Paul Embrechts

Publication Activity (10 Years)

Years Active: 1994-2022
Publications (10 Years): 6

Top Topics

Machine Learning

Log Linear Models

Top Venues

Finance Stochastics

Int. J. Approx. Reason.

Publications

Paul Embrechts, Alexander Schied, Ruodu Wang
Robustness in the Optimization of Risk Measures. Oper. Res. 70 (1) (2022)
Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang
Quantile-based risk sharing with heterogeneous beliefs. Math. Program. 181 (2) (2020)
Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret
Data-driven polynomial chaos expansion for machine learning regression. J. Comput. Phys. 388 (2019)
Emiliano Torre, Stefano Marelli, Paul Embrechts, Bruno Sudret
Data-driven polynomial chaos expansion for machine learning regression. CoRR (2018)
Paul Embrechts, Haiyan Liu, Ruodu Wang
Quantile-Based Risk Sharing. Oper. Res. 66 (4) (2018)
Paul Embrechts, Bin Wang, Ruodu Wang
Aggregation-robustness and model uncertainty of regulatory risk measures. Finance Stochastics 19 (4) (2015)
Paul Embrechts, Enkelejd Hashorva, Thomas Mikosch
Aggregation of log-linear risks. J. Appl. Probab. 51 (A) (2014)
Paul Embrechts, Marius Hofert
A note on generalized inverses. Math. Methods Oper. Res. 77 (3) (2013)
Bikramjit Das, Paul Embrechts, Vicky Fasen
Four theorems and a financial crisis. Int. J. Approx. Reason. 54 (6) (2013)
Paul Embrechts, Giovanni Puccetti
Bounds for the sum of dependent risks having overlapping marginals. J. Multivar. Anal. 101 (1) (2010)
A. A. Balkema, Paul Embrechts, N. Nolde
Meta densities and the shape of their sample clouds. J. Multivar. Anal. 101 (7) (2010)
Paul Embrechts, Marco Frei
Panjer recursion versus FFT for compound distributions. Math. Methods Oper. Res. 69 (3) (2009)
Paul Embrechts
How to Model Operational Risk If You Must. OR (2006)
Paul Embrechts, Giovanni Puccetti
Bounds for Functions of Dependent Risks. Finance Stochastics 10 (3) (2006)
Paul Embrechts, Roger Kaufmann, Pierre Patie
Strategic Long-Term Financial Risks: Single Risk Factors. Comput. Optim. Appl. 32 (1-2) (2005)
Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve
Editorial. Finance Stochastics 8 (1) (2004)
Paul Embrechts, Andrea Höing, Alessandro Juri
Using copulae to bound the Value-at-Risk for functions of dependent risks. Finance Stochastics 7 (2) (2003)
Paul Embrechts, Hanspeter Schmidli
Modelling of extremal events in insurance and finance. Math. Methods Oper. Res. 39 (1) (1994)