Paul Embrechts

Extreme Value Theory as a Risk Management Tool

Paul Embrechts, Sidney I. Resnick, Gennady Samorodnitsky · North American Actuarial Journal · 1999 · 472 citations

Business, Insurance, Risk Management +13

Estimates for the probability of ruin with special emphasis on the possibility of large claims

Paul Embrechts, Noël Veraverbeke · Insurance Mathematics and Economics · 1982 · 413 citations

Natural Sciences, Economics, Mathematics +5

On closure and factorization properties of subexponential and related distributions

Paul Embrechts, Charles M. Goldie · Journal of the Australian Mathematical Society Series A Pure Mathematics and Statistics · 1980 · 309 citations · Full text

Natural Sciences, Mathematics, Probability Theory +10

Correlation: Pitfalls and Alternatives

Paul Embrechts, Alexander J. McNeil, Daniel Straumann · 1999 · 306 citations

Management, Finance, Risk Management +16

Using copulae to bound the Value-at-Risk for functions of dependent risks

Paul Embrechts, Andrea Höing, Alessandro Juri · Finance and Stochastics · 2003 · 291 citations

Business, Risk Management, Actuarial Science +11