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Author ID: embrechts.paul Recent zbMATH articles by "Embrechts, Paul"
Published as: Embrechts, Paul; Embrechts, P.
Homepage: https://people.math.ethz.ch/~embrecht/
External Links: MGP · Math-Net.Ru · dblp · GND
all top 5

Co-Authors

18 single-authored
9 Mikosch, Thomas
7 Omey, Edward
7 Puccetti, Giovanni
6 Maejima, Makoto
6 Wang, Ruodu
5 Hofert, Marius
4 Delbaen, Freddy
4 Goldie, Charles M.
4 McNeil, Alexander J.
4 Samorodnitsky, Gennady Pinkhosovich
3 Balkema, Guus
3 Davis, Richard A.
3 Degen, Matthias
3 Frey, Rüdiger
3 Grübel, Rudolf
3 Höing, Andrea
3 Klüppelberg, Claudia
3 Nolde, Natalia
3 Schmidli, Hanspeter
3 Wüthrich, Mario Valentin
2 Aebi, Markus
2 Albrecher, Hansjörg
2 Arbenz, Philipp
2 Artzner, Philippe
2 Bühlmann, Hans
2 Chavez-Demoulin, Valérie
2 Dempster, Michael A. H.
2 Eber, Jean-Marc
2 Filipović, Damir
2 Furrer, Hansjörg
2 Heath, David C.
2 Herzberg, Agnes Margaret
2 Kaufmann, Roger
2 Lambrigger, Dominik D.
2 Liu, Haiyan
2 Loisel, Stéphane
2 Pitts, Susan M.
2 Resnick, Sidney Ira
2 Shiryaev, Al’bert Nikolaevich
2 Straumann, Daniel
2 Veraverbeke, Noël
2 Wagner, Joël
1 Baikoussis, Christos
1 Balkema, August A.
1 Bassi, Franco
1 Bauer, Daniel J.
1 Binswanger, Klemens
1 Breymann, Wolfgang
1 Coles, Stuart G.
1 Dacorogna, Michel M.
1 Das, Bikramjit
1 Dassios, Angelos
1 Defever, Filip
1 Donnelly, Catherine
1 Durante, Fabrizio
1 Fasen, Vicky
1 Finkenstädt, Bärbel F.
1 Fougères, Anne-Laure
1 Frei, Marco
1 Grandell, Jan
1 Harrison, Glenn W.
1 Hashorva, Enkelejd
1 Hawkes, John
1 Jakobsons, Edgars
1 Jensen, Jens Ledet
1 Juri, Alessandro
1 Kafetzaki, Maria
1 Kalbfleisch, Heidi K.
1 Koch Medina, Pablo
1 Koch, Erwan
1 Koch, Pablo
1 Korn, Ralf
1 Lin, Lu
1 Liniger, Thomas
1 Mao, Tiantian
1 Marelli, Stefano
1 Müller, Ulrich A.
1 Nešlehová, Johanna G.
1 Novak, Serguei Yu.
1 Patie, Pierre
1 Patton, Andrew J.
1 Pelsser, Antoon A. J.
1 Robert, Christian Yann
1 Robertson Whitla, J.
1 Rogers, L. C. G.
1 Rootzén, Holger
1 Sardy, Sylvain
1 Scherer, Matthias
1 Schied, Alexander
1 Schiller, Frank
1 Schmeiser, Hato
1 Smith, Richard L.
1 Sudret, Bruno
1 Teugels, Jozef L.
1 Torre, Emiliano
1 Traves, William N.
1 Tsanakas, Andreas
1 Vanini, Paolo
1 Verstraelen, Leopold C. A.
1 Villaseñor, José A.
...and 3 more Co-Authors
all top 5

Serials

6 Advances in Applied Probability
6 Journal of Applied Probability
6 Insurance Mathematics & Economics
4 Journal of the American Statistical Association
4 Extremes
4 ASTIN Bulletin
3 Journal of Multivariate Analysis
3 The Annals of Applied Probability
3 Finance and Stochastics
3 Oberwolfach Reports
2 The Annals of Probability
2 Journal of the London Mathematical Society. Second Series
2 Operations Research
2 Proceedings of the American Mathematical Society
2 Scandinavian Actuarial Journal
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Journal of the Australian Mathematical Society. Series A
2 Stochastic Processes and their Applications
2 Bernoulli
2 Mathematical Methods of Operations Research
2 Quantitative Finance
2 European Actuarial Journal
2 Dependence Modeling
1 International Journal of Modern Physics B
1 Journal of Computational Physics
1 Journal of Mathematical Analysis and Applications
1 Lithuanian Mathematical Journal
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Revue Roumaine de Mathématiques Pures et Appliquées
1 Teoriya Veroyatnosteĭ i eë Primeneniya
1 Theory of Probability and its Applications
1 International Statistical Review
1 Journal of Computational and Applied Mathematics
1 Journal of Econometrics
1 Statistica Neerlandica
1 Yokohama Mathematical Journal
1 Soochow Journal of Mathematics
1 Communications in Statistics. Stochastic Models
1 International Journal of Approximate Reasoning
1 CWI Quarterly
1 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM)
1 Communications in Statistics. Theory and Methods
1 Nieuw Archief voor Wiskunde. Derde Serie
1 ZOR. Zeitschrift für Operations Research
1 Mathematical Programming. Series A. Series B
1 Computational Optimization and Applications
1 Test
1 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki
1 Nieuw Archief voor Wiskunde. Vijfde Serie
1 North American Actuarial Journal
1 Stochastics
1 Monographs on Statistics and Applied Probability
1 Statistics & Risk Modeling
1 Applications of Mathematics
1 Zurich Lectures in Advanced Mathematics

Publications by Year

Citations contained in zbMATH Open

100 Publications have been cited 4,420 times in 3,379 Documents Cited by Year
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Quantitative risk management. Concepts, techniques, and tools. Zbl 1089.91037
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
759
2005
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
234
2015
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
170
1982
Subexponentiality and infinite divisibility. Zbl 0397.60024
Embrechts, Paul; Goldie, Charles M.; Veraverbeke, Noel
151
1979
Selfsimilar processes. Zbl 1008.60003
Embrechts, Paul; Maejima, Makoto
131
2002
On closure and factorization properties of subexponential and related distributions. Zbl 0425.60011
Embrechts, Paul; Goldie, Charles M.
119
1980
On convolution tails. Zbl 0487.60016
Embrechts, Paul; Goldie, Charles M.
101
1982
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
79
1989
A note on generalized inverses. Zbl 1281.60014
Embrechts, Paul; Hofert, Marius
67
2013
Multivariate Hawkes processes: an application to financial data. Zbl 1242.62093
Embrechts, Paul; Liniger, Thomas; Lin, Lu
63
2011
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
58
2003
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
52
1994
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
51
2015
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
51
2006
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
50
1996
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
49
1999
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Zbl 1224.91057
Embrechts, Paul; Lambrigger, Dominik D.; Wüthrich, Mario V.
47
2009
Bounds for functions of multivariate risks. Zbl 1089.60016
Embrechts, Paul; Puccetti, Giovanni
45
2006
High risk scenarios and extremes. A geometric approach. Zbl 1121.91055
Balkema, Guus; Embrechts, Paul
36
2007
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness. Zbl 1163.91431
Embrechts, Paul; Nešlehová, Johanna; Wüthrich, Mario V.
35
2009
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
32
2003
A property of longtailed distributions. Zbl 0534.60015
Embrechts, Paul; Omey, Edward
31
1984
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
31
1998
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
30
2007
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
29
2010
A property of the generalized inverse Gaussian distribution with some applications. Zbl 0536.60022
Embrechts, Paul
29
1983
Panjer recursion versus FFT for compound distributions. Zbl 1205.91081
Embrechts, Paul; Frei, Marco
24
2009
Approximations for compound Poisson and Pólya processes. Zbl 0576.62098
Embrechts, Paul; Jensen, Jens L.; Maejima, Makoto; Teugels, Jozef L.
20
1985
Worst VaR scenarios. Zbl 1102.91064
Embrechts, Paul; Höing, Andrea; Puccetti, Giovanni
20
2005
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
19
1993
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Zbl 1248.60018
Arbenz, Philipp; Embrechts, Paul; Puccetti, Giovanni
16
2011
The central limit theorem for summability methods of i.i.d. random variables. Zbl 0535.60018
Embrechts, Paul; Maejima, Makoto
15
1984
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
15
2016
Some aspects of insurance mathematics. Zbl 0803.62092
Embrechts, P.; Klüppelberg, C.
15
1993
A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory. Zbl 0487.60021
Embrechts, Paul; Hawkes, John
15
1982
Risk management: Value at risk and beyond. Zbl 1035.91036
15
2002
Quantile-based risk sharing. Zbl 1455.91274
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu
15
2018
Meta densities and the shape of their sample clouds. Zbl 1198.60012
Balkema, A. A.; Embrechts, P.; Nolde, N.
13
2010
A renewal theorem of Blackwell type. Zbl 0537.60087
Embrechts, Paul; Maejima, Makoto; Omey, Edward
13
1984
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
13
2004
Some applications of the fast Fourier transform algorithm in insurance mathematics. Zbl 0764.62089
Embrechts, P.; Grübel, R.; Pitts, S. M.
13
1993
Confidence bounds for the adjustment coefficient. Zbl 0856.62094
Pitts, Susan M.; Grübel, Rudolf; Embrechts, Paul
13
1996
Ruin estimates for large claims. Zbl 0666.62098
Embrechts, P.; Villasenor, J. A.
12
1988
Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure. Zbl 0459.60017
Embrechts, Paul; Goldie, Charles M.
12
1981
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
11
1994
Extreme-quantile tracking for financial time series. Zbl 1311.91160
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S.
10
2014
A proof of Dassios’ representation of the \(\alpha\)-quantile of Brownian motion with drift. Zbl 0844.60044
Embrechts, P.; Rogers, L. C. G.; Yor, M.
10
1995
Bounds for the sum of dependent risks having overlapping marginals. Zbl 1177.60022
Embrechts, Paul; Puccetti, Giovanni
9
2010
An introduction to the theory of self-similar stochastic processes. Zbl 1219.60040
Embrechts, Paul; Maejima, Makoto
9
2000
EVT-based estimation of risk capital and convergence of high quantiles. Zbl 1149.62314
Degen, Matthias; Embrechts, Paul
9
2008
Functions of power series. Zbl 0561.60093
Embrechts, P.; Omey, E.
9
1984
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables. Zbl 1259.65009
Arbenz, Philipp; Embrechts, Paul; Puccetti, Giovanni
8
2012
Risk management and quantile estimation. Zbl 0922.62107
Bassi, Franco; Embrechts, Paul; Kafetzaki, Maria
8
1998
Longest runs in coin tossing. Zbl 0821.62008
Binswanger, K.; Embrechts, P.
8
1994
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
7
2005
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
Four theorems and a financial crisis. Zbl 1316.91038
Das, Bikramjit; Embrechts, Paul; Fasen, Vicky
6
2013
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
6
2015
Asset-liability management for long-term insurance business. Zbl 1416.91145
6
2018
Quantile-based risk sharing with heterogeneous beliefs. Zbl 1443.91102
Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu
6
2020
Subexponential distribution functions and their applications: A review. Zbl 0598.60021
Embrechts, Paul
5
1984
Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163
Embrechts, Paul; Hofert, Marius
5
2011
Variations of Andrews’ plots. Zbl 0729.62636
Embrechts, Paul; Herzberg, Agnes M.
5
1991
Hawkes graphs. Zbl 1390.60176
Embrechts, P.; Kirchner, M.
5
2018
Stochastic processes in insurance and finance. Zbl 0979.60025
Embrechts, Paul; Frey, Rüdiger; Furrer, Hansjörg
4
2001
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
4
2011
On subordinated distributions and random record processes. Zbl 0513.60029
Embrechts, P.; Omey, E.
4
1983
Some limit theorems for generalized renewal measures. Zbl 0564.60082
Embrechts, Paul; Maejima, Makoto; Omey, Edward
4
1985
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146
Embrechts, Paul; Hofert, Marius
4
2013
Data-driven polynomial chaos expansion for machine learning regression. Zbl 1453.62565
Torre, Emiliano; Marelli, Stefano; Embrechts, Paul; Sudret, Bruno
4
2019
Ruin problem and how fast stochastic processes mix. Zbl 1022.60018
Embrechts, Paul; Samorodnitsky, Gennady
3
2003
A second-order theorem for Laplace transforms. Zbl 0387.40006
Embrechts, Paul
3
1978
The shape of asymptotic dependence. Zbl 1274.60165
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
3
2013
Extreme VaR scenarios in higher dimensions. Zbl 1164.60322
Embrechts, Paul; Höing, Andrea
3
2006
Sensitivity of the limit shape of sample clouds from meta densities. Zbl 1264.60035
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
2
2012
Book review of: D. M. Bressoud, A radical approach to Lebesgue’s theory of integration. Zbl 1314.00026
Embrechts, Paul
2
2009
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
The wizards of Wall Street: did mathematics change finance? Zbl 1239.00029
Embrechts, Paul
2
2003
Scaling of high-quantile estimators. Zbl 1229.62139
Degen, Matthias; Embrechts, Paul
2
2011
Space-time max-stable models with spectral separability. Zbl 1426.60058
Embrechts, Paul; Koch, Erwan; Robert, Christian
2
2016
An introduction to wavelets with applications to Andrews’ plots. Zbl 0859.62005
Embrechts, Paul; Herzberg, Agnes M.; Kalbfleisch, Heidi K.; Traves, William N.; Robertson Whitla, J.
2
1995
Robustness in the optimization of risk measures. Zbl 1485.90079
Embrechts, Paul; Schied, Alexander; Wang, Ruodu
2
2022
Different kinds of risk. Zbl 1178.91077
Embrechts, Paul; Furrer, Hansjörg; Kaufmann, Roger
1
2009
Dependence uncertainty for aggregate risk: examples and simple bounds. Zbl 1356.91103
Embrechts, Paul; Jakobsons, Edgars
1
2016
Actuarial versus financial pricing of insurance. Zbl 1063.91520
Embrechts, P.
1
1998
How heavy are the tails of a stationary \(\text{HARCH}(k)\) process? A study of the moments. Zbl 0914.60065
Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A.
1
1998
On the Gauss map of the cyclides of Dupin. Zbl 0795.53004
Baikoussis, Christos; Defever, Filip; Embrechts, Paul; Verstraelen, Leopold
1
1993
Sample quantiles of heavy tailed stochastic processes. Zbl 0840.60031
Embrechts, Paul; Samorodnitsky, Gennady
1
1995
A characterization of Fourier-Stieltjes transforms. Zbl 0453.43004
Embrechts, P.
1
1980
On a theorem of E. Lukacs. Zbl 0346.43006
Embrechts, Paul
1
1978
Long head runs and long match patterns. Zbl 0994.62047
Embrechts, Paul; Novak, Sergei Y.
1
2002
Revisiting the edge, ten years on. Zbl 1197.60048
Chavez-Demoulin, Valérie; Embrechts, Paul
1
2010
Martingales in non-life insurance. Zbl 0724.62101
Embrechts, P.
1
1990
Risk management: value at risk and beyond. Reprint of the 2002 hardback ed. Zbl 1213.91087
1
2011
Book review of: M. Lefebvre, Applied stochastic processes. Zbl 1328.00031
Embrechts, Paul
1
2008
Robustness in the optimization of risk measures. Zbl 1485.90079
Embrechts, Paul; Schied, Alexander; Wang, Ruodu
2
2022
Quantile-based risk sharing with heterogeneous beliefs. Zbl 1443.91102
Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu
6
2020
Data-driven polynomial chaos expansion for machine learning regression. Zbl 1453.62565
Torre, Emiliano; Marelli, Stefano; Embrechts, Paul; Sudret, Bruno
4
2019
Quantile-based risk sharing. Zbl 1455.91274
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu
15
2018
Asset-liability management for long-term insurance business. Zbl 1416.91145
6
2018
Hawkes graphs. Zbl 1390.60176
Embrechts, P.; Kirchner, M.
5
2018
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
15
2016
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Space-time max-stable models with spectral separability. Zbl 1426.60058
Embrechts, Paul; Koch, Erwan; Robert, Christian
2
2016
Dependence uncertainty for aggregate risk: examples and simple bounds. Zbl 1356.91103
Embrechts, Paul; Jakobsons, Edgars
1
2016
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
234
2015
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
51
2015
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
6
2015
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
Extreme-quantile tracking for financial time series. Zbl 1311.91160
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S.
10
2014
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
A note on generalized inverses. Zbl 1281.60014
Embrechts, Paul; Hofert, Marius
67
2013
Four theorems and a financial crisis. Zbl 1316.91038
Das, Bikramjit; Embrechts, Paul; Fasen, Vicky
6
2013
Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146
Embrechts, Paul; Hofert, Marius
4
2013
The shape of asymptotic dependence. Zbl 1274.60165
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
3
2013
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables. Zbl 1259.65009
Arbenz, Philipp; Embrechts, Paul; Puccetti, Giovanni
8
2012
Sensitivity of the limit shape of sample clouds from meta densities. Zbl 1264.60035
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
2
2012
Multivariate Hawkes processes: an application to financial data. Zbl 1242.62093
Embrechts, Paul; Liniger, Thomas; Lin, Lu
63
2011
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Zbl 1248.60018
Arbenz, Philipp; Embrechts, Paul; Puccetti, Giovanni
16
2011
Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163
Embrechts, Paul; Hofert, Marius
5
2011
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
4
2011
Scaling of high-quantile estimators. Zbl 1229.62139
Degen, Matthias; Embrechts, Paul
2
2011
Risk management: value at risk and beyond. Reprint of the 2002 hardback ed. Zbl 1213.91087
1
2011
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
29
2010
Meta densities and the shape of their sample clouds. Zbl 1198.60012
Balkema, A. A.; Embrechts, P.; Nolde, N.
13
2010
Bounds for the sum of dependent risks having overlapping marginals. Zbl 1177.60022
Embrechts, Paul; Puccetti, Giovanni
9
2010
Revisiting the edge, ten years on. Zbl 1197.60048
Chavez-Demoulin, Valérie; Embrechts, Paul
1
2010
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Zbl 1224.91057
Embrechts, Paul; Lambrigger, Dominik D.; Wüthrich, Mario V.
47
2009
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness. Zbl 1163.91431
Embrechts, Paul; Nešlehová, Johanna; Wüthrich, Mario V.
35
2009
Panjer recursion versus FFT for compound distributions. Zbl 1205.91081
Embrechts, Paul; Frei, Marco
24
2009
Book review of: D. M. Bressoud, A radical approach to Lebesgue’s theory of integration. Zbl 1314.00026
Embrechts, Paul
2
2009
Different kinds of risk. Zbl 1178.91077
Embrechts, Paul; Furrer, Hansjörg; Kaufmann, Roger
1
2009
EVT-based estimation of risk capital and convergence of high quantiles. Zbl 1149.62314
Degen, Matthias; Embrechts, Paul
9
2008
Book review of: M. Lefebvre, Applied stochastic processes. Zbl 1328.00031
Embrechts, Paul
1
2008
High risk scenarios and extremes. A geometric approach. Zbl 1121.91055
Balkema, Guus; Embrechts, Paul
36
2007
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
30
2007
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
51
2006
Bounds for functions of multivariate risks. Zbl 1089.60016
Embrechts, Paul; Puccetti, Giovanni
45
2006
Extreme VaR scenarios in higher dimensions. Zbl 1164.60322
Embrechts, Paul; Höing, Andrea
3
2006
Quantitative risk management. Concepts, techniques, and tools. Zbl 1089.91037
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
759
2005
Worst VaR scenarios. Zbl 1102.91064
Embrechts, Paul; Höing, Andrea; Puccetti, Giovanni
20
2005
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
7
2005
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
13
2004
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
58
2003
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
32
2003
Ruin problem and how fast stochastic processes mix. Zbl 1022.60018
Embrechts, Paul; Samorodnitsky, Gennady
3
2003
The wizards of Wall Street: did mathematics change finance? Zbl 1239.00029
Embrechts, Paul
2
2003
Selfsimilar processes. Zbl 1008.60003
Embrechts, Paul; Maejima, Makoto
131
2002
Risk management: Value at risk and beyond. Zbl 1035.91036
15
2002
Long head runs and long match patterns. Zbl 0994.62047
Embrechts, Paul; Novak, Sergei Y.
1
2002
Stochastic processes in insurance and finance. Zbl 0979.60025
Embrechts, Paul; Frey, Rüdiger; Furrer, Hansjörg
4
2001
An introduction to the theory of self-similar stochastic processes. Zbl 1219.60040
Embrechts, Paul; Maejima, Makoto
9
2000
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
49
1999
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
31
1998
Risk management and quantile estimation. Zbl 0922.62107
Bassi, Franco; Embrechts, Paul; Kafetzaki, Maria
8
1998
Actuarial versus financial pricing of insurance. Zbl 1063.91520
Embrechts, P.
1
1998
How heavy are the tails of a stationary \(\text{HARCH}(k)\) process? A study of the moments. Zbl 0914.60065
Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A.
1
1998
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
50
1996
Confidence bounds for the adjustment coefficient. Zbl 0856.62094
Pitts, Susan M.; Grübel, Rudolf; Embrechts, Paul
13
1996
A proof of Dassios’ representation of the \(\alpha\)-quantile of Brownian motion with drift. Zbl 0844.60044
Embrechts, P.; Rogers, L. C. G.; Yor, M.
10
1995
An introduction to wavelets with applications to Andrews’ plots. Zbl 0859.62005
Embrechts, Paul; Herzberg, Agnes M.; Kalbfleisch, Heidi K.; Traves, William N.; Robertson Whitla, J.
2
1995
Sample quantiles of heavy tailed stochastic processes. Zbl 0840.60031
Embrechts, Paul; Samorodnitsky, Gennady
1
1995
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
52
1994
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
11
1994
Longest runs in coin tossing. Zbl 0821.62008
Binswanger, K.; Embrechts, P.
8
1994
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
19
1993
Some aspects of insurance mathematics. Zbl 0803.62092
Embrechts, P.; Klüppelberg, C.
15
1993
Some applications of the fast Fourier transform algorithm in insurance mathematics. Zbl 0764.62089
Embrechts, P.; Grübel, R.; Pitts, S. M.
13
1993
On the Gauss map of the cyclides of Dupin. Zbl 0795.53004
Baikoussis, Christos; Defever, Filip; Embrechts, Paul; Verstraelen, Leopold
1
1993
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
Variations of Andrews’ plots. Zbl 0729.62636
Embrechts, Paul; Herzberg, Agnes M.
5
1991
Martingales in non-life insurance. Zbl 0724.62101
Embrechts, P.
1
1990
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
79
1989
Ruin estimates for large claims. Zbl 0666.62098
Embrechts, P.; Villasenor, J. A.
12
1988
Approximations for compound Poisson and Pólya processes. Zbl 0576.62098
Embrechts, Paul; Jensen, Jens L.; Maejima, Makoto; Teugels, Jozef L.
20
1985
Some limit theorems for generalized renewal measures. Zbl 0564.60082
Embrechts, Paul; Maejima, Makoto; Omey, Edward
4
1985
A property of longtailed distributions. Zbl 0534.60015
Embrechts, Paul; Omey, Edward
31
1984
The central limit theorem for summability methods of i.i.d. random variables. Zbl 0535.60018
Embrechts, Paul; Maejima, Makoto
15
1984
A renewal theorem of Blackwell type. Zbl 0537.60087
Embrechts, Paul; Maejima, Makoto; Omey, Edward
13
1984
Functions of power series. Zbl 0561.60093
Embrechts, P.; Omey, E.
9
1984
Subexponential distribution functions and their applications: A review. Zbl 0598.60021
Embrechts, Paul
5
1984
A property of the generalized inverse Gaussian distribution with some applications. Zbl 0536.60022
Embrechts, Paul
29
1983
On subordinated distributions and random record processes. Zbl 0513.60029
Embrechts, P.; Omey, E.
4
1983
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
170
1982
On convolution tails. Zbl 0487.60016
Embrechts, Paul; Goldie, Charles M.
101
1982
A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory. Zbl 0487.60021
Embrechts, Paul; Hawkes, John
15
1982
Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure. Zbl 0459.60017
Embrechts, Paul; Goldie, Charles M.
12
1981
On closure and factorization properties of subexponential and related distributions. Zbl 0425.60011
Embrechts, Paul; Goldie, Charles M.
119
1980
A characterization of Fourier-Stieltjes transforms. Zbl 0453.43004
Embrechts, P.
1
1980
Subexponentiality and infinite divisibility. Zbl 0397.60024
Embrechts, Paul; Goldie, Charles M.; Veraverbeke, Noel
151
1979
A second-order theorem for Laplace transforms. Zbl 0387.40006
Embrechts, Paul
3
1978
On a theorem of E. Lukacs. Zbl 0346.43006
Embrechts, Paul
1
1978
all top 5

Cited by 3,681 Authors

58 Tang, Qihe
47 Embrechts, Paul
46 Hashorva, Enkelejd
44 Mikosch, Thomas
43 Wang, Ruodu
41 Klüppelberg, Claudia
41 Samorodnitsky, Gennady Pinkhosovich
40 Yang, Yang
38 Wang, Yuebao
32 Šiaulys, Jonas
30 Durante, Fabrizio
28 Wang, Kaiyong
27 Resnick, Sidney Ira
26 Asmussen, Søren
26 Peng, Liang
25 Girard, Stéphane
25 Hofert, Marius
22 Genest, Christian
22 Siu, Tak Kuen
21 Gao, Qingwu
20 Landsman, Zinoviy M.
20 Nešlehová, Johanna G.
20 Puccetti, Giovanni
18 Li, Jinzhu
18 Yang, Hailiang
18 Zwart, Bert P.
17 Cheng, Dongya
17 Cossette, Hélène
17 Mao, Tiantian
17 Marceau, Étienne
17 Yuen, Kam Chuen
16 Albrecher, Hansjörg
16 Blanchet, Jose H.
16 Chen, Yiqing
16 Eliazar, Iddo I.
16 Leipus, Remigijus
16 Scherer, Matthias
15 Cai, Jun
15 Rüschendorf, Ludger
15 Wüthrich, Mario Valentin
14 Hu, Taizhong
14 Jaworski, Piotr
14 Ng, Kai Wang
14 Schmidli, Hanspeter
13 Asimit, Alexandru V.
13 Das, Bikramjit
13 Davis, Richard A.
13 Dębicki, Krzysztof
13 Gardes, Laurent
13 Joe, Harry
13 Mai, Jan-Frederik
13 Robert, Christian Yann
13 Zitikis, Ričardas
12 Bee, Marco
12 Dassios, Angelos
12 Foss, Sergey G.
12 Jamalizadeh, Ahad
12 Omey, Edward
12 Su, Chun
12 Vanduffel, Steven
12 Wu, Rong
12 Yang, Jingping
12 Yin, Chuancun
11 Bingham, Nicholas Hugh
11 Chen, Yu
11 Dembińska, Anna
11 Di Bernardino, Elena
11 Didier, Gustavo
11 Kojadinovic, Ivan
11 Macci, Claudio
11 Stupfler, Gilles
11 Tan, Ken Seng
11 Taqqu, Murad S.
11 Teugels, Jozef L.
11 Wang, Dingcheng
11 Wang, Shijie
11 Watanabe, Toshiro
11 Willmot, Gordon E.
11 Yan, Jun
11 Yu, Changjun
10 Balakrishnan, Narayanaswamy
10 Bouzebda, Salim
10 Czado, Claudia
10 Frey, Rüdiger
10 Furman, Edward
10 Guillou, Armelle
10 Liu, Xijun
10 Maller, Ross Arthur
10 Pakes, Anthony G.
10 Shen, Xinmei
10 Tsanakas, Andreas
10 Úbeda-Flores, Manuel
10 Xu, Hui
10 Yuan, Zhongyi
9 Fernández-Sánchez, Juan
9 Guillen, Montserrat
9 Hu, Yijun
9 Hua, Lei
9 Ji, Lanpeng
9 Kokoszka, Piotr S.
...and 3,581 more Authors
all top 5

Cited in 339 Serials

354 Insurance Mathematics & Economics
172 Statistics & Probability Letters
120 Extremes
108 Stochastic Processes and their Applications
98 Journal of Multivariate Analysis
80 Communications in Statistics. Theory and Methods
77 Journal of Applied Probability
70 Scandinavian Actuarial Journal
62 Advances in Applied Probability
62 Bernoulli
62 ASTIN Bulletin
58 Computational Statistics and Data Analysis
55 Methodology and Computing in Applied Probability
54 Journal of Econometrics
54 Journal of Statistical Planning and Inference
50 Quantitative Finance
49 The Annals of Applied Probability
48 North American Actuarial Journal
45 European Journal of Operational Research
43 Dependence Modeling
41 Lithuanian Mathematical Journal
38 Journal of Mathematical Analysis and Applications
35 Journal of Computational and Applied Mathematics
32 Journal of Theoretical Probability
32 International Journal of Theoretical and Applied Finance
32 Stochastic Models
29 The Annals of Statistics
29 Journal of Statistical Computation and Simulation
28 Annals of Operations Research
26 European Actuarial Journal
22 Finance and Stochastics
21 Acta Mathematicae Applicatae Sinica. English Series
21 Queueing Systems
21 Communications in Statistics. Simulation and Computation
21 Statistical Papers
20 Probability Theory and Related Fields
20 Journal of Applied Statistics
20 Journal of the Korean Statistical Society
19 Applied Mathematics and Computation
19 Electronic Journal of Statistics
18 Metrika
18 Scandinavian Actuarial Journal
18 Test
17 Annals of the Institute of Statistical Mathematics
16 The Annals of Probability
15 Journal of Economic Dynamics & Control
15 Probability in the Engineering and Informational Sciences
15 Applied Stochastic Models in Business and Industry
14 Physica A
14 Statistics
14 Statistics & Risk Modeling
13 Scandinavian Journal of Statistics
13 Journal of Mathematical Sciences (New York)
13 Mathematical Finance
13 Journal of Statistical Theory and Practice
12 Journal of Statistical Physics
12 Econometric Theory
12 Science China. Mathematics
12 Statistics and Computing
12 Modern Stochastics. Theory and Applications
11 Fuzzy Sets and Systems
11 Stochastic Analysis and Applications
11 Computational Statistics
11 Mathematical Methods of Operations Research
11 Journal of Inequalities and Applications
11 SIAM Journal on Financial Mathematics
10 Kybernetika
10 Mathematics and Computers in Simulation
10 Econometric Reviews
10 Applied Mathematics. Series B (English Edition)
10 Brazilian Journal of Probability and Statistics
10 Statistical Methods and Applications
10 Journal of Industrial and Management Optimization
10 Stochastics
10 The Annals of Applied Statistics
9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
9 Mathematical Methods of Statistics
9 Mathematical Problems in Engineering
9 Nonlinear Analysis. Modelling and Control
9 Asia-Pacific Financial Markets
9 Frontiers of Mathematics in China
8 Chaos, Solitons and Fractals
8 Journal of Time Series Analysis
8 Science in China. Series A
8 Applied Mathematical Finance
8 Acta Mathematica Sinica. English Series
8 Journal of Probability and Statistics
7 Mathematical Notes
7 Mathematics of Operations Research
7 Operations Research
7 Statistical Science
7 Economics Letters
7 Japan Journal of Industrial and Applied Mathematics
7 Cybernetics and Systems Analysis
7 Statistical Methodology
7 AStA. Advances in Statistical Analysis
7 Annals of Finance
6 Journal of the American Statistical Association
6 Siberian Mathematical Journal
6 Operations Research Letters
...and 239 more Serials
all top 5

Cited in 49 Fields

1,917 Statistics (62-XX)
1,685 Probability theory and stochastic processes (60-XX)
1,440 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
188 Numerical analysis (65-XX)
159 Operations research, mathematical programming (90-XX)
39 Systems theory; control (93-XX)
37 Computer science (68-XX)
32 Real functions (26-XX)
26 Measure and integration (28-XX)
25 Combinatorics (05-XX)
25 Statistical mechanics, structure of matter (82-XX)
23 Calculus of variations and optimal control; optimization (49-XX)
20 Partial differential equations (35-XX)
20 Geophysics (86-XX)
18 Integral transforms, operational calculus (44-XX)
16 Dynamical systems and ergodic theory (37-XX)
15 Biology and other natural sciences (92-XX)
14 Functional analysis (46-XX)
10 Approximations and expansions (41-XX)
10 Harmonic analysis on Euclidean spaces (42-XX)
10 Integral equations (45-XX)
9 Ordinary differential equations (34-XX)
7 General and overarching topics; collections (00-XX)
7 Special functions (33-XX)
7 Convex and discrete geometry (52-XX)
7 Information and communication theory, circuits (94-XX)
6 Linear and multilinear algebra; matrix theory (15-XX)
6 Operator theory (47-XX)
6 Algebraic topology (55-XX)
5 History and biography (01-XX)
5 Number theory (11-XX)
5 Functions of a complex variable (30-XX)
5 Sequences, series, summability (40-XX)
4 Difference and functional equations (39-XX)
3 Mathematical logic and foundations (03-XX)
3 Global analysis, analysis on manifolds (58-XX)
2 Differential geometry (53-XX)
2 General topology (54-XX)
2 Fluid mechanics (76-XX)
2 Astronomy and astrophysics (85-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Algebraic geometry (14-XX)
1 Category theory; homological algebra (18-XX)
1 Group theory and generalizations (20-XX)
1 Topological groups, Lie groups (22-XX)
1 Potential theory (31-XX)
1 Geometry (51-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

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