Paul Embrechts

According to our database, Paul Embrechts authored at least 18 papers between 1994 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

Robustness in the Optimization of Risk Measures.

Paul Embrechts, Alexander Schied, Ruodu Wang

Oper. Res., 2022

2020

Quantile-based risk sharing with heterogeneous beliefs.

Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang

Math. Program., 2020

2019

Data-driven polynomial chaos expansion for machine learning regression.

Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret

J. Comput. Phys., 2019

2018

Quantile-Based Risk Sharing.

Paul Embrechts, Haiyan Liu, Ruodu Wang

Oper. Res., 2018

2015

Aggregation-robustness and model uncertainty of regulatory risk measures.

Paul Embrechts, Bin Wang, Ruodu Wang

Finance Stochastics, 2015

2014

Aggregation of log-linear risks.

Paul Embrechts, Enkelejd Hashorva, Thomas Mikosch

J. Appl. Probab., 2014

2013

A note on generalized inverses.

Paul Embrechts, Marius Hofert

Math. Methods Oper. Res., 2013

Four theorems and a financial crisis.

Bikramjit Das, Paul Embrechts, Vicky Fasen

Int. J. Approx. Reason., 2013

2011

Quantitative Risk Management.

Paul Embrechts

Proceedings of the International Encyclopedia of Statistical Science, 2011

2010

Bounds for the sum of dependent risks having overlapping marginals.

Paul Embrechts, Giovanni Puccetti

J. Multivar. Anal., 2010

Meta densities and the shape of their sample clouds.

A. A. Balkema, Paul Embrechts, Natalia Nolde

J. Multivar. Anal., 2010

2009

Panjer recursion versus FFT for compound distributions.

Paul Embrechts, Marco Frei

Math. Methods Oper. Res., 2009

2006

Bounds for Functions of Dependent Risks.

Paul Embrechts, Giovanni Puccetti

Finance Stochastics, 2006

How to Model Operational Risk If You Must.

Paul Embrechts

Proceedings of the Operations Research, 2006

2005

Strategic Long-Term Financial Risks: Single Risk Factors.

Paul Embrechts, Roger Kaufmann, Pierre Patie

Comput. Optim. Appl., 2005

2004

Editorial.

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

Finance Stochastics, 2004

2003

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

Paul Embrechts, Andrea Höing, Alessandro Juri

Finance Stochastics, 2003

1994

Modelling of extremal events in insurance and finance.

Paul Embrechts, Hanspeter Schmidli

Math. Methods Oper. Res., 1994