A Conversation With Paul Embrechts (Q6064127): Difference between revisions

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+https://doi.org/10.1111/insr.12406
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+W3094428345
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@@ Property / cites work @@
+The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
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+The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
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+High risk scenarios and extremes. A geometric approach
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+Meta densities and the shape of their sample clouds
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+Sensitivity of the limit shape of sample clouds from meta densities
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+Dependence structures for multivariate high-frequency data in finance
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+Estimating value-at-risk: a point process approach
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+Martingales and insurance risk
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+Stochastic bounds on sums of dependent risks
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+Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
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+On a Theorem of E. Lukacs
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+A Second-Order Theorem for Laplace Transforms
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+Q3860550
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+Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
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+Subexponentiality and infinite divisibility
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+HARCH processes are heavy tailed
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+Variations of Andrews' Plots
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+An introduction to wavelets with applications to Andrews' plots
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+Using copulae to bound the value-at-risk for functions of dependent risks
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+Approximations for compound Poisson and Pólya processes
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+Hawkes Graphs
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+Q4343010
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+Multivariate Hawkes processes: an application to financial data
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+The central limit theorem for summability methods of I.I.D. random variables
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+AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
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+A renewal theorem of Blackwell type
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+A property of longtailed distributions
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+Bounds for functions of dependent risks
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+Bounds for functions of multivariate risks
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+Bounds for the sum of dependent risks having overlapping marginals
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+Extreme Value Theory as a Risk Management Tool
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+A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
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+Sample quantiles of heavy tailed stochastic processes
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+Ruin problem and how fast stochastic processes mix
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+Q4218902
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Q4002884
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+Remembering Wim Vervaat
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+Q5706744
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+Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
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