×

zbMATH — the first resource for mathematics

Embrechts, Paul

Compute Distance To:
Author ID: embrechts.paul Recent zbMATH articles by "Embrechts, Paul"
Published as: Embrechts, Paul; Embrechts, P.
Documents Indexed: 111 Publications since 1978, including 5 Books
Biographic References: 2 Publications
all top 5

Co-Authors

18 single-authored
8 Mikosch, Thomas
7 Omey, Edward
6 Maejima, Makoto
6 Puccetti, Giovanni
5 Hofert, Marius
5 Wang, Ruodu
4 Goldie, Charles M.
4 Samorodnitsky, Gennady Pinkhosovich
3 Balkema, Guus
3 Davis, Richard A.
3 Degen, Matthias
3 Frey, Rüdiger
3 Grübel, Rudolf
3 Höing, Andrea
3 Nolde, Natalia
3 Schmidli, Hanspeter
3 Wüthrich, Mario Valentin
2 Aebi, Markus
2 Albrecher, Hansjörg
2 Arbenz, Philipp
2 Bühlmann, Hans
2 Chavez-Demoulin, Valérie
2 Delbaen, Freddy
2 Filipović, Damir
2 Furrer, Hansjörg
2 Herzberg, Agnes Margaret
2 Kaufmann, Roger
2 Klüppelberg, Claudia
2 Lambrigger, Dominik D.
2 Liu, Haiyan
2 Loisel, Stéphane
2 McNeil, Alexander J.
2 Pitts, Susan M.
2 Shiryaev, Al’bert Nikolaevich
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 Dacorogna, Michel M.
1 Das, Bikramjit
1 Dassios, Angelos
1 Defever, Filip
1 Donnelly, Catherine
1 Fasen, Vicky
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 Resnick, Sidney Ira
1 Robert, Christian Yann
1 Robertson Whitla, J.
1 Rogers, L. C. G.
1 Sardy, Sylvain
1 Schiller, Frank
1 Schmeiser, Hato
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.
1 Walk, Harro
1 Wang, Bin
1 Yor, Marc
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 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
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 Operations Research
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 Statistics & Risk Modeling
1 Dependence Modeling
1 Applications of Mathematics
1 Zurich Lectures in Advanced Mathematics

Publications by Year

Citations contained in zbMATH Open

94 Publications have been cited 3,908 times in 2,998 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
688
2005
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
168
2015
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
163
1982
Subexponentiality and infinite divisibility. Zbl 0397.60024
Embrechts, Paul; Goldie, Charles M.; Veraverbeke, Noel
140
1979
On closure and factorization properties of subexponential and related distributions. Zbl 0425.60011
Embrechts, Paul; Goldie, Charles M.
113
1980
Selfsimilar processes. Zbl 1008.60003
Embrechts, Paul; Maejima, Makoto
113
2002
On convolution tails. Zbl 0487.60016
Embrechts, Paul; Goldie, Charles M.
94
1982
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
72
1989
A note on generalized inverses. Zbl 1281.60014
Embrechts, Paul; Hofert, Marius
55
2013
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
52
2003
Multivariate Hawkes processes: an application to financial data. Zbl 1242.62093
Embrechts, Paul; Liniger, Thomas; Lin, Lu
49
2011
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
48
1994
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
47
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
45
1999
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
43
2006
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Zbl 1224.91057
Embrechts, Paul; Lambrigger, Dominik D.; Wüthrich, Mario V.
43
2009
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
42
2015
Bounds for functions of multivariate risks. Zbl 1089.60016
Embrechts, Paul; Puccetti, Giovanni
39
2006
High risk scenarios and extremes. A geometric approach. Zbl 1121.91055
Balkema, Guus; Embrechts, Paul
35
2007
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness. Zbl 1163.91431
Embrechts, Paul; Nešlehová, Johanna; Wüthrich, Mario V.
32
2009
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.
29
1998
A property of the generalized inverse Gaussian distribution with some applications. Zbl 0536.60022
Embrechts, Paul
27
1983
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
27
2010
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
26
2007
Panjer recursion versus FFT for compound distributions. Zbl 1205.91081
Embrechts, Paul; Frei, Marco
21
2009
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
21
2003
Approximations for compound Poisson and Pólya processes. Zbl 0576.62098
Embrechts, Paul; Jensen, Jens L.; Maejima, Makoto; Teugels, Jozef L.
19
1985
Worst VaR scenarios. Zbl 1102.91064
Embrechts, Paul; Höing, Andrea; Puccetti, Giovanni
18
2005
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
17
1993
The central limit theorem for summability methods of i.i.d. random variables. Zbl 0535.60018
Embrechts, Paul; Maejima, Makoto
15
1984
Some aspects of insurance mathematics. Zbl 0803.62092
Embrechts, P.; Klüppelberg, C.
15
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
15
2011
A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory. Zbl 0487.60021
Embrechts, Paul; Hawkes, John
14
1982
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
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
12
1984
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
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
12
2016
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
10
1994
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
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.
9
1995
EVT-based estimation of risk capital and convergence of high quantiles. Zbl 1149.62314
Degen, Matthias; Embrechts, Paul
9
2008
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
Functions of power series. Zbl 0561.60093
Embrechts, P.; Omey, E.
8
1984
Risk management and quantile estimation. Zbl 0922.62107
Bassi, Franco; Embrechts, Paul; Kafetzaki, Maria
8
1998
Extreme-quantile tracking for financial time series. Zbl 1311.91160
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S.
8
2014
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Longest runs in coin tossing. Zbl 0821.62008
Binswanger, K.; Embrechts, P.
7
1994
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
7
2005
Four theorems and a financial crisis. Zbl 1316.91038
Das, Bikramjit; Embrechts, Paul; Fasen, Vicky
6
2013
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
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
6
2012
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
Some limit theorems for generalized renewal measures. Zbl 0564.60082
Embrechts, Paul; Maejima, Makoto; Omey, Edward
4
1985
Stochastic processes in insurance and finance. Zbl 0979.60025
Embrechts, Paul; Frey, Rüdiger; Furrer, Hansjörg
4
2001
On subordinated distributions and random record processes. Zbl 0513.60029
Embrechts, P.; Omey, E.
4
1983
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Variations of Andrews’ plots. Zbl 0729.62636
Embrechts, Paul; Herzberg, Agnes M.
4
1991
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
4
2011
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
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
4
2015
Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146
Embrechts, Paul; Hofert, Marius
4
2013
Quantile-based risk sharing. Zbl 1455.91274
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu
4
2018
A second-order theorem for Laplace transforms. Zbl 0387.40006
Embrechts, Paul
3
1978
Ruin problem and how fast stochastic processes mix. Zbl 1022.60018
Embrechts, Paul; Samorodnitsky, Gennady
3
2003
Extreme VaR scenarios in higher dimensions. Zbl 1164.60322
Embrechts, Paul; Höing, Andrea
3
2006
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
3
2018
The shape of asymptotic dependence. Zbl 1274.60165
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
3
2013
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
Scaling of high-quantile estimators. Zbl 1229.62139
Degen, Matthias; Embrechts, Paul
2
2011
Book review of: D. M. Bressoud, A radical approach to Lebesgue’s theory of integration. Zbl 1314.00026
Embrechts, Paul
2
2009
The wizards of Wall Street: did mathematics change finance? Zbl 1239.00029
Embrechts, Paul
2
2003
Sensitivity of the limit shape of sample clouds from meta densities. Zbl 1264.60035
Balkema, Guus; Embrechts, Paul; Nolde, Natalia
2
2012
Hawkes graphs. Zbl 1390.60176
Embrechts, P.; Kirchner, M.
2
2018
Quantile-based risk sharing with heterogeneous beliefs. Zbl 1443.91102
Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu
2
2020
Actuarial versus financial pricing of insurance. Zbl 1063.91520
Embrechts, P.
1
1998
On a theorem of E. Lukacs. Zbl 0346.43006
Embrechts, Paul
1
1978
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
Long head runs and long match patterns. Zbl 0994.62047
Embrechts, Paul; Novak, Sergei Y.
1
2002
Different kinds of risk. Zbl 1178.91077
Embrechts, Paul; Furrer, Hansjörg; Kaufmann, Roger
1
2009
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
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
Book review of: M. Lefebvre, Applied stochastic processes. Zbl 1328.00031
Embrechts, Paul
1
2008
Dependence uncertainty for aggregate risk: examples and simple bounds. Zbl 1356.91103
Embrechts, Paul; Jakobsons, Edgars
1
2016
Space-time max-stable models with spectral separability. Zbl 1426.60058
Embrechts, Paul; Koch, Erwan; Robert, Christian
1
2016
Quantile-based risk sharing with heterogeneous beliefs. Zbl 1443.91102
Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu
2
2020
Quantile-based risk sharing. Zbl 1455.91274
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu
4
2018
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; Filipović, Damir; Koch-Medina, Pablo; Korn, Ralf; Loisel, Stéphane; Pelsser, Antoon; Schiller, Frank; Schmeiser, Hato; Wagner, Joël
3
2018
Hawkes graphs. Zbl 1390.60176
Embrechts, P.; Kirchner, M.
2
2018
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
12
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
Dependence uncertainty for aggregate risk: examples and simple bounds. Zbl 1356.91103
Embrechts, Paul; Jakobsons, Edgars
1
2016
Space-time max-stable models with spectral separability. Zbl 1426.60058
Embrechts, Paul; Koch, Erwan; Robert, Christian
1
2016
Quantitative risk management. Concepts, techniques and tools. Revised edition. Zbl 1337.91003
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
168
2015
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
42
2015
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
4
2015
Extreme-quantile tracking for financial time series. Zbl 1311.91160
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S.
8
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
55
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
6
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
49
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
15
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
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
27
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.
43
2009
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness. Zbl 1163.91431
Embrechts, Paul; Nešlehová, Johanna; Wüthrich, Mario V.
32
2009
Panjer recursion versus FFT for compound distributions. Zbl 1205.91081
Embrechts, Paul; Frei, Marco
21
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
35
2007
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
26
2007
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
43
2006
Bounds for functions of multivariate risks. Zbl 1089.60016
Embrechts, Paul; Puccetti, Giovanni
39
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
688
2005
Worst VaR scenarios. Zbl 1102.91064
Embrechts, Paul; Höing, Andrea; Puccetti, Giovanni
18
2005
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
7
2005
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
52
2003
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
21
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
113
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
45
1999
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
29
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.
47
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.
9
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
48
1994
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
10
1994
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Longest runs in coin tossing. Zbl 0821.62008
Binswanger, K.; Embrechts, P.
7
1994
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
17
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.
4
1991
Martingales in non-life insurance. Zbl 0724.62101
Embrechts, P.
1
1990
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
72
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.
19
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
12
1984
Functions of power series. Zbl 0561.60093
Embrechts, P.; Omey, E.
8
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
27
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.
163
1982
On convolution tails. Zbl 0487.60016
Embrechts, Paul; Goldie, Charles M.
94
1982
A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory. Zbl 0487.60021
Embrechts, Paul; Hawkes, John
14
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.
113
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
140
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 3,247 Authors

56 Tang, Qihe
46 Hashorva, Enkelejd
45 Embrechts, Paul
42 Mikosch, Thomas
41 Klüppelberg, Claudia
39 Samorodnitsky, Gennady Pinkhosovich
35 Wang, Ruodu
35 Wang, Yuebao
30 Durante, Fabrizio
30 Šiaulys, Jonas
27 Resnick, Sidney Ira
26 Asmussen, Søren
24 Peng, Liang
24 Wang, Kaiyong
23 Girard, Stéphane
23 Hofert, Marius
22 Genest, Christian
19 Nešlehová, Johanna G.
19 Puccetti, Giovanni
19 Siu, Tak Kuen
18 Landsman, Zinoviy M.
17 Gao, Qingwu
17 Li, Jinzhu
17 Yang, Hailiang
17 Zwart, Bert P.
16 Albrecher, Hansjörg
16 Cossette, Hélène
16 Leipus, Remigijus
16 Marceau, Étienne
16 Scherer, Matthias
15 Blanchet, Jose H.
15 Mao, Tiantian
15 Rüschendorf, Ludger
15 Yuen, Kam Chuen
14 Cai, Jun
14 Chen, Yiqing
14 Eliazar, Iddo I.
14 Hu, Taizhong
14 Ng, Kai Wang
14 Schmidli, Hanspeter
14 Wüthrich, Mario Valentin
13 Asimit, Alexandru V.
13 Dębicki, Krzysztof
13 Jaworski, Piotr
13 Mai, Jan-Frederik
12 Cheng, Dongya
12 Das, Bikramjit
12 Davis, Richard A.
12 Foss, Sergey G.
12 Gardes, Laurent
12 Omey, Edward
12 Robert, Christian Yann
12 Su, Chun
12 Vanduffel, Steven
12 Wu, Rong
12 Yin, Chuancun
12 Zitikis, Ričardas
11 Chen, Yu
11 Dassios, Angelos
11 Joe, Harry
11 Kojadinovic, Ivan
11 Teugels, Jozef L.
11 Yan, Jun
11 Yang, Jingping
10 Bingham, Nicholas Hugh
10 Bouzebda, Salim
10 Czado, Claudia
10 Dembińska, Anna
10 Di Bernardino, Elena
10 Didier, Gustavo
10 Furman, Edward
10 Guillou, Armelle
10 Maller, Ross Arthur
10 Pakes, Anthony G.
10 Shen, Xinmei
10 Taqqu, Murad S.
10 Úbeda-Flores, Manuel
10 Willmot, Gordon E.
10 Yuan, Zhongyi
9 Frey, Rüdiger
9 Guillen, Montserrat
9 Hu, Yijun
9 Hua, Lei
9 Ji, Lanpeng
9 Kortschak, Dominik
9 Loisel, Stéphane
9 Macci, Claudio
9 Stupfler, Gilles
9 Tan, Ken Seng
9 Wang, Bin
9 Zhang, Yi
9 Zhang, Zhengjun
8 Balakrishnan, Narayanaswamy
8 Bee, Marco
8 Bernard, Carole
8 Denuit, Michel M.
8 Fernández-Sánchez, Juan
8 Geluk, Jaap L.
8 Glynn, Peter W.
8 Goovaerts, Marc J.
...and 3,147 more Authors
all top 5

Cited in 310 Serials

337 Insurance Mathematics & Economics
168 Statistics & Probability Letters
113 Extremes
97 Stochastic Processes and their Applications
93 Journal of Multivariate Analysis
74 Journal of Applied Probability
64 Scandinavian Actuarial Journal
62 Bernoulli
60 Advances in Applied Probability
56 Computational Statistics and Data Analysis
54 Journal of Econometrics
53 ASTIN Bulletin
50 Journal of Statistical Planning and Inference
47 The Annals of Applied Probability
45 Methodology and Computing in Applied Probability
44 Quantitative Finance
43 Communications in Statistics. Theory and Methods
39 Lithuanian Mathematical Journal
39 European Journal of Operational Research
38 Journal of Mathematical Analysis and Applications
38 Dependence Modeling
33 North American Actuarial Journal
32 Journal of Computational and Applied Mathematics
32 International Journal of Theoretical and Applied Finance
32 Stochastic Models
29 The Annals of Statistics
26 Journal of Theoretical Probability
25 European Actuarial Journal
24 Journal of Statistical Computation and Simulation
21 Acta Mathematicae Applicatae Sinica. English Series
21 Annals of Operations Research
19 Probability Theory and Related Fields
19 Finance and Stochastics
18 Scandinavian Actuarial Journal
18 Queueing Systems
17 Annals of the Institute of Statistical Mathematics
17 Statistical Papers
16 Metrika
16 The Annals of Probability
16 Journal of the Korean Statistical Society
15 Journal of Economic Dynamics & Control
15 Test
15 Applied Stochastic Models in Business and Industry
15 Electronic Journal of Statistics
13 Scandinavian Journal of Statistics
13 Statistics
13 Journal of Mathematical Sciences (New York)
13 Mathematical Finance
13 Probability in the Engineering and Informational Sciences
12 Journal of Applied Statistics
12 Science China. Mathematics
12 Statistics & Risk Modeling
11 Journal of Statistical Physics
11 Applied Mathematics and Computation
11 Fuzzy Sets and Systems
11 Stochastic Analysis and Applications
11 Econometric Theory
10 Kybernetika
10 Applied Mathematics. Series B (English Edition)
10 Journal of Statistical Theory and Practice
10 Statistics and Computing
9 Mathematics and Computers in Simulation
9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
9 Mathematical Methods of Statistics
9 Mathematical Problems in Engineering
9 Mathematical Methods of Operations Research
9 Frontiers of Mathematics in China
9 The Annals of Applied Statistics
8 Journal of Time Series Analysis
8 Science in China. Series A
8 Applied Mathematical Finance
8 Acta Mathematica Sinica. English Series
8 Brazilian Journal of Probability and Statistics
8 Asia-Pacific Financial Markets
8 Statistical Methods and Applications
8 Journal of Industrial and Management Optimization
8 SIAM Journal on Financial Mathematics
8 Journal of Probability and Statistics
8 Modern Stochastics. Theory and Applications
7 Mathematical Notes
7 Physica A
7 Chaos, Solitons and Fractals
7 Economics Letters
7 Computational Statistics
7 Communications in Statistics. Simulation and Computation
7 Cybernetics and Systems Analysis
7 Nonlinear Analysis. Modelling and Control
7 Statistical Methodology
6 Journal of the American Statistical Association
6 Operations Research Letters
6 Japan Journal of Industrial and Applied Mathematics
6 Annals of Physics
6 Journal of Nonparametric Statistics
6 AStA. Advances in Statistical Analysis
6 Annals of Finance
5 Mathematical Proceedings of the Cambridge Philosophical Society
5 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
5 Information Sciences
5 Mathematics of Operations Research
5 Operations Research
...and 210 more Serials
all top 5

Cited in 48 Fields

1,691 Statistics (62-XX)
1,523 Probability theory and stochastic processes (60-XX)
1,296 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
173 Numerical analysis (65-XX)
147 Operations research, mathematical programming (90-XX)
37 Systems theory; control (93-XX)
30 Real functions (26-XX)
27 Computer science (68-XX)
23 Measure and integration (28-XX)
22 Combinatorics (05-XX)
19 Geophysics (86-XX)
18 Integral transforms, operational calculus (44-XX)
18 Calculus of variations and optimal control; optimization (49-XX)
17 Statistical mechanics, structure of matter (82-XX)
16 Dynamical systems and ergodic theory (37-XX)
14 Partial differential equations (35-XX)
14 Functional analysis (46-XX)
13 Biology and other natural sciences (92-XX)
10 Approximations and expansions (41-XX)
10 Harmonic analysis on Euclidean spaces (42-XX)
7 Ordinary differential equations (34-XX)
6 General and overarching topics; collections (00-XX)
6 Linear and multilinear algebra; matrix theory (15-XX)
6 Special functions (33-XX)
6 Integral equations (45-XX)
6 Convex and discrete geometry (52-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)
4 Algebraic topology (55-XX)
4 Global analysis, analysis on manifolds (58-XX)
4 Information and communication theory, circuits (94-XX)
3 Mathematical logic and foundations (03-XX)
3 Operator theory (47-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)

Citations by Year