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Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. (English) Zbl 1320.01026


MSC:

01A70 Biographies, obituaries, personalia, bibliographies
91B30 Risk theory, insurance (MSC2010)

Biographic References:

Embrechts, Paul

Software:

QRM; CopulaModel
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Full Text: DOI

References:

[1] [1] Bedford, T. and R. Cooke (2001). Probabilistic Risk Analysis: Foundations and Methods. Cambridge University Press, Cambridge.; · Zbl 0977.60002
[2] Breiman, L. (1965). On some limit theorems similar to the arc-sin law. Theory Probab. Appl., 10(2), 323-331.; · Zbl 0147.37004
[3] De Vylder, F. (1982). Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints. Insurance Math. Econom., 1(2), 109-130.; · Zbl 0488.49030
[4] Donnelly, C. and P. Embrechts (2010). The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Astin Bull., 40(1), 1-33.; · Zbl 1230.91181
[5] Embrechts, P. (2006). Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes, 9(1), 45-47.;
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[8] Embrechts, P., C. Klüppelberg, and T. Mikosch (1997). Modelling Extremal Events for Insurance and Finance. Springer, Berlin.; · Zbl 0873.62116
[9] Embrechts, P., A. J. McNeil, and D. Straumann (2002). Correlation and dependence in risk management: properties and pitfalls. In Risk Management: Value at Risk and Beyond, pp. 176-223. Cambridge University Press, Cambridge.;
[10] Feller, W. (1971). An Introduction to Probability Theory and its Applications. Vol. II. Second edition. John Wiley & Sons, New York, NY.; · Zbl 0219.60003
[11] Joe, H. (1997). Multivariate Models and Dependence Concepts. Chapman & Hall, London.; · Zbl 0990.62517
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[13] Lindvall, T. (1977). A probabilistic proof of Blackwell’s renewal theorem. Ann. Probability, 5(3), 482-485.; · Zbl 0363.60075
[14] McNeil, A. J., R. Frey, and P. Embrechts (2015). Quantitative Risk Management: Concepts, Techniques and Tools - revised edition. Princeton University Press, Princeton, NJ.; · Zbl 1337.91003
[15] Mikosch, T. (2006). Copulas: Tales and facts. Extremes, 9(1), 3-20.; · Zbl 1164.62355
[16] Nelsen, R. B. (1999). An Introduction to Copulas. Springer-Verlag, New York, NY.; · Zbl 0909.62052
[17] Pitman, J. W. (1974). Uniform rates of convergence for Markov chain transition probabilities. Z. Wahrsch. verw. Gebiete, 29, 193-227.; · Zbl 0373.60077
[18] Prohorov, Y. V. (1956). Convergence of random processes and limit theorems in probability theory. Theory Probab. Appl., 1(2), 157-214.;
[19] Rüschendorf, L. (2013). Mathematical Risk Analysis. Dependence, Risk Bounds, Optimal Allocations and Portfolios. Springer, Heidelberg.; · Zbl 1266.91001
[20] Salmon, F. (2009). Recipe for disaster: the formula that killed Wall Street. Wired Magazine, 17(3).;
[21] Salmon, F. (2012). The formula that killed Wall Street. Significance, 9(1), 16-20.;
[22] Skorohod, A. V. (1956). Limit theorems for stochastic processes. Theory Probab. Appl., 1(3), 261-290.;
[23] Zhang, Y. (2014). Bounded gaps between primes. Ann. of Math., 179(3), 1121-1174.; · Zbl 1290.11128
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