Paul Embrechts

20 papers Journal 18Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Technical Note - An Unexpected Stochastic Dominance: Pareto Distributions, Dependence, and Diversification.
Oper. Res.
Yuyu Chen, Paul Embrechts, Ruodu Wang
2022 J jnl
Robustness in the Optimization of Risk Measures.
Oper. Res.
Paul Embrechts, Alexander Schied, Ruodu Wang
2020 J jnl
Quantile-based risk sharing with heterogeneous beliefs.
Math. Program.
Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang
2019 J jnl
Data-driven polynomial chaos expansion for machine learning regression.
J. Comput. Phys.
Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret
2018 J jnl
Data-driven polynomial chaos expansion for machine learning regression.
CoRR
Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret
2018 J jnl
Quantile-Based Risk Sharing.
Oper. Res.
Paul Embrechts, Haiyan Liu, Ruodu Wang
2015 J jnl
Aggregation-robustness and model uncertainty of regulatory risk measures.
Finance Stochastics
Paul Embrechts, Bin Wang, Ruodu Wang
2014 J jnl
Aggregation of log-linear risks.
J. Appl. Probab.
Paul Embrechts, Enkelejd Hashorva, Thomas Mikosch
2013 J jnl
A note on generalized inverses.
Math. Methods Oper. Res.
Paul Embrechts, Marius Hofert
2013 J jnl
Four theorems and a financial crisis.
Int. J. Approx. Reason.
Bikramjit Das, Paul Embrechts, Vicky Fasen
2011 — ch.
Quantitative Risk Management.
International Encyclopedia of Statistical Science
Paul Embrechts
2010 J jnl
Bounds for the sum of dependent risks having overlapping marginals.
J. Multivar. Anal.
Paul Embrechts, Giovanni Puccetti
2010 J jnl
Meta densities and the shape of their sample clouds.
J. Multivar. Anal.
A. A. Balkema, Paul Embrechts, Natalia Nolde
2009 J jnl
Panjer recursion versus FFT for compound distributions.
Math. Methods Oper. Res.
Paul Embrechts, Marco Frei
2006 J jnl
Bounds for Functions of Dependent Risks.
Finance Stochastics
Paul Embrechts, Giovanni Puccetti
2006 — conf
How to Model Operational Risk If You Must.
OR
Paul Embrechts
2005 J jnl
Strategic Long-Term Financial Risks: Single Risk Factors.
Comput. Optim. Appl.
Paul Embrechts, Roger Kaufmann, Pierre Patie
2004 J jnl
Editorial.
Finance Stochastics
Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve
2003 J jnl
Using copulae to bound the Value-at-Risk for functions of dependent risks.
Finance Stochastics
Paul Embrechts, Andrea Höing, Alessandro Juri
1994 J jnl
Modelling of extremal events in insurance and finance.
Math. Methods Oper. Res.
Paul Embrechts, Hanspeter Schmidli