Paul Embrechts

According to our database1, Paul Embrechts authored at least 17 papers between 1994 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2020
Quantile-based risk sharing with heterogeneous beliefs.
Math. Program., 2020

2019
Data-driven polynomial chaos expansion for machine learning regression.
J. Comput. Phys., 2019

2018
Quantile-Based Risk Sharing.
Oper. Res., 2018

2015
Aggregation-robustness and model uncertainty of regulatory risk measures.
Finance Stochastics, 2015

2014
Aggregation of log-linear risks.
J. Appl. Probab., 2014

2013
A note on generalized inverses.
Math. Methods Oper. Res., 2013

Four theorems and a financial crisis.
Int. J. Approx. Reason., 2013

2011
Quantitative Risk Management.
Proceedings of the International Encyclopedia of Statistical Science, 2011

2010
Bounds for the sum of dependent risks having overlapping marginals.
J. Multivar. Anal., 2010

Meta densities and the shape of their sample clouds.
J. Multivar. Anal., 2010

2009
Panjer recursion versus FFT for compound distributions.
Math. Methods Oper. Res., 2009

2006
Bounds for Functions of Dependent Risks.
Finance Stochastics, 2006

How to Model Operational Risk If You Must.
Proceedings of the Operations Research, 2006

2005
Strategic Long-Term Financial Risks: Single Risk Factors.
Comput. Optim. Appl., 2005

2004
Editorial.
Finance Stochastics, 2004

2003
Using copulae to bound the Value-at-Risk for functions of dependent risks.
Finance Stochastics, 2003

1994
Modelling of extremal events in insurance and finance.
Math. Methods Oper. Res., 1994


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