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Paul Embrechts
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2020 – today
- 2022
- [j16]Paul Embrechts, Alexander Schied
, Ruodu Wang
:
Robustness in the Optimization of Risk Measures. Oper. Res. 70(1): 95-110 (2022) - 2020
- [j15]Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang:
Quantile-based risk sharing with heterogeneous beliefs. Math. Program. 181(2): 319-347 (2020)
2010 – 2019
- 2019
- [j14]Emiliano Torre
, Stefano Marelli
, Paul Embrechts, Bruno Sudret
:
Data-driven polynomial chaos expansion for machine learning regression. J. Comput. Phys. 388: 601-623 (2019) - 2018
- [j13]Paul Embrechts, Haiyan Liu, Ruodu Wang
:
Quantile-Based Risk Sharing. Oper. Res. 66(4): 936-949 (2018) - [i1]Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret:
Data-driven polynomial chaos expansion for machine learning regression. CoRR abs/1808.03216 (2018) - 2015
- [j12]Paul Embrechts, Bin Wang, Ruodu Wang:
Aggregation-robustness and model uncertainty of regulatory risk measures. Finance Stochastics 19(4): 763-790 (2015) - 2014
- [j11]Paul Embrechts, Enkelejd Hashorva, Thomas Mikosch:
Aggregation of log-linear risks. J. Appl. Probab. 51(A): 203-212 (2014) - 2013
- [j10]Bikramjit Das
, Paul Embrechts, Vicky Fasen
:
Four theorems and a financial crisis. Int. J. Approx. Reason. 54(6): 701-716 (2013) - [j9]Paul Embrechts, Marius Hofert:
A note on generalized inverses. Math. Methods Oper. Res. 77(3): 423-432 (2013) - 2011
- [r1]Paul Embrechts:
Quantitative Risk Management. International Encyclopedia of Statistical Science 2011: 1151-1154 - 2010
- [j8]Paul Embrechts, Giovanni Puccetti
:
Bounds for the sum of dependent risks having overlapping marginals. J. Multivar. Anal. 101(1): 177-190 (2010) - [j7]A. A. Balkema, Paul Embrechts, Natalia Nolde:
Meta densities and the shape of their sample clouds. J. Multivar. Anal. 101(7): 1738-1754 (2010)
2000 – 2009
- 2009
- [j6]Paul Embrechts, Marco Frei:
Panjer recursion versus FFT for compound distributions. Math. Methods Oper. Res. 69(3): 497-508 (2009) - 2006
- [j5]Paul Embrechts, Giovanni Puccetti
:
Bounds for Functions of Dependent Risks. Finance Stochastics 10(3): 341-352 (2006) - [c1]Paul Embrechts:
How to Model Operational Risk If You Must. OR 2006: 81 - 2005
- [j4]Paul Embrechts, Roger Kaufmann, Pierre Patie
:
Strategic Long-Term Financial Risks: Single Risk Factors. Comput. Optim. Appl. 32(1-2): 61-90 (2005) - 2004
- [j3]Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve:
Editorial. Finance Stochastics 8(1): 1-2 (2004) - 2003
- [j2]Paul Embrechts, Andrea Höing, Alessandro Juri:
Using copulae to bound the Value-at-Risk for functions of dependent risks. Finance Stochastics 7(2): 145-167 (2003)
1990 – 1999
- 1994
- [j1]Paul Embrechts, Hanspeter Schmidli:
Modelling of extremal events in insurance and finance. Math. Methods Oper. Res. 39(1): 1-34 (1994)
Coauthor Index
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