Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity of Singapore, KyotoUniversity,was Visiting Man Chair 2014 at the Oxford-Man Institute of Oxford University and has an Honorary Doctorate from the University of Waterloo, Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain. He is an Elected Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Honorary Fellow of the Institute and the Faculty of Actuaries, Actuary-SAA, Member Honoris Causa of the Belgian Institute of Actuaries and is on the editorial board of numerous scientific journals.He belongs to various national and international research and academic advisory committees. He co-authored the influential books Modelling of Extremal Events for Insurance and Finance, Springer, 1997 [8] andQuantitative RiskManagement: Concepts, Techniques and Tools, Princeton UP, 2005, 2015 [14] and published over 180 scientific papers. Dr. Embrechts consults on issues in Quantitative Risk Management for financial institutions, insurance companies and international regulatory authorities.
@article{bwmeta1.element.doi-10_1515_demo-2015-0002,
author = {Fabrizio Durante and Giovanni Puccetti and Matthias Scherer},
title = {Building bridges between Mathematics, Insurance and Finance},
journal = {Dependence Modeling},
volume = {3},
year = {2015},
zbl = {1320.01026},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0002}
}
Fabrizio Durante; Giovanni Puccetti; Matthias Scherer. Building bridges between Mathematics, Insurance and Finance. Dependence Modeling, Tome 3 (2015) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0002/
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[2] Breiman, L. (1965). On some limit theorems similar to the arc-sin law. Theory Probab. Appl., 10(2), 323–331. | Zbl 0147.37004
[3] De Vylder, F. (1982). Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints. Insurance Math. Econom., 1(2), 109–130. | Zbl 0488.49030
[4] Donnelly, C. and P. Embrechts (2010). The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Astin Bull., 40(1), 1–33. [WoS] | Zbl 1230.91181
[5] Embrechts, P. (2006). Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes, 9(1), 45–47.
[6] Embrechts, P. (2009). Copulas: a personal view. J. Risk Insurance, 76(4), 639–650. [WoS]
[7] Embrechts, P., C. M. Goldie, and N. Veraverbeke (1979). Subexponentiality and infinite divisibility. Z. Wahrsch. verw. Gebiete, 49(3), 335–347. | Zbl 0397.60024
[8] Embrechts, P., C. Klüppelberg, and T. Mikosch (1997). Modelling Extremal Events for Insurance and Finance. Springer, Berlin. | Zbl 0873.62116
[9] Embrechts, P., A. J. McNeil, and D. Straumann (2002). Correlation and dependence in risk management: properties and pitfalls. In Risk Management: Value at Risk and Beyond, pp. 176–223. Cambridge University Press, Cambridge.
[10] Feller, W. (1971). An Introduction to Probability Theory and its Applications. Vol. II. Second edition. John Wiley & Sons, New York, NY. | Zbl 0219.60003
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[14] McNeil, A. J., R. Frey, and P. Embrechts (2015). Quantitative Risk Management: Concepts, Techniques and Tools - revised edition. Princeton University Press, Princeton, NJ. | Zbl 1337.91003
[15] Mikosch, T. (2006). Copulas: Tales and facts. Extremes, 9(1), 3–20.
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[17] Pitman, J. W. (1974). Uniform rates of convergence for Markov chain transition probabilities. Z. Wahrsch. verw. Gebiete, 29, 193–227. | Zbl 0373.60077
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[19] Rüschendorf, L. (2013). Mathematical Risk Analysis. Dependence, Risk Bounds, Optimal Allocations and Portfolios. Springer, Heidelberg. | Zbl 1266.91001
[20] Salmon, F. (2009). Recipe for disaster: the formula that killed Wall Street. Wired Magazine, 17(3).
[21] Salmon, F. (2012). The formula that killed Wall Street. Significance, 9(1), 16–20.
[22] Skorohod, A. V. (1956). Limit theorems for stochastic processes. Theory Probab. Appl., 1(3), 261–290.
[23] Zhang, Y. (2014). Bounded gaps between primes. Ann. of Math., 179(3), 1121–1174. | Zbl 1290.11128