A Conversation With Paul Embrechts
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Publication:6064127
DOI10.1111/insr.12406zbMath1528.60003OpenAlexW3094428345MaRDI QIDQ6064127
Johanna G. Nešlehová, Christian Genest
Publication date: 12 December 2023
Published in: International Statistical Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/insr.12406
Biographies, obituaries, personalia, bibliographies (01A70) History of statistics (62-03) History of probability theory (60-03)
Cites Work
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- The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
- A renewal theorem of Blackwell type
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- Meta densities and the shape of their sample clouds
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- Using copulae to bound the value-at-risk for functions of dependent risks
- Ruin problem and how fast stochastic processes mix
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- HARCH processes are heavy tailed
- Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
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- A property of longtailed distributions
- The central limit theorem for summability methods of I.I.D. random variables
- Variations of Andrews' Plots
- Approximations for compound Poisson and Pólya processes
- Martingales and insurance risk
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- On a Theorem of E. Lukacs
- A Second-Order Theorem for Laplace Transforms
- Subexponentiality and infinite divisibility
- Hawkes Graphs
- Dependence structures for multivariate high-frequency data in finance
- Remembering Wim Vervaat
- Estimating value-at-risk: a point process approach
- Extreme Value Theory as a Risk Management Tool
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