspeter Schmidli. mmor, 39(1):1-34, 1994. [doi]

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