Embrechts, Paul 1953
Overview
Works:  106 works in 258 publications in 3 languages and 4,138 library holdings 

Roles:  Author, Speaker, dgs, Editor, Thesis advisor, Other, Contributor, Creator 
Classifications:  HD61, 658.1550151 
Publication Timeline
.
Most widely held works by
Paul Embrechts
Selfsimilar processes by
Paul Embrechts(
)
18 editions published in 2002 in English and held by 1,991 WorldCat member libraries worldwide
"After a short historical overview, this book describes the current state of knowledge about selfsimilar processes and their applications. Concepts, definitions, and basic properties are emphasized, giving the reader a road map of the realm of selfsimilarity that allows for further exploration. Such topics as noncentral limit theory, longrange dependence, and operator selfsimilarity are covered alongside statistical estimation, simulation, sample path properties, and stochastic differential equations driven by selfsimilar processes. Numerous references point the reader to current applications." "Although the text uses the mathematical language of the theory of stochastic processes, researchers and endusers from such diverse fields as mathematics, physics, biology, telecommunications, finance, econometrics, and environmental science will find it an ideal entry point for studying the already extensive theory and applications of selfsimilarity."Jacket
18 editions published in 2002 in English and held by 1,991 WorldCat member libraries worldwide
"After a short historical overview, this book describes the current state of knowledge about selfsimilar processes and their applications. Concepts, definitions, and basic properties are emphasized, giving the reader a road map of the realm of selfsimilarity that allows for further exploration. Such topics as noncentral limit theory, longrange dependence, and operator selfsimilarity are covered alongside statistical estimation, simulation, sample path properties, and stochastic differential equations driven by selfsimilar processes. Numerous references point the reader to current applications." "Although the text uses the mathematical language of the theory of stochastic processes, researchers and endusers from such diverse fields as mathematics, physics, biology, telecommunications, finance, econometrics, and environmental science will find it an ideal entry point for studying the already extensive theory and applications of selfsimilarity."Jacket
Quantitative risk management : concepts, techniques and tools by
Alexander J McNeil(
Book
)
34 editions published between 2005 and 2015 in English and held by 838 WorldCat member libraries worldwide
"The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers  whether financial risk analysts, actuaries, regulators, or students of quantitative finance  with practical tools to solve realworld problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address some of the main deficiencies of, current practice."Jacket
34 editions published between 2005 and 2015 in English and held by 838 WorldCat member libraries worldwide
"The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers  whether financial risk analysts, actuaries, regulators, or students of quantitative finance  with practical tools to solve realworld problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address some of the main deficiencies of, current practice."Jacket
Modelling extremal events for insurance and finance by
Paul Embrechts(
Book
)
23 editions published between 1996 and 2012 in English and German and held by 440 WorldCat member libraries worldwide
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view. Whatever new theory is presented is always motivated by relevant reallife examples. The numerous illustrations and examples, and the extensive bibliography make this book an ideal reference text for students, teachers and users in the industry of extremal event methodology
23 editions published between 1996 and 2012 in English and German and held by 440 WorldCat member libraries worldwide
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view. Whatever new theory is presented is always motivated by relevant reallife examples. The numerous illustrations and examples, and the extensive bibliography make this book an ideal reference text for students, teachers and users in the industry of extremal event methodology
Modelling extremal events for insurance and finance by
Paul Embrechts(
Book
)
39 editions published between 1997 and 2012 in 3 languages and held by 297 WorldCat member libraries worldwide
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations, in financial data, stockmarket shocks, risk management ...) play an increasingly important role. This much awaited book presents a comprehensive development of extreme value methodology for random walk models, time series, certain types of continuoustime stochastic processes and compound Poisson processes, all models which standardly occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes of iid sequences, extremes in time series models, point process methods, statistical estimation of tail probabilities. Besides summarising and bringing together known results, the book also features topics that appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavytailed time series. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theoremproof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible
39 editions published between 1997 and 2012 in 3 languages and held by 297 WorldCat member libraries worldwide
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations, in financial data, stockmarket shocks, risk management ...) play an increasingly important role. This much awaited book presents a comprehensive development of extreme value methodology for random walk models, time series, certain types of continuoustime stochastic processes and compound Poisson processes, all models which standardly occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes of iid sequences, extremes in time series models, point process methods, statistical estimation of tail probabilities. Besides summarising and bringing together known results, the book also features topics that appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavytailed time series. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theoremproof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible
High risk scenarios and extremes : a geometric approach by
A. A Balkema(
Book
)
14 editions published in 2007 in English and German and held by 215 WorldCat member libraries worldwide
"Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, banking, energy, medicine, reliability. Mainly motivated by examples from insurance and finance, the authors develop a theory for handling multivariate extremes. The approach borrows ideas from portfolio theory and aims at an intuitive approach in the spirit of the Peaks over Thresholds method. The point of view is geometric. It leads to a probabilistic description of what in QRM language may be referred to as a high risk scenario: the conditional behaviour of risk factors given that a large move on a linear combination [portfolio, say] has been observed. The theoretical models which describe such conditional extremal behaviour are characterized and their relation to the limit theory for coordinatewise maxima is explained." "The book is based on a graduate course on point processes and extremes. It could form the basis for an advanced course on multivariate extreme value theory or a course on mathematical issues underlying risk. Students in statistics and finance with a mathematical, quantitative background are the prime audience. Actuaries and risk managers involved in data based risk analysis will find the models discussed in the book stimulating. The text contains many indications for further research."Jacket
14 editions published in 2007 in English and German and held by 215 WorldCat member libraries worldwide
"Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, banking, energy, medicine, reliability. Mainly motivated by examples from insurance and finance, the authors develop a theory for handling multivariate extremes. The approach borrows ideas from portfolio theory and aims at an intuitive approach in the spirit of the Peaks over Thresholds method. The point of view is geometric. It leads to a probabilistic description of what in QRM language may be referred to as a high risk scenario: the conditional behaviour of risk factors given that a large move on a linear combination [portfolio, say] has been observed. The theoretical models which describe such conditional extremal behaviour are characterized and their relation to the limit theory for coordinatewise maxima is explained." "The book is based on a graduate course on point processes and extremes. It could form the basis for an advanced course on multivariate extreme value theory or a course on mathematical issues underlying risk. Students in statistics and finance with a mathematical, quantitative background are the prime audience. Actuaries and risk managers involved in data based risk analysis will find the models discussed in the book stimulating. The text contains many indications for further research."Jacket
Extremes and integrated risk management(
Book
)
8 editions published between 2000 and 2004 in English and held by 90 WorldCat member libraries worldwide
8 editions published between 2000 and 2004 in English and held by 90 WorldCat member libraries worldwide
Conditional extreme value analysis for random vectors using polar representations by
Miriam Isabel Seifert(
)
1 edition published in 2015 in English and held by 34 WorldCat member libraries worldwide
1 edition published in 2015 in English and held by 34 WorldCat member libraries worldwide
Extreme value theory and copulas by
Paul Embrechts(
Visual
)
1 edition published in 2007 in English and held by 27 WorldCat member libraries worldwide
1 edition published in 2007 in English and held by 27 WorldCat member libraries worldwide
Dependence modeling with copulas by
Paul Embrechts(
Visual
)
1 edition published in 2007 in English and held by 23 WorldCat member libraries worldwide
1 edition published in 2007 in English and held by 23 WorldCat member libraries worldwide
Modelling extremal events : for insurance and finance by
Paul Embrechts(
Book
)
2 editions published between 2003 and 2008 in English and held by 14 WorldCat member libraries worldwide
Both in insurance and finance applications, questions involving extremal events play an increasingly important role. This volume sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view
2 editions published between 2003 and 2008 in English and held by 14 WorldCat member libraries worldwide
Both in insurance and finance applications, questions involving extremal events play an increasingly important role. This volume sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view
[Copulas] by
Paul Embrechts(
Visual
)
1 edition published in 2007 in English and held by 6 WorldCat member libraries worldwide
1 edition published in 2007 in English and held by 6 WorldCat member libraries worldwide
Modelling Extremal Events : for Insurance and Finance by
Paul Embrechts(
)
in English and held by 6 WorldCat member libraries worldwide
in English and held by 6 WorldCat member libraries worldwide
Modelling extremal events : for insurance and finance by
Paul Embrechts(
Book
)
5 editions published between 1999 and 2008 in English and German and held by 5 WorldCat member libraries worldwide
Both in insurance and finance applications, questions involving extremal events play an increasingly important role. This volume sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view
5 editions published between 1999 and 2008 in English and German and held by 5 WorldCat member libraries worldwide
Both in insurance and finance applications, questions involving extremal events play an increasingly important role. This volume sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view
Inleiding tot de discrete wiskunde, het kansrekenen en de statistiek by
Jef L Teugels(
Book
)
1 edition published in 1986 in Dutch and held by 5 WorldCat member libraries worldwide
1 edition published in 1986 in Dutch and held by 5 WorldCat member libraries worldwide
Quantitative risk management : concepts, techniques and tools by
Alexander J McNeil(
)
1 edition published in 2015 in English and held by 4 WorldCat member libraries worldwide
1 edition published in 2015 in English and held by 4 WorldCat member libraries worldwide
Inleiding tot de discrete wiskunde, het kansrekenen en de statistiek by
Jef L Teugels(
Book
)
1 edition published in 1986 in Dutch and held by 4 WorldCat member libraries worldwide
1 edition published in 1986 in Dutch and held by 4 WorldCat member libraries worldwide
Inleiding tot de discrete wiskunde, het kansrekenen en de statistiek by
Jef L Teugels(
Book
)
in Dutch and held by 4 WorldCat member libraries worldwide
in Dutch and held by 4 WorldCat member libraries worldwide
The central limit theorem for borel and euler sums of independent, indentically distributed random variables by
Paul Embrechts(
Book
)
1 edition published in 1983 in English and held by 3 WorldCat member libraries worldwide
1 edition published in 1983 in English and held by 3 WorldCat member libraries worldwide
Renewal theorems of Blackwell type by
Paul Embrechts(
Book
)
1 edition published in 1983 in English and held by 3 WorldCat member libraries worldwide
1 edition published in 1983 in English and held by 3 WorldCat member libraries worldwide
A limit theorem with applications to fluctuation theory by
Paul Embrechts(
Book
)
2 editions published in 1980 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 1980 in English and held by 3 WorldCat member libraries worldwide
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Audience Level
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Associated Subjects
Actuarial science Business mathematics Distribution (Probability theory) Econometrics Economics Economics, Mathematical Extreme value theory Finance FinanceMathematical models FinanceStatistical methods Financial risk management GARCH model Geometry, Differential Insurance InsuranceMathematical models InsuranceMathematics InsuranceStatistical methods Mathematical statistics Mathematics Multivariate analysis Point processes Portfolio managementMathematical models Probabilities Risk assessment Risk assessmentMathematical models Risk management Risk managementMathematical models Selfsimilar processes Stochastic processes