Professor Dr. Paul Embrechts

ETH Zurich

Born 3rd of February, 1953 in Schoten (Belgium), Belgian citizen
Married to Gerda Janssens, three children

Addresses:   Private:   Buechraiweg 4
5452 Oberrohrdorf

Work: Department of Mathematics
ETH Zürich
Rämistrasse 101
8092 Zürich
tel.       +41 44 632 34 19

1. Education
Catholic University of Leuven, Belgium      Dr. Sc. (MATH) 1979
University of Antwerp, Belgium 'Licentiaat' in Mathematics 1975
2. Employment
2.1. ETH Zürich Full Professor of Mathematics     1989-date
  University of Limburg,
Diepenbeek, Belgium
Docent 1985-1989
  Imperial College,
University of London, UK
Lecturer in Statistics 1983-1985
  Catholic University of Leuven,
Research Assistant 1975-1983
2.2.  Visiting Professor at the University of Strasbourg (1996, 1997), ESSEC-Paris (1995, 1996, 1997), Cornell University (Fall 1996), Scuola Normale di Pisa: Cattedra Galileiana (1999), University of Florence (2001), London School of Economics: Centennial Professor of Finance (2003-2005), Eminent Visitor of the Financial Integrity Research Network, Australia (2006), University of Vienna (2008), Bowles Chair, Georgia State University, Atlanta (2009), Université Paris 1 Panthéon-Sorbonne (2009), National University of Singapore (2009), First Chair of the Belgian Institute of Actuaries (2010), Adjunct Professor Department of Economics, Chiang Mai University, Thailand (2012- ), Visiting Man Chair, Oxford-Man Institute, Oxford University (2014)
2.3.  Director of RiskLab-ETH Zürich, 1999-2000, 2002-2003, 2005-date
2.4.  Actuary-SAA, Aktuar-SAV: 1998  
2.5.  Senior SFI (Swiss Finance Institute) Professor since 2009  
3. Research Interests 4. Honours/Prizes/Special Lectures (selection) 5. Membership of Professional Societies 6. Professional Activities

6.1. Past editorial duties 6.2. Current editorial duties 6.3. Professional committees 6.4. Conferences organised 6.5. Scientific programme committees 6.6. Member of international evaluation committees 6.7. Functions within the ETH Zürich 6.8. Professional functions in private industry 7. Invited Lectures

I have given numerous invited and keynote lectures at universities and international scientific meetings worldwide. Besides these, I have lectured and consulted on several occasions within private industry and for regulatory and governemental organisations worldwide (details upon request).

8. Teaching

8.1. Courses taught at various universities include: 8.2. Ph.D. theses supervised: (See my website for a list of past and current postdoctoral students)

9. Publications

9.1. Books, Edited Volumes
  1. Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin, 1997 (With C. Klüppelberg and T. Mikosch) Second Printing, 1999, Third Printing, 2001, Fourth Printing, 2002, Edition for China, 2003
  2. Extremes and Integrated Risk Management (Ed.) Risk Waters Group, London, 2000
  3. Selfsimilar Processes (With M. Maejima), Princeton University Press, Princeton and Oxford, 2002
  4. Quantitative Risk Management: Concepts, Techniques and Tools (With A. J. McNeil and R. Frey), Princeton University Press, Princeton, 2005
  5. High Risk Scenarios and Extremes: A Geometric Approach (With Guus Balkema), Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, Zurich, 2007
  6. Quantitative Risk Management: Concepts, Techniques and Tools (With A. J. McNeil and R. Frey), Japanese translation published by arrangement with Princeton University Press through The English Agency (Japan), 2008
  7. Quantitative Risk Management: Concepts, Techniques and Tools, Revised edition (With A. J. McNeil and R. Frey), Princeton University Press, Princeton, 2015
9.2. Scientific Papers
  1. On a theorem of Lukacs, Proc. Amer. Math. Soc. 68 (1978) 292-294
  2. A second order theorem for Laplace transforms, J. London Math. Soc. 17 (1978) 102-106
  3. Subexponentiality and infinite divisibility, Z. Wahrsch. verw. Gebiete 49 (1979) 335-347 (With C.M. Goldie, and N. Veraverbeke)
  4. On closure and factorisation theorems for subexponential and related distributions, J. Austral. Math. Soc. (Ser. A) 29 (1980) 243-256 (With C.M. Goldie)
  5. A characterisation theorem for Fourier-Stieltjes transforms, Nieuw Arch. Wisk. (3) XXVIII (1980) 246-252
  6. Comparing the tails of an infinitely divisible distribution with integrals of its Lévy-measure, Ann. Probab. 9 (1981) 468-481 (With C.M. Goldie)
  7. A limit theorem for the tails of an infinite divisible law with an application to fluctuation theory, J. Austral. Math. Soc. (Ser. A) 32 (1982) 412-422 (With J. Hawkes)
  8. Estimates for the probability of ruin with special emphasis on the possibility of large claims, Insurance Math. Econom. 1 (1982) 55-72 (With N. Veraverbeke)
  9. On convolution tails, Stochastic Process. Appl. 13 (1982) 263-278 (With C.M. Goldie)
  10. The asymptotic behaviour of series and power series with positive coefficients, The Academiae Analecta 45 (1983) 43-61
  11. On subordinated distributions and random record processes, Math. Proc. Cambridge Philos. Soc. 93 (1983) 339-353 (With E. Omey)
  12. A property of the generalised inverse Gaussian distribution, with some applications, J. Appl. Probab. 20 (1983) 537-544
  13. A renewal theorem of Blackwell type, Ann. Probab. 12 (1984) 561-570 (With M. Maejima, and E. Omey)
  14. The central limit theorem for summability methods, Z. Wahrsch. verw. Gebiete 68 (1984) 191-204 (With M. Maejima)
  15. A property of longtailed distributions, J. Appl. Probab. 21 (1984) 80-87 (With E. Omey)
  16. Functions of power series, Yokohama Math. J. 32 (1984) 77-88 (With E. Omey)
  17. On a renewal theorem of Stefan P. Niculescu, Rev. Roumaine Math. Pures Appl. 30 (1985) 521-525 (With E. Omey)
  18. Subexponential distribution functions and their applications: a review. 7th Brasov Conference on Probability Theory, Statistics and Information Theory, ed. by M. Iosifescu, VNU Science Press, Utrecht, 1985, 125-136 (invited paper)
  19. Some limit theorems for generalised renewal measures, J. London Math. Soc. (2) 31 (1985) 184-192 (With M. Maejima, and E. Omey)
  20. Approximations for compound Poisson and Polya processes, Adv. Appl. Probab. 17 (1985) 623-637 (With J.L. Jenssen, M Maejima, and J.L. Teugels)
  21. Asymptotic behaviour of compound distributions, ASTIN Bulletin 15 (1985) 45-48 (With M. Maejima, and J.L. Teugels)
  22. An investigation of Andrews' plots to detect period and outliers in time series data, Comm. Statist. Simulation 15 (1986) 1027-1051 (With A.M. Herzberg, and A.C.K. Ng)
  23. Cord blood IgE and the month of birth, Archives for Disease in Childhood 62 (1987) 478-482 (With E. Bosmans, H. Callaert and J. Kimpen)
  24. Subexponential distribution functions: a second review. Proc. Internat. Conference on Stability, (1987), Varna (Bulgaria) (invited paper)
  25. An Abelian theorem for a general Mellin-convolution, J. Math. Anal. Appl. 132 (1988) 138-145 (With E. Omey)
  26. Ruin estimates for large claims, Insurance Math. Econom. 7 (1988) 269-274 (With J. Villasenor)
  27. Martingales and insurance risk, Comm. Statist. Stochastic Models, 5 (1989) 181-217 (With A. Dassios)
  28. The influence of sex and gestational age on cordblood IgE, Acta Paediatr. Scand. 78 (1989) 233-238 (With E. Bosmans, H. Callaert and J. Kimpen)
  29. Generalisations of Andrews' plots, Proceedings of the 46th Session ISI, (1990) 103-104 (With A.M. Herzberg)
  30. Simulating risk solvency, Insurance Math. Econom. 9 (1990) 141-148 (With L. Wouters)
  31. Urn models and kompeitoh: an industrial application, European J. Engineering Education, 15 (1990) 267-274 (With T. Nakata)
  32. Martingales in non-life insurance, Proc. 5th Internat. Vilnius Conference. Volume 1. VNU Press (1990) 314-322
  33. Actuarial Statistics: Its Place in the University Curriculum, Proceedings of ICOTS III. Volume 2. ISI (1991) 404-428. (Editor)
  34. Variation of Andrews' plots, IS Review 59 (1991) 175-194 (With A.M. Herzberg)
  35. Chest pain: An evaluation of the initial diagnosis made by 25 Flemish general practitioneers, Family Practice 8 (1991) 121-124 (With F. Buntinx, J. Truyen, G. Moreel and R. Peeters)
  36. A bootstrap procedure for estimating the adjustment coefficient, Insurance Math. Econom. 10 (1991) 181-190 (With T. Mikosch)
  37. Insurance Mathematics: from Theory towards Practice, Mitteilungen der Aktuarvereinigung Österreichs (1992) (6) 51-59
  38. Stochastic Modelling in Insurance, CLAPEM IV Proceedings, Mexico City, Instituto Nacional de Estadistica, Geografia e Informàtica, Mexico (1992), Volume 4, 11-23
  39. Zufall, Vierteljahresschrift der Naturforschenden Gesellschaft in Zürich 137/1 (1992) 23-40
  40. Evaluating patients with chest pain using classification and regression trees, Family Practice 9 (1992) 149-153 (With F. Buntinx, J. Truyen, G. Moreel and R. Peeters)
  41. A large claim index, Mitteilungen Schweiz. Verein. der Versicherungsmath. 1992(2) 143-156 (With M. Aebi and T. Mikosch)
  42. Finite-time Lundberg inequalities in the Cox case, Scand. Actuar. J., (1993)(1) 17-41 (With J. Grandell and H.P. Schmidli)
  43. Modelling of catastrophic events in insurance and finance. In: Operations Research '92, GMÖOR, A. Karmann, K. Mosler, M. Schader and G. Uebe (eds.), Physica-Verlag, Heidelberg (1993), 544-546
  44. Some applications of the fast Fourier transform algorithm in insurance mathematics, Statist. Neerlandica 47 (1993) 59-75 (With R. Grübel and S. Pitts)
  45. On the Gauss map of the cyclides of Dupin, Soochow J. Math. 19 (1993) 417-428 (With C. Baikoussis, F. Defever and L. Verstraelen)
  46. Some aspects of insurance mathematics, Teor. Veroyatnost. i Primenen 38 (1993) 374-416 (Russian) (With C. Klüppelberg)
  47. Some aspects of insurance mathematics, Theory Probab. Appl. 38 (1994) 262-295 (English version of #46) (With C. Klüppelberg)
  48. Ruin estimation for a general insurance risk model, Adv. Appl. Prob. 26 (1994) 404-422 (With H.P. Schmidli)
  49. Stochastic discounting, aggregate claims and the bootstrap, Adv. Appl. Prob. 26 (1994) 183-206 (With M. Aebi and T. Mikosch)
  50. Modelling of extremal events in insurance and finance, ZOR - Mathematical Methods of Operations Research 39 (1994) 1-34 (With H.P. Schmidli)
  51. Perpetuities and random equations. In: Asymptotic Statistics. Proceedings of the Fifth Prague Symposium. P. Mandl, M. Huskova (Eds.), Heidelberg: Physica-Verlag (1994) (Contributions to statistics), 75-86 (With C.M. Goldie)
  52. Longest runs in coin tossing, Insurance Math. Econom. 15 (1994) 139-149 (With K. Binswanger)
  53. Risk theory of the second and third kind, Scand. Actuarial J. (1) (1995) 35-43
  54. An introduction to wavelets with applications to Andrews' plots, J. Comput. Appl. Math. 64 (1995) 41-56 (With A.M. Herzberg, H.K. Kalbfleisch, W.N. Traves and J. Robertson Whitla)
  55. A proof of Dassios' representation of the alpha-quantile of Brownian motion with drift, Ann. Appl. Probab. 5 (1995) 757-767 (With L.C.G. Rogers and M. Yor)
  56. What do the initials ASTIN actually stand for? Editorial, ASTIN Bulletin 25 (1995) 79-80
  57. Sample quantiles of heavy-tailed stochastic processes. Stochastic Process. Appl. 59 (1995) 217-233 (With G. Samorodnitsky)
  58. Confidence bounds for the adjustment coefficient. Adv. Appl. Probab. 28 (1996) 802-827 (With S. Pitts and R. Grübel)
  59. Pricing insurance derivatives, the case of CAT futures. Proceedings of the 1995 Bowles Symposium on Securitization of Insurance Risk, Georgia State University, Atlanta, Georgia. Society of Actuaries, Monograph M-FI97-1 (1997) 15-26 (With S. Meister)
  60. No-arbitrage, change of measure and conditional Esscher transforms CWI Quarterly 9 (4) (1997) 291-317 (With H. Bühlmann, F. Delbaen and A.N. Shiryaev).
  61. How heavy are the tails of a stationary HARCH(k) process? A study of the moments. In: Stochastic Processes and Related Topics: In Memory of Stamatis Cambanis 1943-1995. Eds.: I. Karatzas, B.S. Rajput, M.S. Taqqu. Birkhäuser Boston (Trends in Mathematics), 69-102, 1998 (With G. Samorodnitsky, M. Dacorogna and U. Müller)
  62. On Esscher transforms in discrete finance models. ASTIN Bulletin 28 (1998) 171-186 (With H. Bühlmann, F. Delbaen and A.N. Shiryaev)
  63. Risk management and quantile estimation. In: A Practical Guide to Heavy Tails, eds. R.J. Adler et al., Boston: Birkhäuser, 111-130, 1998 (With F. Bassi, M. Kafetzaki)
  64. Living on the edge. RISK, January 1998, 96-100. Also published in: Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, M. Broadie and P. Glasserman (Eds.), Risk Waters Group, New York, 1998, 239-243 (With S. Resnick and G. Samorodnitsky)
  65. Recursive estimation of distributional fix-points. J. Appl. Probab. 37 (2000) 73-87 (With H. Walk)
  66. Extremes and insurance. Invited paper, Proceedings XXVIIIth ASTIN Colloquium, Cairns (Australia), 1-19, 1997
  67. Actuarial versus financial pricing of insurance. Surveys Math. Indust. 5 (1) (1998), 6-22
  68. Extreme value theory as a risk management tool. North American Actuarial J. 3 (1999) 30-41 (With S. Resnick and G. Samorodnitsky)
  69. HARCH processes are heavy tailed. Extremes 2:1 (1999) 87-93 (With R. Grübel)
  70. Stochastic processes in insurance and finance. In: Handbook of Statistics "Stochastic Processes: Theory and Methods". Eds.: C.R. Rao, D.N. Shanbhag. Elsevier Science, Amsterdam. 2001, 365-412 (With H. Furrer and R. Frey)
  71. Modelling multivariate extremes. In: Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Waters Group, London, 59-67, 2000 (With L. de Haan and X. Huang)
  72. Correlation: Pitfalls and Alternatives. RISK, May 1999, 12(5), 69-71 (With A.J. McNeil and D. Straumann) (Reprinted in: Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Waters Group, London, 71-76, 2000
  73. Correlation and Dependency in Risk Management. Proceedings XXXth International ASTIN Colloquium, 22-25 August, 1999, 227-250
  74. Correlation and Dependence in Risk Management: Properties and Pitfalls. Risk Management: Value at Risk and Beyond, M. Dempster (Ed.), Cambridge University Press, 2002, 176-223 (With A.J. McNeil and D. Straumann)
  75. Mit einem Euro an die Wall Street. In: "Warum Mathematik? Ein Informationsdossier für Maturandinnen und Maturanden" Departement Mathematik, ETH Zürich, 1999 (2-8)-(2-11)
  76. Extreme Value Theory: the End of the Curve. RISK, Insurance Risk: A RISK Special Report, July 1999, 19-20
  77. Aktuelle Aspekte moderner Finanzmathematik. IO Management 6-1999, 40-45
  78. Statistiques dans les Mathématiques financière. Académie des Sciences, rst no. 8-juillet 2000, La Statistique (Ed. Paul Malliavin), 107-111, 2000 (With N. El Karoui and M. Yor)
  79. The bell-curve is wrong: so what! In: Extremes and Integrated Risk Management, P. Embrechts (Editor), Risk Books, Risk Waters Group, London, xxv-xxviii, 2000
  80. Extreme value theory: potential and limitations as an integrated risk management tool. Derivatives Use, Trading & Regulation 6 (2000) 449-456
  81. An introduction to the theory of self-similar stochastic processes. International Journal of Modern Physics B 14 (2000) 1399-1420 (With M. Maejima)
  82. Actuarial versus financial pricing of insurance. Risk Finance 1(4) (2000) 17-26
  83. Difficult calls in judging extremes, The Financial Times 20. Juni 2000 (Reprinted in a French translation in Les Echos 18 October 2000) and in: Financial Times: Mastering Risk, volume 1: Concepts (ed. J. Pickford), 269-274, 2001
  84. Mathematical models in finance. In: Encyclopedia of Life Support Systems (EOLSS), Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK (2004). 16 pages (With T. Mikosch)
  85. Modelling catastrophic risks, Giornale dell' Istituto Italiano degli Attuari (GIIA 2000, nr. 2), 147-161.
  86. Using DFA for modelling the impact of foreign exchange risks on reinsurance decisions. "Casualty Actuarial Society", Forum 2001, 49-94 (With P. Blum, M. Dacorogna, T. Neghaiwi and H. Niggli)
  87. Ruin problem and how fast stochastic processes mix. Annals of Appl. Probab. 13, 1-36 (2003) (With G. Samorodnitsky)
  88. Extremes in economics and the economics of extremes. In: Extreme Values in Finance, Telecommunications and the Environment (Eds. B. Finkenstädt and H. Rootzén), Chapman & Hall CRC, London, 169-183 (2004).
  89. Smooth extremal models in finance and insurance. The Journal of Risk and Insurance 71(2), 183-199 (2004) (With V. Chavez-Demoulin)
  90. A statistical analysis of the shareprice of the SAIR group (1996-2001) from a risk manager's point of view. Derivatives Use, Trading & Regulation 8, 105-122, 2002. (With V. Chavez-Demoulin and A. Roehrl)
  91. Long head-runs and long match patters. In: Advances in Finance and Stochastics. Essays in Honour of Dieter Sondermann (Eds. K. Sandmann and P.J. Schoenbucher) Springer-Verlag, 2002, 57-69. (With S.Y. Novak)
  92. Using copulae to bound the Value-at-Risk for functions of dependent risk. Finance and Stochastics 7(2), 145-167 (2003) (With A. Hoeing and A. Juri)
  93. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3(1), 1-16 (2003). (With W. Breymann and A. Dias)
  94. Change-point analysis for dependence structures in finance and insurance. In: Novos Rumos em Estatistica, ed. L. Carvalho et al., Sociedade Portugesa de Estatistica, Lisboa, Portugal, (2002) 69-86. (With A. Dias)
  95. The ART of dependence modelling: the latest advances in correlation analysis. In: Alternative Risk Strategies, ed. Morton Lane, Risk Waters Group, London, 2002, 339-356. (With P. Blum and A. Dias)
  96. Ruin theory revisited, stochastic models for operational risk. In: Risk Management for Central Bank Foreign Reserves (Eds. C.  Bernadell et al.) European Central Bank, Frankfurt a.M., 2004, 243-261. (With R. Kaufmann and G. Samorodnitsky)
  97. The wizards of Wall Street: did mathematics change finance? Nieuw Arch. Wisk. 5(4) 26-33 (2003).
  98. Profile: RiskLab, ETH Zürich. Where mathematics, insurance and finance meet. Quantitative Finance 2(6), 402-404 (2002).
  99. Insurance Analytics. Guest Editorial, British Actuarial J. 8(IV), 639-641 (2002).
  100. Modelling dependence with copulas and applications to risk management. In: Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev, Elsevier, 2003, Chapter 8, 329-384. (With F. Lindskog and A.J. McNeil)
  101. Quantifying regulatory capital for operational risk, Derivatives Use, Trading & Regulation 9(3), 217-233 (2003). (With H. Furrer and R. Kaufmann)
  102. VaR, stress testing and related risk management techniques for hedge funds. In: The New Generation of Risk Management for Hedge Funds and Private Equity Investments, ed. L. Jaeger, Chapter 28, 399-411, Euromoney Book (2003).
  103. Testing for structural changes in exchange rates dependence beyond linear correlation. European Journal of Finance 15(7), 619-637, 2009 (With A. Dias)
  104. Da matematico delle assicurazioni ad attuario incaricato: una professione in via di cambiamento tra ''Basilea II'' e "Solvibilità II" Assicurazioni Anno LXXI, N.4, 469-473, 2004
  105. Strategic long-term financial risks: single risk factors. Computational Optimization and Applications 32(1/2), 61-90 (2005). (With R. Kaufmann and P. Patie)
  106. Change-point analysis for dependence structures in finance and insurance. In: Risk Measures for the 21st Century, ed. G. Szegö, Wiley Finance Series, Chapter 16, 321-335, 2004.
  107. Bounds for functions of dependent risks. Finance and Stochastics 10, 341-352 (2006) (With G. Puccetti)
  108. Multivariate excess distributions. Preprint, ETH Zürich, 2004 (With A.A. Balkema)
  109. Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance 30(10), 2635-2658 (2006) (With V. Chavez-Demoulin and J. Neslehova)
  110. Worst VaR scenarios. Insurance: Mathematics and Economics 37(1), 115-134 (2005) (With A. Höing and G. Puccetti)
  111. Bounds for functions of multivariate risks. J. Multivariate Analysis 97(2), 526-547 (2006) (With G. Puccetti)
  112. Aggregating risk capital, with an application to operational risk. The Geneva Risk and Insurance Review 30(2), 71-90, 2006 (With G. Puccetti)
  113. Infinite mean models and the LDA for operational risk, Journal of Operational Risk, 1(1), 3-25 (2006) (With V. Chavez-Demoulin and J. Neslehova)
  114. Extreme VaR scenarios in higher dimensions, Extremes 9, 177-192 (2006) (With A. Höing)
  115. Extremes and robustness: a contradiction?, Financial Markets and Portfolio Management 20, 103-118 (2006) (With R. Dell'Aquila)
  116. Different Kinds of Risk. In: Handbook of Financial Time Series Eds. Andersen, Davis, Kreiss, and Mikosch, 729-751, Springer (2009) (With H. Furrer and R. Kaufmann)
  117. Extreme Value Theory. In: Quantitative Financial Risk Management: Fundamentals, Models and Techniques Chapter IV: Applications to Credit Risk and Market Risk, DVD, Henry Stewart Talks, 2006 (With J. Neslehova)
  118. Copulas. In: Quantitative Financial Risk Management: Fundamentals, Models and Techniques Chapter IV: Applications to Credit Risk and Market Risk, DVD, Henry Stewart Talks, 2006 (With J. Neslehova)
  119. Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics 44, 164-169, 2009 (With J. Neslehova and M.V. Wüthrich)
  120. Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money and Finance 29, 1687-1705 (2010) (With A. Dias)
  121. The quantitative modelling of operational risk: between g-and-h and EVT. ASTIN Bulletin 37(2), 265-291 (2007) (With M. Degen and D. Lambrigger)
  122. How to model operational risk, if you must. Lecture to the Faculty of Actuaries. British Actuarial Journal 12(1), 1-4 (2006)
  123. Copulas: A personal view. Journal of Risk and Insurance 76 (3), 639-650 (2009)
  124. Aggregating operational risk across matrix structured loss data. Journal of Operational Risk 3(2), 29-44 (2008) (With G. Puccetti)
  125. Risiken und Extreme. ETH Globe. Das Magazin der ETH Zürich, 4 (November 2007), 38-39
  126. Panjer recursion versus FFT for compound distributions. Mathematical Methods in Operations Research 69(3), 497-508 (2009) (With M. Frei)
  127. Fast computation of the distribution of the sum of two dependent random variables, 2007 (With G. Puccetti). Updated version, see #138.
  128. Operational Risk: the Advanced Measurement Approach. Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley, 2010 (With V. Chavez-Demoulin)
  129. EVT-based estimation of risk capital and convergence of high quantiles. Advances in Applied Probability 40(3), 696-715 (2008) (With M. Degen)
  130. Copulas in insurance. Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley, 379-382, 2010 (With V. Chavez-Demoulin)
  131. Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Extremes 12, 107-127 (2009) (With D.D. Lambrigger and M.V. Wüthrich)
  132. Revisiting the edge, ten years on. Communications in Statistics: Theory and Methods 39, 1674-1688, 2010 (With V. Chavez-Demoulin)
  133. Discussion of ''Copulas: Tales and facts'', by Thomas Mikosch. Extremes 9, 45-47 (2006)
  134. Bounds for the sum of dependent risks having overlapping marginals. Journal of Multivariate Analysis 101, 177-190, 2009 (With G. Puccetti)
  135. Linear correlation and EVT: properties and caveats. Journal of Financial Econometrics 7(1), 30-39, 2009
  136. An EVT primer for Credit Risk. Lipton, A. and Rennie, A (Editors) The Oxford Handbook of Credit Derivatives, Oxford University Press 2011, 500-532 (With V. Chavez-Demoulin)
  137. Meta densities and the shape of their sample clouds. Journal of Multivariate Analysis 101, 1738-1754, 2010 (With G. Balkema and N. Nolde)
  138. The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Bernoulli, 17(2), 562-591, 2011 (With P. Arbenz and G. Puccetti); extended version of #127.
  139. Scaling of high-quantile estimators, Journal of Applied Probability 48(4), 968-983 (2011) (With M. Degen)
  140. Operational Risk - Modeling the Extreme. OCC-NISS White Paper, 2009 (With E. Balta, S. Carillo, K. Hamidick, K. Swandon)
  141. The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin 40(1), 1-33 (2010) (With C. Donnelly)
  142. Risk aggregation. Copula Theory and its Applications. P. Jaworski, F. Durante, W. Haerdle, and T. Rychlik (Eds.) Lecture Notes in Statistics - Proceedings 198, Springer Berlin/Heidelberg, 111-126 (2010) (With G. Puccetti)
  143. Quantitative Risk Management, 2009, International Encyclopedia of Statistical Science (Ed. M. Lovric), Part 17, 1151-1154, Springer
  144. Sensitivity of the limit shape of sample clouds from meta densities, Bernoulli 18(4), 1386-1404 (2012) (With G. Balkema and N. Nolde)
  145. The GAEP algorithm for the fast computation of the distribution of a function of dependent-random variables, Stochastics 84(5-6), 569-597 (2012) (With P. Arbenz and G. Puccetti)
  146. Multivariate Hawkes processes: an application to financial data, Journal of Applied Probability, Special Volume 48(A), 367-378 (2011) (With T. Liniger and Lin Lu)
  147. A note on generalized inverses, Mathematical Methods of Operations Research 77(3), 423-432 (2013) (With M. Hofert)
  148. Practices and issues in operational risk modeling under Basel II, Lithuanian Mathematical Journal 51(2), 180-193 (2011) (With M. Hofert)
  149. Extreme-quantile tracking for financial time series, Journal of Econometrics 181(1), 44-52 (2014) (With V. Chavez-Demoulin and S. Sardy)
  150. The shape of asymptotic dependence.  In: Springer Proceedings in Mathematics & Statistics, Special volume ''Prokhorov and Contemporary Probability Theory'' (ed. A.  Shiryaev, S. Varadhan and E. Presman), 33, 43-67 (2013) (With G. Balkema and N. Nolde)
  151. Mathematics and Financial Institutions. In: Proceedings of the Conference on Statistics, Science and Public Policy, A.M. Herzberg (Ed.), XV. Ethics, Security and Society, 125-130 (2011)
  152. Probabilistic risk analysis of flood: Kernkraftwerk Gösgen-Däniken (KKG). RiskLab internal report, (2010) (With V. Chavez-Demoulin and Bikramjit Das)
  153. Risk margin for a non-life insurance run-off, Statistics and Risk Modeling 28(4), 299-317 (2011) (With M.V. Wüthrich and A. Tsanakas)
  154. A QRM-primer on stable distributions (With J. Nolan), (2011)
  155. Comments on: Inference in multivariate Archimedean copula models, TEST 20(2), 263-270 (2011) (With M. Hofert)
  156. Im Spannungsfeld zwischen Hochschule und Wirtschaft. Interview von Stefan Bucher, VAMP Frühjahr 2011, 30-34
  157. Ceterum censeo Carthaginem esse delendam. In: Proceedings of the Conference on Statistics, Science and Public Policy, A.M. Herzberg (Ed.), XVI. Risks, Rules and Regulations, 63-67 (2012)
  158. Die Gene sind stärker als das Gehirn. Interview in: Der Landbote, 21. September 2011, 21
  159. Persönlichkeit und Risikokultur. Interview in: ICT in Finance, 4 (November 2011), 20-22
  160. Risk Measures and dependence modeling. In: Handbook of Insurance, Sec. Ed., G. Dionne (Ed.), Springer, New York, 2nd ed., 135-165 (2013) (With M. Hofert)
  161. Diversification in heavy-tailed portfolios: properties and pitfalls, Annals of Actuarial Science 7(1), 26-45 (2013) (With G. Mainik)
  162. Four theorems and a financial crisis, Int. Journal of Approximate Reasoning 54, 701-716 (2013) (With B. Das and V. Fasen)
  163. Model uncertainty and VaR aggregation, Journal of Banking and Finance 37(8), 2750-2764 (2013) (With G. Puccetti and L. Rüschendorf)
  164. Statistical inference for copulas in high dimensions: A simulation study, ASTIN Bulletin 43(2), 81-95 (2013) (With M. Hofert)
  165. Einfache Faustregeln und eine Gesamtsicht. Interview in: Schweizer Bank und Schweizer Versicherung, Sonderbeilage (zu Heft 9) September 2012, 6-8
  166. Comments on the EIPA-CP-12-003 Draft Technical Specifications, EIOPA, Frankfurt, Embrechts et al., (2012)
  167. Extreme Value Theory. Interview by Robert Matthews, BBC Knowledge Magazine 23 (May/June 2012), 79-83
  168. Vergesst nicht, was passiert ist. Interview von Felix Würsten und Roland Baumann mit Prof. Dr. Paul Embrechts und Joachim Klement, Globe (Magazin der ETH Zürich) 4 (Dezember 2012), 28-32
  169. Chancen und Grenzen der Finanzregulierung, Talk at "Pictet Seminar für Institutionelle Anleger 2012", Zurich and Geneva, November 2012 (10 pp, versions in English, German, French)
  170. Statistics and quantitative risk management for banking and insurance, Annual Review of Statistics and its Applications 1, 493-514 (2014) (with M. Hofert)
  171. An extreme value approach for modeling operational risk losses depending on covariates, Journal of Risk and Insurance 83(3), 735-776 (2016) (With V. Chavez-Demoulin and M. Hofert)
  172. Aggregation of log-linear risks, Celebrating 40 Years of the Applied Probability Trust, Journal of Applied Probability 51A, 203-212 (2014) (with E. Hashorva and T. Mikosch)
  173. An academic response to Basel 3.5, Risks 2(1), 25-48 (2014) (With G. Puccetti, L. Rüschendorf, R. Wang and A. Beleraj)
  174. Talking Risk Management. Interview by Miret Padovani, Swiss Finance Institute Connection 9 (Summer 2013), 6-7
  175. De onderwijsvisitatie Wiskunde, VLUHR Brussels, January 2014, pp. 191 (with R. Tijdeman, H. van der Vorst, R.H. Kaenders, D. Presotto and T. Seynnaeve)
  176. Aggregation-robustness and model uncertainty of regulatory risk measures, Finance and Stochastics 19(4), 763-790 (2015) (with B. Wang and R. Wang)
  177. Duality in risk aggregation, in: Innovations in Quantitative Risk Management, K. Glau, M. Scherer, R. Zagst (Eds.), Springer Proceedings in Mathematics & Statistics 99, 375-392 (2015) (with R. Hauser and S. Shahverdyan)
  178. Editorial: CLAPEM XIII, Latin American Congress of Probability and Mathematical Statistics, September 22-26, 2014, Cartagena de Indias, Revista Colombiana de Estatistica (2014), to appear
  179. Editorial: special issue on extremes in finance, Extremes 17(4), 529-530 (2014)
  180. Bernoulli and Tail-Dependence Compatibility, Annals of Applied Probability 26(3), 1636-1658 (2016) (with M. Hofert and R. Wang)
  181. Dependence uncertainty for aggregate risk: examples and simple bounds, in: The Fascination of Probability, Statistics and their Applications. In Honour of Ole E. Barndorff-Nielsen. M. Podolskij, R. Stelzer, S. Thorbjornsen, A.E.D. Veraart (Eds.), 395-417 (2016), Springer (with E. Jakobsons)
  182. A dialogue around models and uncertainty (2015), to appear
  183. Building bridges between Mathematics, Insurance and Finance, Dependence Modeling 3(1), 17-28 (2015) (An Interview with Paul Embrechts by F. Durante, G. Puccetti and M. Scherer)
  184. Space-time max-stable models with spectral separability, in: Probability, Analysis and Number Theory. In honour of N.H. Bingham, C.M. Goldie and A. Mijatoviç (Eds.), Advances of Applied Probability Special Vol. 48A, 77-97 (2016) (with E. Koch and C. Robert)
  185. Entretien avec Paul Embrechts, Interview, L'Actuariel, No 17 Juin 2015, 9-12
  186. Seven Proofs for the Subadditivity of Expected Shortfall, Dependence Modeling 3(1), 126-140 (2015) (with R. Wang)
  187. Die Copulae fanden mich ..., RISIKO MANAGER 17, 23-28 (2015) (translated version of no. 183)
  188. Hawkes Graphs, Theory of Probability and Its Applications 62(1), 163-193 (2017) (with M. Kirchner)
  189. Quantile-based risk sharing (2016) (with H. Liu and R. Wang)
  190. Chinese translation of no. 183, Actuarial Communications 10(2), 26-35 (2015)
  191. Dossier "Vers Bâle 4?", Interview par Séverine Leboucher, Revue Banque 795, April 2016
  192. Interview on Operational Risk, by Matthias Scherer and Frank Romeike, RISIKO MANAGER 5, 26-30 (2016)
  193. Interview of Paul Embrechts by Y.K. Leong, IMPRINTS 21 (18-25), National University of Singapore, Institute for Mathematical Sciences (2012)
  194. Old age provision: Past, Present, Future European Actuarial Journal 6(2), 287-306 (2016) (with H. Albrecher, D. Filipoviç, G. Harrison, P. Koch, S. Loisel, P. Vanini, J. Wagner)
  195. A Darwinian View on Internal Models (2016)
9.3.  I have written about 20 publications in Dutch on statistics, probability theory and insurance mathematics, also numerous book reviews for ISI Short Book Reviews, JASA and other scientific journals.


Zurich, February 1, 2017