CURRICULUM VITAE

Professor Dr. Paul Embrechts

ETH Zurich

Born 3rd of February, 1953 in Schoten (Belgium), Belgian citizen
Married to Gerda Janssens, three children

Addresses:

Private:

Buechraiweg 4
5452 Oberrohrdorf
Switzerland

Work:

Department of Mathematics
ETH Zürich
Rämistrasse 101
8092 Zürich
Switzerland

tel. +41 44 632 34 19

FAX: +41 44 632 15 23

email: embrechts@math.ethz.ch

website: www.math.ethz.ch/~embrechts

1. Education
Catholic University of Leuven, Belgium		Dr. Sc. (MATH)	1979
University of Antwerp, Belgium		'Licentiaat' in Mathematics	1975

2. Employment

2.1.	ETH Zürich	Full Professor of Mathematics	1989-date

	University of Limburg, Diepenbeek, Belgium	Docent	1985-1989

	Imperial College, University of London, UK	Lecturer in Statistics	1983-1985

	Catholic University of Leuven, Belgium	Research Assistant	1975-1983

2.2.

Visiting Professor at the University of Strasbourg (1996, 1997), ESSEC-Paris (1995, 1996, 1997), Cornell University (Fall 1996), Scuola Normale di Pisa: Cattedra Galileiana (1999), University of Florence (2001), London School of Economics: Centennial Professor of Finance (2003-2005), Eminent Visitor of the Financial Integrity Research Network, Australia (2006), University of Vienna (2008), Bowles Chair, Georgia State University, Atlanta (2009), Université Paris 1 Panthéon-Sorbonne (2009), National University of Singapore (2009), First Chair of the Belgian Institute of Actuaries (2010)

2.3.	Director of RiskLab-ETH Zürich, 1999-2000, 2002-2003, 2005-date

2.4.	Actuary-SAA, Aktuar-SAV: 1998

3. Research Interests

Stochastic modelling of extremal events in insurance and finance.
Econometric models for tick-by-tick data in finance.
Actuarial risk theory.
Quantitative risk management.
Modelling of dependence beyond linear correlation.
Aggregation of risk measures.
Extreme value theory and its applications.
Model uncertainty in risk management.
Stochastic models for risk diversification and risk concentration.

4. Honours/Prizes/Special Lectures (selection)

Laureate of the Belgian Royal Academy of Sciences, 1983
Fellow of the Institute of Mathematical Statistics, 1995
The Applied Probability Society of INFORMS, 1999. Best Publication Award (Honorable Mention) for Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin, 1997, (with C. Klüppelberg and T. Mikosch)
Honorary Fellow of the Institute of Actuaries, London, 2000
Keynote Speaker at the ASTIN-Colloquia 2000, Porto Cervo, 2003, Berlin, 2009, Helsinki, 2011, Madrid, 2012, Mexico City
Corresponding Member of the Italian Society of Actuaries, 2002
2002-2003 Johann Bernoulli Lecturer, University of Groningen
Nomura Lecture 2004, University of Oxford
Hermann Otto Hirschfeld Lecture 2004, Humbold University, Berlin
2004 INA-International Prize in Mathematics and Insurance, Academia Nazionale dei Lincei, Rome
2004 Innovation Prize 3-Way Seminar, (Q-Group, Inquire UK, Inquire Europe)
2004 Inquire First Prize for Keynote Address: Quantifying Regulatory Capital for Operational Risk: Utopia or Not?
2005 Second Lecturer to the Faculty, Faculty of Actuaries, Edinburgh
2005 Geneva Risk Economics Lecture (EGRIE), First World Risk and Insurance Economics Congress, Salt Lake City
Opening Lecture, 28th International Congress of Actuaries, Paris, May 2006
Honorary Fellow of The Faculty of Actuaries, July 2006
Kuwait Lecture, University of Cambridge, February 2007
Plenary Lecture, ICBI Risk Minds Europe, Geneva, 2006, 2008, 2010, and Risk Minds Asia, Hong Kong 2007
Honorary Doctorate in Mathematics, University of Waterloo, Canada, June 2007
The Radon Lecture, Austrian Academy of Sciences, Vienna, January 2008
Invited Speaker, Inaugural Conference of the Society for Financial Econometrics, NYU-Stern, June 2008
Keynote Presidential Address at the Annual Meeting of the Statistical Society of Canada/Societé Statistique du Canada and the Societé française de statistique, Ottawa, Canada, May 2008
Keynote Speaker at the NISS-OCC Workshop on "Exploring Statistical Issues in Financial Risk Modelling and Banking Regulations", Washington D.C., February 2009
Keynote Speaker at the Wharton School Conference on "Low probability events", Philadelphia, April 2009
Patrick Poon Lecturer in Actuarial Science, University of Hong Kong, July, 2009
Member Honoris Causa of the Belgian Institute of Actuaries (IABE)
First Chair of the Belgian Institute of Actuaries (IABE)
Keynote Speaker at the 29th International Congress of Actuaries, Cape Town, March 2010
Keynote Speaker at the Presidential Luncheon, Society of Actuaries 2010 Annual Meeting, New York, October 2010
Award for Excellence in Statistical Research, University of Hasselt, Belgium, 21/5/2011
The Honorary Degree of Doctor of Science of Heriot-Watt University, Edinburgh, UK, 24/6/2011
Keynote Speaker at the 2011 ASTIN-AFIR Colloquium, Madrid Spain, June 19-22, 2011
Department of Mathematics Colloquium, Imperial College London, 1/12/2011

5. Membership of Professional Societies

Royal Statistical Society
ISI (Elected Fellow)
Bernoulli Society
London Mathematical Society
Institute of Mathematical Statistics (Fellow)
Schweizerische Vereinigung für Statistik
Swiss Association of Actuaries
European Mathematical Society
American Statistical Association
International Actuarial Association
Bachelier Finance Society
Institute of Actuaries (Honorary Fellow)
Italian Society of Actuaries (Corresponding Member)
Faculty of Actuaries (Honorary Fellow)
Belgian Institute of Actuaries (Member Honoris Causa)

6. Professional Activities

6.1. Past editorial duties

Associate Editor of the International Statistical Review, 1991-1995
Editor of the Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1992-1995
Associate Editor of Hanu, 1985-1989 and International Statistical Information, 1987-1993
Corresponding Editor of the Institute of Mathematical Statistics Bulletin, 1998-2000
Associate Editor of the Applied Probability Journals, 1990-2008
Associate Editor of Bernoulli, 2001-2003
Editor of the ASTIN Bulletin, 1996-2005
Associate Editor of the Journal of Banking and Finance, 2006-2009

6.2. Current editorial duties

Advisory Editor of Finance and Stochastics
Associate Editor of Insurance: Mathematics and Economics
Associate Book Review Editor, JASA
Associate Editor of Derivatives Use, Trading & Regulation
Member of the Editorial Board of Extremes

6.3. Professional committees

Scientific Secretary of the Bernoulli Society for Probability Theory and Mathematical Statistics, 1987-1992
Member of the Bernoulli Society Committee for Statistics in the Physical Sciences, 1989-1995
Member of the Committee on the ISI Conference Programme, 1988-1995
Member of the Committee for Conferences on Stochastic Processes, 1991-1998
Member of the European Regional Committee of the Bernoulli Society, 1986-1992
Member of the IMS Special Invited Papers Committee, 1992-1994
Member of the Board of the Swiss Society of Actuaries, 1995-2006
Member of the Scientific Council of EURANDOM, Eindhoven, The Netherlands, 1996-2004
Member of the scientific advisory committee of the Korteweg-de Vries Institute, University of Amsterdam, 1998-date
Member of the scientific advisory committee of FAME (Lausanne, Geneva), 1999-2004
Member of the Consortium Walter Saxer-Versicherungs-Hochschulpreis, 1990-date
Member of Les Prix d'Actuariat SCOR, France, 2000-2003, SCOR-Deutschland, 2002-2003
Council Member of the Bachelier Finance Society, 2002-2008
Commission de Recrutement de Mathématiques Appliquées, Ecole Polytechnique Paris, France, 2003-2006
Advisory Board, Department of Mathematics, The 21st Century COE Program "Integrative Mathematical Sciences", Keio University, Japan, 2003-2008
International Scientific Board of NETSPAR, University of Tilburg, The Netherlands, 2005-date
Member of the Advisory Board, Centre for International Macroeconomics and Finance, University of Cambridge, UK, 2005-2010
Member of the Advisory Board, Maxwell Institute for Mathematical Sciences, University of Edinburgh, UK, 2006-2011
Member of the IMS Nominations Committee, 2006-2007 and the IMS Committee on Memorials, 2008-date, 2009-2011 as Chairman
Member of the International Advisory Panel of the Risk Management Institute, National University of Singapore, 2006-date
Member of the Advisory Board of the Norwegian Computing Center Oslo, Statistics for Innovation, 2007-date
Member of the Expert Committee on Mathematical Finance of the Programme in Insurance and Finance, University of Aarhus, Denmark, 2007-2010
Advisor of the National Irish Centre for Mathematics, 2007-2010
Member of the Scientific Advisory Board, Department of Mathematical Sciences, University of Copenhagen, 2009-date
Member of the Steering Committee of the Willis Research Network (WRN) Economic Capital Forum (ECF), 2011-date
Member of several PhD Committees and Professorial promotion committees (details upon request)

6.4. Conferences organised

Organiser '3rd European Young Statisticians Meeting', Leuven (Belgium), 22-26/8/1983
Co-organiser of the 'Oberwolfach Tagung: Risk Theory': 16-22/9/1990, 18-24/9/1994
Co-organiser of the Risk Theory Meeting in Monte Verità, Ascona, 21-27/3/1993
Director of the Summerschool of the Swiss Society of Actuaries on "The modelling of extremal events in insurance and finance", Lausanne, 28/8-2/9/1994, 9-13/8/1999
Organiser of the Latsis Symposium: 'Mathematical Finance, Insurance and Society', ETH, 24-25/9/1996
Co-organiser of the 'Oberwolfach Tagung: Stochastic Analysis in Finance and Insurance': 14-19/9/1997, 8-12/5/2000, 3-7/3/2003
Co-organiser of the Programme on Managing Uncertainty - New Analysis Tools for Insurance, Economics and Finance. The Isaac Newton Institute for Mathematical Sciences, Cambridge, 23/7-10/8/2001
Co-organiser, Zürich Workshop in Computational Finance, 11-13/9/2003
Co-organiser, Cherry Bud Workshops 2005, Quantitative Risk Management: Theory and Practice, 23-26/2/2005 and 2007, Interaction Through Data, 13-16/3/2007, Keio University, Yokohama, Japan
Co-organiser, Risk Management, Isaac Newton Institute for Mathematical Sciences, Cambridge University, 7-11/3/2005
Co-organiser of the ASTIN-AFIR meetings, ETH Zürich, 4-9/9/2005
Organiser, The Mathematics and Statistics of Quantitative Risk Management, Mathematisches Forschungsinstitut Oberwolfach, Germany, 16/3/-22/3/2008, 29/1/-4/2/2012
Co-Director of the NISS-OCC Research Program on Statistical Issues in Financial Risk Modeling and Banking Regulation. Sub-Program: Operational Risk. Inaugural Meeting: Washington D.C., February 5-6, 2009
Symposium Leader of the 2009 Bowles Symposium on Liquidity, Valuation and Financial Crises. Atlanta, Georgia, 12-13/2/2009
Chair of the Organizing Committee, Financial Mathematics, IMS-National University of Singapore, 1/11-31/12/2009

6.5. Scientific programme committees

Chairman of the Programme Committee of the 25th European Meeting of Statisticians, Aarhus, Denmark, 21-26/8/1995
Chairman of the Scientific Programme Committee, Dependence Modelling for Credit Portfolios, GRETA-University of Venice, 22-23/9/2003
Chairman of the Programme Committee of the 2005 ASTIN and AFIR meetings in Zürich, 4-9/9/2005
Member of numerous scientific programme committees in the fields of stochastics, insurance, finance and risk management (details upon request)

6.6. Member of international evaluation committees

Chairs in Insurance Mathematics at the Universities of Copenhagen (1990-91, 2002, 2008), Oslo (1991-92), Vienna (2001-02)
The "Centrum voor Wiskunde en Informatica", Amsterdam, The Netherlands (1995)
The Laboratory of Stochastics, University of Paris 6 and 7 (2000)
Departments of Mathematics of the French-speaking Belgian universities (2001-02)
Ecole Polytechnique, Paris (2003-2008)
The Australian National University (2004, 2010)
Imperial College, London (2005)
The University of Copenhagen, Department of Mathematical Sciences, 2009
Numerous evaluation committees for new professorships (details upon request)

6.7. Functions within the ETH Zürich

Interim-Chairman, IFOR (1989-93)
Chairman of the Department of Mathematics (1994-95)
Member of the Planning Committee (1995-2000)(2004-2008)
Delegate of the President for Professorial Appointments (2001-date)
Member of the Board of the Graduate School in Mathematics (2003-2010)
Member of numerous departmental committees (details upon request)

6.8. Professional functions in private industry

Member of the Board of Directors of Bank Julius Baer and the Julius Baer Holding AG, 1997-2008
"Mathematischer Revisor" for the Swiss Re (Life) Company, 1997-2003
Member of the Board of Directors of the Swiss Life Holding, 2003-2011
Member of the Academic Advisory Board of Fitch, 2006-2010
Quästor of the Jubiläumsstiftung der Schweizerischen Lebensversicherungs- und Rentenanstalt für Volksgesundheit und medizinische Forschung, 2007-date
Numerous consultancies for the financial and insurance industry on topics mainly related to Quantitative Risk Management and the Modelling of Extremal Events (details upon request)

7. Invited Lectures

I have given numerous invited and keynote lectures at universities and international scientific meetings worldwide. Besides these, I have lectured and consulted on several occasions within private industry and for regulatory and governemental organisations worldwide (details upon request)

8. Teaching

8.1. Courses taught at various universities include:

Introductory and graduate courses in Probability Theory, Stochastic Processes and Mathematical Statistics for Mathematicians, Physicists and Engineers
Zufall und Risiko
Stochastic Models in OR
Simulation
Time Series Analysis
Statistical Computing
Multivariate Analysis
Repeated Measurements
Point Processes
An Introduction to Medical Statistics for Medical- and Environmental Students
Brownian Motion and Stochastic Flow
Risk Theory
Linear Algebra
Stochastic Processes
Extreme Value Theory
Statistical Methods Underlying Risk Management
Credit Risk Management
Quantitative Risk Management
Financial Engineering
Insurance Analytics
Financial Risk Analysis

8.2. Ph.D. theses supervised:

Angelos Dassios (1985): Insurance, Storage and Point Processes: an Approach via Piecewise Deterministic Markov Processes (Co-supervisor)
Claudia Klüppelberg (1988): Subexponential Distributions (Co-supervisor)
Hanspeter Schmidli (1992): A General Insurance Risk Model
Stefan Zumsteg (1995): Non-Cooperative Aspects of Cooperative Game Theory and Related Computational Problems
Klemens Binswanger (1997): Rare Events and Insurance
Hansjörg Furrer (1997): Risk Theory and Heavy-tailed Lévy Processes
Anja Göing (1998): Parameter Estimation and Bessel Processes in Financial Models and Numerical Analysis of Hamiltonian Systems (Co-supervisor)
Stéphane Moine (1998): Some New Developments in Asset Liability Optimization
Markus Spindler (1999): On Concepts of Randomness in Finite Sequences (Co-supervisor)
Michael Studer (2001): Stochastic Taylor Expansions and Saddlepoint Approximations for Risk Management
Alessandro Juri (2002): Applications of Dependence Concepts in Insurance and Finance
Filip Lindskog (2003): Multivariate Extremes and Regular Variation for Stochastic Processes
Alexandra Dias (2003): Copula Inference for Finance and Insurance
Roger Kaufmann (2004): Long Term Risk Management
Peter Blum (2005): On Some Mathematical Aspects of Dynamic Financial Analysis
Giovanni Puccetti (2005): Dependency Bounds for Functions of Univariate and Multivariate Risks
Andrea Höing (2005): Topics in Risk Management for Insurance and Finance: Ruin and Dependence
Thomas Liniger (2009): Multivariate Hawkes Processes (Co-supervisor)
Matthias Degen (2009): The Analysis of Extreme Events: With Applications to Financial Risk Management
Dominik Lambrigger (2009): Risk Aggregation, Diversification and Expert Opinion Theory and Applications in Finance and Insurance (Co-supervisor)
Daniel Alai (2009): Prediction Uncertainty in Stochastic Claims Reserving Methods (Co-supervisor)
Johanna Ziegel (2009): Stereological Analysis of Spatial Structures (Co-supervisor)
Natalia Nolde (2010): The Analysis of Extremes in Multivariate Models: a Geometric Approach
Roman Muraviev (2011): Utility maximization with habit-formation (Co-supervisor: Semyon Malamud)

(See my website www.math.ethz.ch/~embrechts for a list of past and current postdoctoral students)

9. Publications

9.1. Books, Edited Volumes

Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin, 1997 (With C. Klüppelberg and T. Mikosch) Second Printing, 1999, Third Printing, 2001, Fourth Printing, 2002, Edition for China, 2003
Extremes and Integrated Risk Management (Ed.) Risk Waters Group, London, 2000
Selfsimilar Processes (With M. Maejima), Princeton University Press, Princeton and Oxford, 2002
Quantitative Risk Management: Concepts, Techniques, Tools (With A. J. McNeil and R. Frey), Princeton University Press, Princeton, 2005
High Risk Scenarios and Extremes: A Geometric Approach (With Guus Balkema), Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, Zurich, 2007
Quantitative Risk Management: Concepts, Techniques, Tools (With A. J. McNeil and R. Frey), Japanese translation published by arrangement with Princeton University Press through The English Agency (Japan), 2008

9.2. Scientific Papers

On a theorem of Lukacs, Proc. Amer. Math. Soc. 68 (1978) 292-294
A second order theorem for Laplace transforms, J. London Math. Soc. 17 (1978) 102-106
Subexponentiality and infinite divisibility, Z. Wahrsch. verw. Gebiete 49 (1979) 335-347 (With C.M. Goldie, and N. Veraverbeke)
On closure and factorisation theorems for subexponential and related distributions, J. Austral. Math. Soc. (Ser. A) 29 (1980) 243-256 (With C.M. Goldie)
A characterisation theorem for Fourier-Stieltjes transforms, Nieuw Arch. Wisk. (3) XXVIII (1980) 246-252
Comparing the tails of an infinitely divisible distribution with integrals of its Lévy-measure, Ann. Probab. 9 (1981) 468-481 (With C.M. Goldie)
A limit theorem for the tails of an infinite divisible law with an application to fluctuation theory, J. Austral. Math. Soc. (Ser. A) 32 (1982) 412-422 (With J. Hawkes)
Estimates for the probability of ruin with special emphasis on the possibility of large claims, Insurance Math. Econom. 1 (1982) 55-72 (With N. Veraverbeke)
On convolution tails, Stochastic Process. Appl. 13 (1982) 263-278 (With C.M. Goldie)
The asymptotic behaviour of series and power series with positive coefficients, The Academiae Analecta 45 (1983) 43-61
On subordinated distributions and random record processes, Math. Proc. Cambridge Philos. Soc. 93 (1983) 339-353 (With E. Omey)
A property of the generalised inverse Gaussian distribution, with some applications, J. Appl. Probab. 20 (1983) 537-544
A renewal theorem of Blackwell type, Ann. Probab. 12 (1984) 561-570 (With M. Maejima, and E. Omey)
The central limit theorem for summability methods, Z. Wahrsch. verw. Gebiete 68 (1984) 191-204 (With M. Maejima)
A property of longtailed distributions, J. Appl. Probab. 21 (1984) 80-87 (With E. Omey)
Functions of power series, Yokohama Math. J. 32 (1984) 77-88 (With E. Omey)
On a renewal theorem of Stefan P. Niculescu, Rev. Roumaine Math. Pures Appl. 30 (1985) 521-525 (With E. Omey)
Subexponential distribution functions and their applications: a review. 7th Brasov Conference on Probability Theory, Statistics and Information Theory, ed. by M. Iosifescu, VNU Science Press, Utrecht, 1985, pp.125-136 (invited paper)
Some limit theorems for generalised renewal measures, J. London Math. Soc. (2) 31 (1985) 184-192 (With M. Maejima, and E. Omey)
Approximations for compound Poisson and Polya processes, Adv. Appl. Probab. 17 (1985) 623-637 (With J.L. Jenssen, M Maejima, and J.L. Teugels)
Asymptotic behaviour of compound distributions, ASTIN Bulletin 15 (1985) 45-48 (With M. Maejima, and J.L. Teugels)
An investigation of Andrews' plots to detect period and outliers in time series data, Comm. Statist. Simulation 15 (1986) 1027-1051 (With A.M. Herzberg, and A.C.K. Ng)
Cord blood IgE and the month of birth, Archives for Disease in Childhood 62 (1987) 478-482 (With E. Bosmans, H. Callaert and J. Kimpen)
Subexponential distribution functions: a second review. Proc. Internat. Conference on Stability, (1987), Varna (Bulgaria) (invited paper)
An Abelian theorem for a general Mellin-convolution, J. Math. Anal. Appl. 132 (1988) 138-145 (With E. Omey)
Ruin estimates for large claims, Insurance Math. Econom. 7 (1988) 269-274 (With J. Villasenor)
Martingales and insurance risk, Comm. Statist. Stochastic Models, 5 (1989) 181-217 (With A. Dassios)
The influence of sex and gestational age on cordblood IgE, Acta Paediatr. Scand. 78 (1989) 233-238 (With E. Bosmans, H. Callaert and J. Kimpen)
Generalisations of Andrews' plots, Proceedings of the 46th Session ISI, (1990) 103-104 (With A.M. Herzberg)
Simulating risk solvency, Insurance Math. Econom. 9 (1990) 141-148 (With L. Wouters)
Urn models and kompeitoh: an industrial application, European J. Engineering Education, 15 (1990) 267-274 (With T. Nakata)
Martingales in non-life insurance, Proc. 5th Internat. Vilnius Conference. Volume 1. VNU Press (1990) 314-322
Actuarial Statistics: Its Place in the University Curriculum, Proceedings of ICOTS III. Volume 2. ISI (1991) 404-428. (Editor)
Variation of Andrews' plots, IS Review 59 (1991) 175-194 (With A.M. Herzberg)
Chest pain: An evaluation of the initial diagnosis made by 25 Flemish general practitioneers, Family Practice 8 (1991) 121-124 (With F. Buntinx, J. Truyen, G. Moreel and R. Peeters)
A bootstrap procedure for estimating the adjustment coefficient, Insurance Math. Econom. 10 (1991) 181-190 (With T. Mikosch)
Insurance Mathematics: from Theory towards Practice, Mitteilungen der Aktuarvereinigung Österreichs (1992) (6) 51-59
Stochastic Modelling in Insurance, CLAPEM IV Proceedings, Mexico City, Instituto Nacional de Estadistica, Geografia e Informàtica, Mexico (1992), Volume 4, 11-23
Zufall, Vierteljahresschrift der Naturforschenden Gesellschaft in Zürich 137/1 (1992) 23-40
Evaluating patients with chest pain using classification and regression trees, Family Practice 9 (1992) 149-153 (With F. Buntinx, J. Truyen, G. Moreel and R. Peeters)
A large claim index, Mitteilungen Schweiz. Verein. der Versicherungsmath. 1992(2) 143-156 (With M. Aebi and T. Mikosch)
Finite-time Lundberg inequalities in the Cox case, Scand. Actuar. J., (1993)(1) 17-41 (With J. Grandell and H.P. Schmidli)
Modelling of catastrophic events in insurance and finance, in: Operations Research '92, GMÖOR, A. Karmann, K. Mosler, M. Schader and G. Uebe (eds.), Physica-Verlag, Heidelberg (1993), pp. 544-546
Some applications of the fast Fourier transform algorithm in insurance mathematics, Statist. Neerlandica 47 (1993) 59-75 (With R. Grübel and S. Pitts)
On the Gauss map of the cyclides of Dupin, Soochow J. Math. 19 (1993) 417-428 (With C. Baikoussis, F. Defever and L. Verstraelen)
Some aspects of insurance mathematics, Teor. Veroyatnost. i Primenen 38 (1993) 374-416 (Russian) (With C. Klüppelberg)
Some aspects of insurance mathematics, Theory Probab. Appl. 38 (1994) 262-295 (English version of #46) (With C. Klüppelberg)
Ruin estimation for a general insurance risk model, Adv. Appl. Prob. 26 (1994) 404-422 (With H.P. Schmidli)
Stochastic discounting, aggregate claims and the bootstrap, Adv. Appl. Prob. 26 (1994) 183-206 (With M. Aebi and T. Mikosch)
Modelling of extremal events in insurance and finance, ZOR - Mathematical Methods of Operations Research 39 (1994) 1-34 (With H.P. Schmidli)
Perpetuities and random equations. In: Asymptotic Statistics. Proceedings of the Fifth Prague Symposium. P. Mandl, M. Huskova (Eds.), Heidelberg: Physica-Verlag (1994) (Contributions to statistics), pp. 75-86 (With C.M. Goldie)
Longest runs in coin tossing, Insurance Math. Econom. 15 (1994) 139-149 (With K. Binswanger)
Risk theory of the second and third kind, Scand. Actuarial J. (1) (1995) 35-43
An introduction to wavelets with applications to Andrews' plots, J. Comput. Appl. Math. 64 (1995) 41-56 (With A.M. Herzberg, H.K. Kalbfleisch, W.N. Traves and J. Robertson Whitla)
A proof of Dassios' representation of the alpha-quantile of Brownian motion with drift, Ann. Appl. Probab. 5 (1995) 757-767 (With L.C.G. Rogers and M. Yor)
What do the initials ASTIN actually stand for? Editorial, ASTIN Bulletin 25 (1995) 79-80
Sample quantiles of heavy-tailed stochastic processes. Stochastic Process. Appl. 59 (1995) 217-233 (With G. Samorodnitsky)
Confidence bounds for the adjustment coefficient. Adv. Appl. Probab. 28 (1996) 802-827 (With S. Pitts and R. Grübel)
Pricing insurance derivatives, the case of CAT futures. Proceedings of the 1995 Bowles Symposium on Securitization of Insurance Risk, Georgia State University, Atlanta, Georgia. Society of Actuaries, Monograph M-FI97-1 (1997) 15-26 (With S. Meister)
No-arbitrage, change of measure and conditional Esscher transforms CWI Quarterly 9 (4) (1997) 291-317 (With H. Bühlmann, F. Delbaen and A.N. Shiryaev).
How heavy are the tails of a stationary HARCH(k) process? A study of the moments. In: Stochastic Processes and Related Topics: In Memory of Stamatis Cambanis 1943-1995. Eds.: I. Karatzas, B.S. Rajput, M.S. Taqqu. Birkhäuser Boston (Trends in Mathematics), pp. 69-102, 1998 (With G. Samorodnitsky, M. Dacorogna and U. Müller)
On Esscher transforms in discrete finance models. ASTIN Bulletin 28 (1998) 171-186 (With H. Bühlmann, F. Delbaen and A.N. Shiryaev)
Risk management and quantile estimation. In: A Practical Guide to Heavy Tails, eds. R.J. Adler et al., Boston: Birkhäuser, pp. 111-130, 1998 (With F. Bassi, M. Kafetzaki)
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 Waters Group, New York, 1998, pp. 239-243 (With S. Resnick and G. Samorodnitsky)
Recursive estimation of distributional fix-points. J. Appl. Probab. 37 (2000) 73-87 (With H. Walk)
Extremes and insurance. Invited paper, Proceedings XXVIIIth ASTIN Colloquium, Cairns (Australia), 1-19, 1997
Actuarial versus financial pricing of insurance. Surveys Math. Indust. 5 (1) (1998), 6-22
Extreme value theory as a risk management tool. North American Actuarial J. 3 (1999) 30-41 (With S. Resnick and G. Samorodnitsky)
HARCH processes are heavy tailed. Extremes 2:1 (1999) 87-93 (With R. Grübel)
Stochastic processes in insurance and finance. In: Handbook of Statistics "Stochastic Processes: Theory and Methods". Eds.: C.R. Rao, D.N. Shanbhag. Elsevier Science, Amsterdam. 2001, pp. 365-412 (With H. Furrer and R. Frey)
Modelling multivariate extremes. In: Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Waters Group, London, pp. 59-67, 2000 (With L. de Haan and X. Huang)
Correlation: Pitfalls and Alternatives. RISK, May 1999, 12(5), 69-71 (With A.J. McNeil and D. Straumann) (Reprinted in : Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Waters Group, London, pp. 71-76, 2000)
Correlation and Dependency in Risk Management. Proceedings XXXth International ASTIN Colloquium, 22-25 August, 1999, pp. 227-250
Correlation and Dependence in Risk Management: Properties and Pitfalls. Risk Management: Value at Risk and Beyond, M. Dempster (Ed.), Cambridge University Press, 2002, pp. 176-223 (With A.J. McNeil and D. Straumann)
Mit einem Euro an die Wall Street. In: "Warum Mathematik? Ein Informationsdossier für Maturandinnen und Maturanden" Departement Mathematik, ETH Zürich, 1999 (2-8)-(2-11)
Extreme Value Theory: the End of the Curve. RISK, Insurance Risk: A RISK Special Report, July 1999, 19-20
Aktuelle Aspekte moderner Finanzmathematik. IO Management 6-1999, 40-45
Statistiques dans les Mathématiques financière. Académie des Sciences, rst no. 8-juillet 2000, La Statistique (Ed. Paul Malliavin), 107-111, 2000 (With N. El Karoui and M. Yor)
The bell-curve is wrong: so what! In: Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Books, Risk Waters Group, London, xxv-xxviii, 2000
Extreme value theory: potential and limitations as an integrated risk management tool. Derivatives Use, Trading & Regulation 6 (2000) 449-456
An introduction to the theory of self-similar stochastic processes. International Journal of Modern Physics B 14 (2000) 1399-1420 (With M. Maejima)
Actuarial versus financial pricing of insurance. Risk Finance 1(4) (2000) 17-26
Difficult calls in judging extremes, The Financial Times 20. Juni 2000 (Reprinted in a French translation in Les Echos 18 October 2000) and in: Financial Times: Mastering Risk, volume 1: Concepts (ed. J. Pickford), pp. 269-274, 2001
Mathematical models in finance. In Encyclopedia of Life Support Systems (EOLSS), Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK (2004). 16 pages (With T. Mikosch)
Modelling catastrophic risks, Giornale dell' Istituto Italiano degli Attuari (GIIA 2000, nr. 2), pp. 147-161.
Using DFA for modelling the impact of foreign exchange risks on reinsurance decisions. "Casualty Actuarial Society", Forum 2001, 49-94 (With P. Blum, M. Dacorogna, T. Neghaiwi and H. Niggli)
Ruin problem and how fast stochastic processes mix. Annals of Appl. Probab. 13, 1-36 (2003) (With G. Samorodnitsky)
Extremes in economics and the economics of extremes. In: Extreme Values in Finance, Telecommunications and the Environment (Eds. B. Finkenstädt and H. Rootzén), Chapman & Hall CRC, London, 169-183 (2004).
Smooth extremal models in finance and insurance. The Journal of Risk and Insurance 71(2), 183-199 (2004) (With V. Chavez-Demoulin)
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, 2002. (With V. Chavez-Demoulin and A. Roehrl)
Long head-runs and long match patters. In: Advances in Finance and Stochastics. Essays in Honour of Dieter Sondermann (Eds. K. Sandmann and P.J. Schoenbucher) Springer-Verlag, 2002, pp. 57-69. (With S.Y. Novak)
Using copulae to bound the Value-at-Risk for functions of dependent risk. Finance and Stochastics 7(2), 145-167 (2003) (With A. Hoeing and A. Juri)
Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3(1), 1-16 (2003). (With W. Breymann and A. Dias)
Change-point analysis for dependence structures in finance and insurance. In: Novos Rumos em Estatistica, ed. L. Carvalho et al., Sociedade Portugesa de Estatistica, Lisboa, Portugal, (2002) pp. 69-86. (With A. Dias)
The ART of dependence modelling: the latest advances in correlation analysis. In: Alternative Risk Strategies, ed. Morton Lane, Risk Waters Group, London, 2002, pp. 339-356. (With P. Blum and A. Dias)
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., 2004, 243-261. (With R. Kaufmann and G. Samorodnitsky)
The wizards of Wall Street: did mathematics change finance? Nieuw Arch. Wisk. 5(4), 26-33 (2003).
Profile: RiskLab, ETH Zürich. Where mathematics, insurance and finance meet. Quantitative Finance 2(6), 402-404 (2002).
Insurance Analytics. Guest Editorial, British Actuarial J. 8(IV), 639-641 (2002).
Modelling dependence with copulas and applications to risk management. In: Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev, Elsevier, 2003, Chapter 8, pp. 329-384. (With F. Lindskog and A.J. McNeil)
Quantifying regulatory capital for operational risk, Derivatives Use, Trading & Regulation, 9(3), 217-233 (2003). (With H. Furrer and R. Kaufmann)
VaR, stress testing and related risk management techniques for hedge funds. In: The New Generation of Risk Management for Hedge Funds and Private Equity Investments, ed. L. Jaeger, Chapter 28, 399-411, Euromoney Book (2003).
Testing for structural changes in exchange rates dependence beyond linear correlation. European Journal of Finance 15(7), 619-637, 2009 (With A. Dias)
Da matematico delle assicurazioni ad attuario incaricato: una professione in via di cambiamento tra ''Basilea II'' e "Solvibilità II" Assicurazioni Anno LXXI, N.4, 469-473, 2004
Strategic long-term financial risks: single risk factors. Computational Optimization and Applications 32(1/2), 61-90 (2005). (With R. Kaufmann and P. Patie)
Change-point analysis for dependence structures in finance and insurance. In: Risk Measures for the 21st Century, ed. G. Szegö, Wiley Finance Series, Chapter 16, pp. 321-335, 2004.
Bounds for functions of dependent risks. Finance and Stochastics 10, 341-352 (2006) (With G. Puccetti)
Multivariate excess distributions. Preprint, ETH Zürich, 2004 (With A.A. Balkema)
Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance 30(10), 2635-2658 (2006) (With V. Chavez-Demoulin and J. Neslehova)
Worst VaR scenarios. Insurance: Mathematics and Economics 37(1), 115-134 (2005) (With A. Höing and G. Puccetti)
Bounds for functions of multivariate risks. J. Multivariate Analysis 97(2), 526-547 (2006) (With G. Puccetti)
Aggregating risk capital, with an application to operational risk. The Geneva Risk and Insurance Review 30(2), 71-90, 2006 (With G. Puccetti)
Infinite mean models and the LDA for operational risk, Journal of Operational Risk, 1(1), 3-25 (2006) (With V. Chavez-Demoulin and J. Neslehova)
Extreme VaR scenarios in higher dimensions, Extremes 9, 177-192 (2006) (With A. Höing)
Extremes and robustness: a contradiction?, Financial Markets and Portfolio Management 20, 103-118 (2006) (With R. Dell'Aquila)
Different Kinds of Risk, in Handbook of Financial Time Series Eds. Andersen, Davis, Kreiss, and Mikosch, pp. 729-751, 2009 (With H. Furrer and R. Kaufmann)
Extreme Value Theory, in Quantitative Financial Risk Management: Fundamentals, Models and Techniques Chapter IV: Applications to Credit Risk and Market Risk, DVD, Henry Stewart Talks, 2006 (With J. Neslehova)
Copulas, in Quantitative Financial Risk Management: Fundamentals, Models and Techniques Chapter IV: Applications to Credit Risk and Market Risk, DVD, Henry Stewart Talks, 2006 (With J. Neslehova)
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics, 44, 164-169, 2009 (With J. Neslehova and M.V. Wüthrich)
Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money and Finance 29, 1687-1705 (2010) (With A. Dias)
The quantitative modelling of operational risk: between g-and-h and EVT. ASTIN Bulletin 37(2), 265-291 (2007) (With M. Degen and D. Lambrigger)
How to model operational risk, if you must. Lecture to the Faculty of Actuaries. British Actuarial Journal 12(1), 1-4 (2006)
Copulas: A personal view. Journal of Risk and Insurance 76 (3), 639-650 (2009)
Aggregating operational risk across matrix structured loss data. Journal of Operational Risk 3(2), 29-44 (2008) (With G. Puccetti)
Risiken und Extreme. ETH Globe. Das Magazin der ETH Zürich, Nr. 4/November 2007, 38-39
Panjer recursion versus FFT for compound distributions. Mathematical Methods in Operations Research 69(3), 497-508 (2009) (With M. Frei)
Fast computation of the distribution of the sum of two dependent random variables, 2007 (With G. Puccetti). Updated version, see #138.
Operational Risk: the Advanced Measurement Approach. Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley, 2010 (With V. Chavez-Demoulin)
EVT-based estimation of risk capital and convergence of high quantiles. Advances in Applied Probability 40(3), 696-715 (2008) (With M. Degen)
Copulas in insurance. Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley, pp. 379-382, 2010 (With V. Chavez-Demoulin)
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Extremes 12, 107-127 (2009) (With D.D. Lambrigger and M.V. Wüthrich)
Revisiting the edge, ten years on. Communications in Statistics: Theory and Methods, 39, 1674-1688, 2010 (With V. Chavez-Demoulin)
Discussion of ''Copulas: Tales and facts'', by Thomas Mikosch. Extremes, 9, 45-47 (2006)
Bounds for the sum of dependent risks having overlapping marginals. Journal of Multivariate Analysis, 101, 177-190, 2009 (With G. Puccetti)
Linear correlation and EVT: properties and caveats. Journal of Financial Econometrics, 7(1), 30-39, 2009
An EVT primer for Credit Risk. Lipton, A. and Rennie, A (Editors) The Oxford Handbook of Credit Derivatives, Oxford University Press 2011, pp. 500-532 (With V. Chavez-Demoulin)
Meta densities and the shape of their sample clouds. Journal of Multivariate Analysis 101, 1738-1754, 2010 (With G. Balkema and N. Nolde)
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Bernoulli, 17(2), 562-591 (2011) (With P. Arbenz and G. Puccetti); extended version of #127.
Scaling of high-quantile estimators, Journal of Applied Probability, 48(4), 968-983 (2011) (With M. Degen)
Operational Risk - Modeling the Extreme. OCC-NISS White Paper, 2009 (With E. Balta, S. Carillo, K. Hamidick, K. Swandon)
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin, 40(1), 1-33 (2010) (With C. Donnelly)
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, 2010, pp. 111-126 (With G. Puccetti)
Quantitative Risk Management, 2009, International Encyclopedia of Statistical Science (Ed. M. Lovric), Part 17, pp. 1151-1154, Springer
Sensitivity of the asymptotic behaviour of meta distributions, 2011, Bernoulli, to appear (With G. Balkema and N. Nolde)
The GAEP algorithm for the fast computation of the distribution of a function of dependent-random variables, 2011, Stochastics, to appear (With P. Arbenz and G. Puccetti)
Multivariate Hawkes processes: an application to financial data, 2011, Journal of Applied Probability, Special Volume 48(A), 367-378 (2011) (With T. Liniger and Lin Lu)
A note on generalized inverses, 2010 (With M. Hofert)
Practices and issues in operational risk modeling under Basel II, Lithuanian Mathematical Journal 51(2), 180-193 (2011) (With M. Hofert)
Extreme-quantile tracking for financial time series, 2010, Journal of Econometrics, to appear (With V. Chavez-Demoulin and S. Sardy)
The shape of asymptotic dependence, 2011. a Springer special volume ''Prokhorov and Contemporary Probability Theory''. Edited by A. Shiryaev, S. Varadhan and E. Presman (With G. Balkema and N. Nolde), to appear
Mathematics and Financial Institutions. In Proceedings of the Conference on Statistics, Science and Public Policy, A.M. Herzberg (Ed.), XV. Ethics, Security and Society, pp. 125-130, 2011
Probabilistic Risk Analysis of Flood: Kernkraftwerk Gösgen-Däniken (KKG). RiskLab internal report, 2010 (With V. Chavez-Demoulin and Bikramjit Das)
Risk margin for a non-life insurance run-off, Statistics and Risk Modeling 28(4), 299-317 (2011) (With M.V. Wüthrich and A. Tsanakas)
A QRM-primer on stable distributions (With J. Nolan), 2011
Comments on: Inference in multivariate Archimedean copula models, TEST, 20(2), 263-270 (2011) (With M. Hofert)
Im Spannungsfeld zwischen Hochschule und Wirtschaft. Interview von Stefan Bucher, VAMP Frühjahr 2011, pp. 30-34
Ceterum censeo Carthaginem esse delendam. in Proceedings of the Conference on Statistics, Science and Public Policy, A.M. Herzberg (Ed.), XVI. Risks, Rules and Regulations, 2012, to appear.
Die Gene sind stärker als das Gehirn. Interview in ''Der Landbote'', 21. September 2011, Seite 21
Persönlichkeit und Risikokultur, Interview in ''ICT in Finance'', Nr. 4, November 2011, Seiten 20-22
Risk Measures and dependence modelling. Handbook of Insurance, Sec. Ed., G. Dionne (Ed.), Huebner Foundation, 2012 (With M. Hofert), to appear
Asymptotic diversification effects in multivariate regularly varying models, 2011 (With G. Mainik)
Four theorems and a financial crisis, 2012 (With B. Das and V. Fasen)

9.3.

I have written about 20 publications in Dutch on statistics, probability theory and insurance mathematics, also numerous book reviews for ISI Short Book Reviews, JASA and other scientific journals.

Zürich, 23 December 2011