Zobrazeno 1 - 10
of 179
pro vyhledávání: '"Paul Embrechts"'
Publikováno v:
Risks, Vol 2, Iss 1, Pp 25-48 (2014)
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (Va
Externí odkaz:
https://doaj.org/article/b3dff1783958403bac88a67d3efbf6d9
Autor:
Guus Balkema, Paul Embrechts
Publikováno v:
Risks, Vol 6, Iss 3, p 93 (2018)
There exist several estimators of the regression line in the simple linear regression: Least Squares, Least Absolute Deviation, Right Median, Theil–Sen, Weighted Balance, and Least Trimmed Squares. Their performance for heavy tails is compared belo
Externí odkaz:
https://doaj.org/article/0c2769b423d945b287f2ce49d267ac1c
Autor:
Paul Embrechts, Mario V. Wüthrich
Publikováno v:
Annual Review of Statistics and Its Application. 9:119-140
For centuries, mathematicians and, later, statisticians, have found natural research and employment opportunities in the realm of insurance. By definition, insurance offers financial cover against unforeseen events that involve an important component
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7affe11a22d2a7946aa2308c707ab52
https://doi.org/10.1146/annurev-statistics-040120-030244
https://doi.org/10.1146/annurev-statistics-040120-030244
Autor:
Paul Embrechts
Publikováno v:
Annals of Actuarial Science. 16:211-213
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::43275a0921822cf4dd7de81367913e2c
https://doi.org/10.1017/s1748499522000070
https://doi.org/10.1017/s1748499522000070
Autor:
Paul Embrechts
The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783031122439
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1adb941204ed271a57e3f0fbf4c38893
https://doi.org/10.1007/978-3-031-12244-6_10
https://doi.org/10.1007/978-3-031-12244-6_10
Publikováno v:
Mathematical Finance. 31:1190-1217
Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4c95cb5bfaaa41c4ac92e0fc7685d1e
https://doi.org/10.1111/mafi.12313
https://doi.org/10.1111/mafi.12313
Autor:
Paul Embrechts, Mario Wüthrich
Publikováno v:
ASTIN Bulletin. 53:1-1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7453632291c93623d9f2ad224704823e
https://doi.org/10.1017/asb.2022.21
https://doi.org/10.1017/asb.2022.21
Publikováno v:
SSRN Electronic Journal.
Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::095d31de611f802679420ed08ac45ab3
https://doi.org/10.2139/ssrn.3708379
https://doi.org/10.2139/ssrn.3708379
Autor:
Pablo Koch-Medina, Ralf Korn, Hansjoerg Albrecher, Daniel Bauer, Hato Schmeiser, Stéphane Loisel, Joël Wagner, Paul Embrechts, Frank Schiller, Damir Filipović, Antoon Pelsser
Publikováno v:
European Actuarial Journal
European Actuarial Journal, Springer, 2018, 8 (1), pp.9-25
European Actuarial Journal, 8(1), 9-25. Springer
HAL
European Actuarial Journal, vol. 8, no. 1, pp. 9-25
European Actuarial Journal, Springer, 2018, 8 (1), pp.9-25
European Actuarial Journal, 8(1), 9-25. Springer
HAL
European Actuarial Journal, vol. 8, no. 1, pp. 9-25
This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as wel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37feac2f12caa6c183cd5ad4c26752a6
https://doi.org/10.1007/s13385-018-0167-5
https://doi.org/10.1007/s13385-018-0167-5