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Paul Embrechts

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2020 – today

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2022
[j16]
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Paul Embrechts, Alexander Schied, Ruodu Wang:
Robustness in the Optimization of Risk Measures. Oper. Res. 70(1): 95-110 (2022)
2020
[j15]
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Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang:
Quantile-based risk sharing with heterogeneous beliefs. Math. Program. 181(2): 319-347 (2020)

2010 – 2019

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2019
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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
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Paul Embrechts, Haiyan Liu, Ruodu Wang:
Quantile-Based Risk Sharing. Oper. Res. 66(4): 936-949 (2018)
[i1]
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Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret:
Data-driven polynomial chaos expansion for machine learning regression. CoRR abs/1808.03216 (2018)
2015
[j12]
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Paul Embrechts, Bin Wang, Ruodu Wang:
Aggregation-robustness and model uncertainty of regulatory risk measures. Finance Stochastics 19(4): 763-790 (2015)
2014
[j11]
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Paul Embrechts, Enkelejd Hashorva, Thomas Mikosch:
Aggregation of log-linear risks. J. Appl. Probab. 51(A): 203-212 (2014)
2013
[j10]
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Bikramjit Das, Paul Embrechts, Vicky Fasen:
Four theorems and a financial crisis. Int. J. Approx. Reason. 54(6): 701-716 (2013)
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Paul Embrechts, Marius Hofert:
A note on generalized inverses. Math. Methods Oper. Res. 77(3): 423-432 (2013)
2011
[r1]
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Paul Embrechts:
Quantitative Risk Management. International Encyclopedia of Statistical Science 2011: 1151-1154
2010
[j8]
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Paul Embrechts, Giovanni Puccetti:
Bounds for the sum of dependent risks having overlapping marginals. J. Multivar. Anal. 101(1): 177-190 (2010)
[j7]
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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

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2009
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Paul Embrechts, Marco Frei:
Panjer recursion versus FFT for compound distributions. Math. Methods Oper. Res. 69(3): 497-508 (2009)
2006
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Paul Embrechts, Giovanni Puccetti:
Bounds for Functions of Dependent Risks. Finance Stochastics 10(3): 341-352 (2006)
[c1]
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Paul Embrechts:
How to Model Operational Risk If You Must. OR 2006: 81
2005
[j4]
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Paul Embrechts, Roger Kaufmann, Pierre Patie:
Strategic Long-Term Financial Risks: Single Risk Factors. Comput. Optim. Appl. 32(1-2): 61-90 (2005)
2004
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Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve:
Editorial. Finance Stochastics 8(1): 1-2 (2004)
2003
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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

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1994
[j1]
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Paul Embrechts, Hanspeter Schmidli:
Modelling of extremal events in insurance and finance. Math. Methods Oper. Res. 39(1): 1-34 (1994)

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