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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10001762730
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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Collamore, Jeffrey F.; Höing, Andrea - In: Finance and stochastics 11 (2007) 3, pp. 299-322
Persistent link: https://www.econbiz.de/10003485805
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Topics in risk management for insurance and finance : ruin and dependence
Höing, Andrea (contributor) - 2005
Persistent link: https://www.econbiz.de/10003278310
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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Collamore, Jeffrey F.; Höing, Andrea - 2005
Persistent link: https://www.econbiz.de/10003250230
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Applications of dependence concepts in insurance and finance
Juri, Alessandro (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001691998
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Limiting dependence structure for credit defaults
Charpentier, Arthur; Juri, Alessandro - 2004
Persistent link: https://www.econbiz.de/10002553887
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How to model operational risk if you must
Embrechts, Paul - In: Operations research proceedings 2006 : selected papers …, (pp. 81). 2007
Persistent link: https://www.econbiz.de/10003470262
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Linear correlation and EVT : properties and caveats
Embrechts, Paul - In: Journal of financial econometrics : official journal of … 7 (2009) 1, pp. 30-39
Persistent link: https://www.econbiz.de/10003825739
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Copulas : a personal view
Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 639-650
Persistent link: https://www.econbiz.de/10003877764
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A Darwinian view on internal models
Embrechts, Paul - In: Journal of risk 20 (2017/2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011847418