According to our database1, Paul Embrechts authored at least 15 papers between 1994 and 2019.
Legend:Book In proceedings Article PhD thesis Other
Data-driven polynomial chaos expansion for machine learning regression.
J. Comput. Phys., 2019
Quantile-Based Risk Sharing.
Operations Research, 2018
Aggregation-robustness and model uncertainty of regulatory risk measures.
Finance and Stochastics, 2015
Aggregation of log-linear risks.
J. Applied Probability, 2014
A note on generalized inverses.
Math. Meth. of OR, 2013
Four theorems and a financial crisis.
Int. J. Approx. Reason., 2013
Quantitative Risk Management.
Proceedings of the International Encyclopedia of Statistical Science, 2011
Bounds for the sum of dependent risks having overlapping marginals.
J. Multivar. Anal., 2010
Panjer recursion versus FFT for compound distributions.
Math. Meth. of OR, 2009
Bounds for Functions of Dependent Risks.
Finance and Stochastics, 2006
How to Model Operational Risk If You Must.
Proceedings of the Operations Research, 2006
Strategic Long-Term Financial Risks: Single Risk Factors.
Comp. Opt. and Appl., 2005
Finance and Stochastics, 2004
Using copulae to bound the Value-at-Risk for functions of dependent risks.
Finance and Stochastics, 2003
Modelling of extremal events in insurance and finance.
Math. Meth. of OR, 1994