Paul Embrechts

Some Selected Papers

2024. Chen, Y., Embrechts, P., Wang, R.: Risk exchange under infinite-mean Pareto models. PDF
2024. Chen, Y., Embrechts, P., Wang, R.: An unexpected stochastic dominance: Pareto distributions, dependence, diversification. to appear in Operations Research PDF
2022. Embrechts, P.: The walls came tumbling down (Editorial). Annals of Actuarial Science 16, 211–213. PDF
2022. Embrechts, P., Schied A., Wang, R.: Robustness in the Optimization of Risk Measures. Operations Research 70(1), 95-110. PDF
2022. Embrechts, P., Wuethrich, M.V.: Recent challenges in actuarial science. Annual Review of Statistics and Its Application, 9, 119-140. PDF
2021. Embrechts, P., Mao, T., Wang, Q., Wang, R.: Bayes risk, elicitability, and the Expected Shortfall. Mathematical Finance 31(4), 1190–1217. PDF
2020. Embrechts, P., Genest, C., Nešlehová, J.G.: A Conversation With Paul Embrechts, Interview by Christian Genest and Johanna G. Nešlehová. International Statistical Review 88(3), 521-547. PDF
2020. Embrechts, P., Liu, H., Mao, T., Wang, R.: Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, Series B 181(2), 319-347. PDF
2020. Embrechts, P.: A Conversation with Paul Embrechts. In: Dialogues Around Models and Uncertainty - An Interdisciplinary Perspective, P. Barrieu (Ed.), 297-310. PDF
2020. Embrechts, P.: The Future of the Actuarial Profession - Talking with prominent figures: Interview with Paul Embrechts. ASTIN Annual Report 2019/2020, International Actuarial Association, 45-47. PDF
2019. Embrechts, P.: Computerhandel creëert risico's die we onvoldoende begrijpen. Interview by Kris van Hamme, De Tijd, 26.01.2019, 37-38. PDF
with French version as: Le trading automatisé crée des risques que nous ne comprenons pas assez. L'Echo, 26.01.2019, 37-38. PDF
2019. Torre, E., Marelli, S., Embrechts, P., Sudret, B.: A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas. Probabilistic Engineering Mechanics 55, 1-16. PDF
2019. Torre, E., Marelli, S., Embrechts, P., Sudret, B.: Data-driven polynomial chaos expansion for machine learning regression. Journal of Computational Physics 388, 601-623 PDF
2018. Balkema, G., Embrechts, P.: Linear regression for heavy tails. Risks 2018 6(3), 93. PDF
2018. Embrechts, P., Mizgier, K.J., Chen, X.: Modeling Operational Risk Depending on Covariates. An Empirical Investigation. Journal of Operational Risk 13(3), 17-46 PDF
2018. Albrecher, H., Bauer, D., Embrechts, P., Filipoviç, D., Koch, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H., Wagner, J.: Asset-Liability Management for Long-Term Insurance Business. European Actuarial Journal 8(1), 9-25 PDF
2018. Embrechts, P., Liu, H., Wang, R.: Quantile-based risk sharing. Operations Research 66(4), 936-949 PDF
2018. Embrechts, P., Kirchner, M.: Hawkes Graphs. Theory of Probability and Its Applications 62(1), 132-156 PDF
2017. Embrechts, P.: A Darwinian View on Internal Models. Journal of Risk 20(1), 1-21 PDF. For the published version, see https://www.risk.net/journal-of-risk/5349396/a-darwinian-view-on-internal-models
2016. Albrecher, H., Embrechts, P., Filipoviç D., Harrison, G., Koch, P., Loisel, S., Vanini, P., Wagner, J.: Old age provision: Past, Present, Future. European Actuarial Journal 6(2), 287-306 PDF
2016. Chavez-Demoulin, V., Embrechts, P., Hofert, M.: An extreme value approach for modeling Operational Risk losses depending on covariates. Journal of Risk and Insurance 83(3), 735-776 (2016) PDF
2016. Embrechts, P., Jakobsons, E.: Dependence uncertainty for aggregate risk: examples and simple bounds. In: The Fascination of Probability, Statistics and their Applications. In Honour of Ole E. Barndorff-Nielsen. M. Podolskij, R. Stelzer, S. Thorbjornsen, A.E.D. Veraart (Eds.), pp. 395-417, Springer PDF
2016. Embrechts, P., Koch, E., Robert, C.: Space-time max-stable models with spectral separability. In: Probability, Analysis and Number Theory. In honour of N.H. Bingham, C.M. Goldie and A. Mijatoviç (Eds.), Advances of Applied Probability Special Vol. 48A, 77-97 PDF
2016. Embrechts, P., Hofert, M., Wang, R.: Bernoulli and Tail-Dependence Compatibility. Annals of Applied Probability 26(3), 1636-1658 PDF
2015. Embrechts, P., Wang, R.: Seven Proofs for the Subadditivity of Expected Shortfall. Dependence Modeling 3(1), 126-140 PDF
2015. Embrechts, P., Wang, B., Wang, R.: Aggregation-robustness and model uncertainty of regulatory risk measures. Finance and Stochastics 19(4), 763-790 PDF
2014. Embrechts, P. Puccetti G., Rüschendorf L., Wang R., Beleraj A.: An Academic Response to Basel 3.5. Risks 2014 2(1), 25-48 PDF
2014. Embrechts, P., Hofert, M.: Statistics and Quantitative Risk Management for Banking and Insurance. Annual Review of Statistics and its Applications 1, 493-514 PDF
2014. Embrechts, P., Hashorva, E., Mikosch, T.: Aggregation of log-linear risks. Celebrating 40 Years of the Applied Probability Trust, Journal of Applied Probability 51A, 203-212 PDF
2014. Chavez-Demoulin, V., Embrechts, P., Sardy, S.: Extreme-quantile tracking for financial time series. Journal of Econometrics 181(1), 44-52 PDF
2013. Embrechts, P., Hofert, M.: A note on generalized inverses. Mathematical Methods of Operations Research 77(3), 423-432 PDF
2013. Embrechts, P., Puccetti, G., Rüschendorf, L.: Model uncertainty and VaR aggregation. Journal of Banking and Finance 37(8), 2750-2764 PDF
2013. Embrechts, P., Hofert, M.: Statistical inference for copulas in high dimensions: A simulation study. ASTIN Bulletin 43(2), 81-95 PDF
2013. Balkema, G., Embrechts, P., Nolde, N.: The shape of asymptotic dependence. In: Springer Proceedings in Mathematics & Statistics, Special volume "Prokhorov and Contemporary Probability Theory" (ed. A. Shiryaev, S. Varadhan and E. Presman) 33, pp. 43-67 PDF
2013. Das, B., Embrechts, P., Fasen, V.: Four Theorems and a Financial Crisis. Int. Journal of Approximate Reasoning 54, 701-716 PDF
2012. Arbenz, P., Embrechts, P., Puccetti, G.: The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables. Stochastics 84(5-6), 569-597 PDF
2011. Embrechts, P., Hofert, M.: Practices and issues in operational risk modeling under Basel II. Lithuanian Mathematical Journal 50(2), 180-193 PDF
2011. Embrechts, P., Liniger, T., Lu, L.: Multivariate Hawkes Processes: an Application to Financial Data. Journal of Applied Probability, Special Volume 48(A), 367-378 PDF
2011. Embrechts, P., Degen, M.: Scaling of high-quantile estimators, Journal of Applied Probability 48(4), 968-983 PDF
2011. Wüthrich, M.V., Embrechts, P. Tsanakas, A.: Risk margin for a non-life insurance run-off. Statistics and Risk Modeling 28(4), 299-317 PDF
2011. Arbenz, P., Embrechts, P., Puccetti, P.: The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Bernoulli 17(2), 562-591 PDF
2011. Chavez-Demoulin, V. Embrechts, P.: An EVT primer for credit risk. Lipton, A. and Rennie, A. (Editors) The Oxford Handbook of Credit Derivatives, Oxford University Press, 500-532 PDF
2010. Chavez-Demoulin, V., Embrechts, P.: Revisiting the edge, ten years on. Communications in Statistics - Theory and Methods, 39, 1674-1688 PDF
2010. Balkema, G., Embrechts, P., Nolde, N.: Meta densities and the shape of their sample clouds. Journal of Multivariate Analysis 101, 1738-1754 PDF
2010. Dias, A., Embrechts, P.: Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money and Finance 29, 1687-1705 PDF
2010. Donnelly, C., Embrechts, P.: The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin 40(1), 1-33 PDF
2010. Embrechts, P., Puccetti, G.: Risk Aggregation. Copula Theory and its Applications, P. Jaworski, F. Durante, W. Haerdle, and T. Rychlik (Eds.) Lecture Notes in Statistics - Proceedings 198, Springer Berlin/Heidelberg, pp. 111-126 PDF
2009. Embrechts, P., Puccetti, G.: Bounds for the sum of dependent risks having overlapping marginals. Journal of Multivariate Analysis 101, 177-190 PDF
2009. Embrechts, P.: Copulas: A personal view. Journal of Risk and Insurance 76, 639-650 PDF
2009. Embrechts, P., Neslehova, J., Wüthrich, M.V.: Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics 44, 164-169 PDF
2009. Embrechts, P., Lambrigger, D.D., Wüthrich, M.V.: Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Extremes 12, 107-127 PDF
2009. Embrechts, P., Furrer, H., Kaufmann, R.: Different Kinds of Risk. in Handbook of Financial Time Series, Eds. Andersen, Davis, Kreiss, and Mikosch, pp. 729-751, Springer Berlin/Heidelberg PDF
2009. Embrechts, P., Frei, M.: Panjer recursion versus FFT for compound distributions. Mathematical Methods of Operations Research 69(3), 497-508. PDF
2009. Dias, A., Embrechts, P.: Testing for structural changes in exchange rates dependence beyond linear correlation. European Journal of Finance 15(7), 619-637 PDF
2008. Degen, M., Embrechts, P.: EVT-based estimation of risk capital and convergence of high quantiles. Advances in Applied Probability 40(3), 696-715 PDF
2008. Embrechts, P., Puccetti, G.: Aggregating risk across matrix structured loss data: the case of operational risk. Journal of Operational Risk 3(2), 29-44. PDF
2007. Balkema, G. and Embrechts, P. High Risk Scenarios and Extremes. A geometric approach. Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, 388 pages. For more information, see European Mathematical Society
2007. Degen, M., Embrechts, P., Lambrigger, D.D.: The quantitative modeling of operational risk: between g-and-h and EVT. Astin Bulletin 37(2), 265-291 PDF
2006. Dell'Aquila, R., Embrechts, P.: Extremes and robustness: a contradiction? Financial Markets and Portfolio Management 20, 103-118 PDF
2006. Embrechts, P., Höing, A.: Extreme VaR scenarios in higher dimensions. Extremes 9, 177-192 PDF
2006. Neslehova, J., Embrechts, P., Chavez-Demoulin, V.: Infinite mean models and the LDA for operational risk Journal of Operational Risk 1(1), 3-25 PDF
2006. Chavez-Demoulin, V., Embrechts, P., Neslehova, J.: Quantitative models for operational risk: extremes, dependence and aggregation, Journal of Banking and Finance 30(10), 2635-2658 PDF
2006. Embrechts, P, Puccetti, G.: Bounds for functions of multivariate risks Journal of Multivariate Analysis 97(2), 526-547 PDF
2006. Embrechts, P, Puccetti, G.: Aggregating risk capital, with an application to operational risk The Geneva Risk and Insurance Review 31(2), 71-90 PDF
2006. Embrechts, P, Puccetti, G.: Bounds for functions of dependent risks Finance and Stochastics, 10, 341-352 PDF
2005. Embrechts, P., Kaufmann, R., Patie, P.: Strategic long-term financial risks: single risk factors. Computational Optimization and Applications 32(1/2), 61-90 Postscript, PDF
2005. Embrechts, P., Höing, A., Puccetti, G.: Worst VaR Scenarios. Insurance: Mathematics and Economics 37(1), 115-134 PDF
2004. Embrechts, P., Kaufmann, R., Samorodnitsky, G.: Ruin theory revisited: stochastic models for operational risk. In: Risk Management for Central Bank Foreign Reserves (Eds. C. Bernadell et al.) European Central Bank, Frankfurt a.M., pp. 243-261 Postscript, PDF
2004. Embrechts, P.: Extremes in economics and the economics of extremes. In: Extreme Values in Finance, Telecommunications and the Environment (Eds. B. Finkenstädt and H. Rootzén), Chapman and Hall CRC, London, pp. 169-183 Postscript, PDF
2004. Chavez-Demoulin, V., Embrechts, P.: Advanced extremal models for operational risk. PDF
2004. Embrechts, P., Balkema, G.: Multivariate excess distributions. PDF
2004. Embrechts, P., Chavez-Demoulin, V.: Smooth extremal models in finance and insurance. The Journal of Risk and Insurance 71(2), 183-199 Postscript, PDF
2004. Dias, A., Embrechts, P.: Change-point analysis for dependence structures in finance and insurance. In: Risk Measures for the 21st Century, ed. by Giorgio Szegoe, Wiley Finance Series, Chapter 16, pp. 321-335 Postscript, PDF
2004. Embrechts, P., Mikosch, T.: Mathematical Models in Finance. In: Encyclopedia of Life Support Systems (EOLSS), Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK Postscript, PDF
2003. Embrechts, P., Furrer, H., Kaufmann, R.: Quantifying regulatory capital for operational risk. Derivatives Use, Trading & Regulation 9(3), 217-233 Postscript, PDF
2003. Embrechts, P., Lindskog, F., McNeil, A.: Modelling Dependence with Copulas and Applications to Risk Management. In: Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev, Elsevier, Chapter 8, pp. 329-384 Postscript, PDF
2003. Embrechts, P.: Johann Bernoulli lecture: The Wizards of Wall Street: did mathematics change finance? Nieuw Archief voor Wiskunde 5/4, 26-33 Postscript, PDF
2003. Embrechts, P., Samorodnitsky, G.: Ruin problem and how fast stochastic processes mix. The Annals of Applied Probability 13, 1-36 Postscript, PDF
2003. Breymann, W., Dias, A., Embrechts, P.: Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3(1), 1-16 Postscript, PDF
2003. Embrechts, P., Hoeing, A., Juri, A.: Using Copulae to bound the Value-at-Risk for functions of dependent risks. Finance & Stochastics 7(2), 145-167 Postscript, PDF
2002. Blum, P., Dias, A., Embrechts, P.: The ART of dependence modelling: the latest advances in correlation analysis. In: Alternative Risk Strategies, ed. Morton Lane, Risk Books, London, pp. 339-356 Postscript, PDF
2002. Chavez-Demoulin, V., Embrechts, P., Roehrl, A.: A statistical analysis of the shareprice of the SAIR group (1996-2001) from a risk manager's point of view. Derivatives Use, Trading & Regulation 8, 105-122 Postscript, PDF
2002. Embrechts, P., McNeil, A., Straumann, D.: Correlation and dependence in risk management: properties and pitfalls. In: Risk Management: Value at Risk and Beyond, ed. M.A.H. Dempster, Cambridge University Press, Cambridge, pp. 176-223 PDF
2001. Blum, P., Dacorogna, M., Embrechts, P., Neghaiwi, T., Niggli, H.: Using DFA for modelling the impact of foreign exchange risks on reinsurance decisions. In: Casuality Actuarial Society Forum, Summer 2001 PDF
2001. Embrechts, P. et al.: An Academic Response to Basel II. Financial Markets Group, London School of Economics Postscript, PDF www.bis.org
2001. Embrechts, P, Frey, R, Furrer, H: Stochastic Processes in Insurance and Finance. In: Handbook of Statistics, vol. 19 'Stochastic Processes: Theory and Methods', Elsevier Science, Amsterdam, pp. 365-412 Postscript, PDF
2000. Embrechts, P.: Actuarial versus financial pricing of insurance. Risk Finance 1, no. 4, 17-26 Postscript, PDF
2000. Embrechts, P., Maejima, M.: An introduction to the theory of selfsimilar stochastic processes. International Journal of Modern Physics B 14, 1399-1420 Postscript, PDF
2000. Embrechts, P.: Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool. Derivatives Use, Trading & Regulation 6, 449-456 Postscript, PDF
2000. Embrechts, P, Walk, H.: Recursive estimation of distributional fix-points. Journal of Applied Probability 37, 73-87 Postscript, PDF
2000. Embrechts, P., Haan, L. de, Huang, X.: Modelling multivariate extremes. Extremes and Integrated Risk Management, (Ed. P. Embrechts) RISK Books, 59-67 Postscript, PDF
1999. Embrechts, P., McNeil, A., Straumann, D.: Correlation: Pitfalls and alternatives. A short, non-technical article, RISK Magazine, May, 69-71 PDF
1999. Embrechts P, Resnick S, Samorodnitsky, G: Extreme value theory as a risk management tool North American Actuarial Journal. 3, 30-41 Postscript
1998. Embrechts, P, Gruebel, R.: HARCH processes are heavy tailed. Extremes 2:1 (1999) 87-93 Postscript, PDF
1998. Bassi F, Embrechts P, Kafetzaki M: Risk management and quantile estimation. In: A Practical Guide to Heavy Tails, eds. R.J. Adler et al., Boston, Birkhaeuser, pp. 111-130 Postscript
1998. Buehlmann, H., Delbaen, F., Embrechts P, Shiryaev, A.: On Esscher Transforms in Discrete Finance Models. ASTIN Bulletin 28, 171-186 Postscript
1998. Embrechts P, Resnick S, Samorodnitsky, G.: Living on the Edge. RISK, January 1998, 96-100. Also published in: Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, M. Broadie and P. Glasserman (eds.), Risk Books, New York, pp. 239-243 Postscript

Monographs

2024. Embrechts, P., Hofert, M. and Chavez-Demoulin, V. Risk Revealed: Cautionary Tales, Understanding and Communication. 384 pages. Cambridge University Press
2015. McNeil, A.J., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools, Revised edition. Princeton Series in Finance, 699 pages. Princeton University Press
2008. McNeil, A.J., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools. Japanese translation published by arrangement with Princeton University Press
2007. Balkema, G. and Embrechts, P. High Risk Scenarios and Extremes. A geometric approach. Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, 388 pages. European Mathematical Society
2005. McNeil, A.J., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques, Tools. Princeton Series in Finance, 538 pages. Princeton University Press
2002. Embrechts, P. and Maejima, M. Selfsimilar Processes. 128 pages. Princeton University Press
2003. Embrechts, P. Klüppelberg, C. and Mikosch, T. Modelling Extremal Events for Insurance and Finance. Springer-Verlag, 648 pages, corr. 4th printing, 1st ed. 1997. Springer

Zurich, April 2, 2024

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