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1
Content available remote

Distributions with given marginals: the beginnings

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
|
2016
|
tom 4
|
nr 1
2
Content available remote

Stat Trek. An interview with Christian Genest

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
|
2016
|
tom 4
|
nr 1
3
Content available remote

My introduction to copulas

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
|
2017
|
tom 5
|
nr 1
88-98
4
Content available remote

The Vine Philosopher

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
|
2017
|
tom 5
|
nr 1
256-267
5
Content available remote

A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf

100%
Durante F., Puccetti G., Scherer M.
Dependence Modeling
|
2015
|
tom 3
|
nr 1
6
Content available remote

Building bridges between Mathematics, Insurance and Finance

100%
Durante F., Puccetti G., Scherer M.
Dependence Modeling
|
2015
|
tom 3
|
nr 1
EN
Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity of Singapore, KyotoUniversity,was Visiting Man Chair 2014 at the Oxford-Man Institute of Oxford University and has an Honorary Doctorate from the University of Waterloo, Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain. He is an Elected Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Honorary Fellow of the Institute and the Faculty of Actuaries, Actuary-SAA, Member Honoris Causa of the Belgian Institute of Actuaries and is on the editorial board of numerous scientific journals.He belongs to various national and international research and academic advisory committees. He co-authored the influential books Modelling of Extremal Events for Insurance and Finance, Springer, 1997 [8] andQuantitative RiskManagement: Concepts, Techniques and Tools, Princeton UP, 2005, 2015 [14] and published over 180 scientific papers. Dr. Embrechts consults on issues in Quantitative Risk Management for financial institutions, insurance companies and international regulatory authorities.
7
Content available remote

On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

100%
Bernhart G., Mai J.-F., Scherer M.
Dependence Modeling
|
2015
|
tom 3
|
nr 1
EN
Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper develops new parametric families of MSMVE distributions in arbitrary dimensions. Furthermore, a convenient stochastic representation is stated for such models, which is helpful with regard to sampling strategies.
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