IDEAS home Printed from https://ideas.repec.org/a/bla/istatr/v88y2020i3p521-547.html
   My bibliography  Save this article

A Conversation With Paul Embrechts

Author

Listed:
  • Christian Genest
  • Johanna G. Nešlehová

Abstract

Paul Embrechts was born in Schoten, Belgium, on 3 February 1953. He holds a Licentiaat in Mathematics from Universiteit Antwerpen (1975) and a DSc from Katholieke Universiteit Leuven (1979), where he was also a Research Assistant from 1975 to 1983. He then held a lectureship in Statistics at Imperial College, London (1983–1985) and was a Docent at Limburgs Universitair Centrum, Belgium (1985–1989) before joining ETH Zürich as a Full Professor of Mathematics in 1989, where he remained until his retirement as an Emeritus in 2018. A renowned specialist of extreme‐value theory and quantitative risk management, he authored or coauthored nearly 200 scientific papers and five books, including the highly influential ‘Modelling of Extremal Events for Insurance and Finance’ (Springer, 1997) and ‘Quantitative Risk Management: Concepts, Techniques and Tools’ (Princeton University Press, 2005, 2015). He served in numerous editorial capacities, notably as Editor‐in‐Chief of the ASTIN Bulletin (1996–2005). Praised for his natural leadership and exceptional communication skills, he helped to bridge the gap between academia and industry through the foundation of RiskLab Switzerland and his sustained leadership for nearly 20 years. He gave numerous prestigious invited and keynote lectures worldwide and served as a member of the board of, or consultant for, various banks, insurance companies and international regulatory authorities. His work was recognised through several visiting positions, including at the Oxford‐Man Institute, and many awards. He is, inter alia, an Elected Fellow of the Institute of Mathematical Statistics (1995) and the American Statistical Association (2014), an Honorary Fellow of the Institute and the Faculty of Actuaries (2000), Honorary Member of the Belgian (2010) and French (2015) Institute of Actuaries and was granted four honorary degrees (University of Waterloo, 2007; Heriot‐Watt University, 2011; Université catholique de Louvain, 2012; City, University of London, 2017). The following conversation took place in Paul's office at ETH Zürich, 17–18 December 2018.

Suggested Citation

  • Christian Genest & Johanna G. Nešlehová, 2020. "A Conversation With Paul Embrechts," International Statistical Review, International Statistical Institute, vol. 88(3), pages 521-547, December.
    • Handle: RePEc:bla:istatr:v:88:y:2020:i:3:p:521-547
    DOI: 10.1111/insr.12406
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/insr.12406
    Download Restriction: no
    File URL: https://libkey.io/10.1111/insr.12406?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
    2. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-12, May.
    3. Embrechts, Paul & Samorodnitsky, Gennady, 1995. "Sample quantiles of heavy tailed stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 217-233, October.
    4. Paul Embrechts & Giovanni Puccetti, 2006. "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, vol. 10(3), pages 341-352, September.
    5. Valérie Chavez-Demoulin & Paul Embrechts & Marius Hofert, 2016. "An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 735-776, September.
    6. Embrechts, Paul & Puccetti, Giovanni, 2006. "Bounds for functions of multivariate risks," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 526-547, February.
    7. Christian Genest & Alberto Carabarín-Aguirre, 2013. "A Digital Picture of the Actuarial Research Community," North American Actuarial Journal, Taylor & Francis Journals, vol. 17(1), pages 3-12.
    8. H. Maassen & F. W. Steutel, 1996. "Remembering Wim Vervaat," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 50(1), pages 225-230, March.
    9. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    10. Balkema, A.A. & Embrechts, P. & Nolde, N., 2010. "Meta densities and the shape of their sample clouds," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1738-1754, August.
    11. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
    12. Embrechts, Paul, 1995. "What do the Initials Astin Actually Stand For?," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 25(02), pages 79-80, November.
    13. Paul Embrechts & Sidney Resnick & Gennady Samorodnitsky, 1999. "Extreme Value Theory as a Risk Management Tool," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 30-41.
    14. Christian Genest & Michel Gendron & Michaël Bourdeau-Brien, 2009. "The Advent of Copulas in Finance," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 609-618.
    15. Embrechts, Paul & Maejima, Makoto & Teugels, Jozef L., 1985. "Asymptotic Behaviour of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 15(1), pages 45-48, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rüschendorf, L., 2019. "Analysis of risk bounds in partially specified additive factor models," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 115-121.
    2. Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
    3. Hofert Marius & Memartoluie Amir & Saunders David & Wirjanto Tony, 2017. "Improved algorithms for computing worst Value-at-Risk," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 13-31, June.
    4. Asimit, Alexandru V. & Gerrard, Russell, 2016. "On the worst and least possible asymptotic dependence," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 218-234.
    5. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
    6. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
    7. Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.
    8. Embrechts, Paul & Puccetti, Giovanni, 2010. "Bounds for the sum of dependent risks having overlapping marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 177-190, January.
    9. Raphael Hauser & Sergey Shahverdyan & Paul Embrechts, 2014. "A General Duality Relation with Applications in Quantitative Risk Management," Papers 1410.0852, arXiv.org.
    10. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
    11. Ruodu Wang & Liang Peng & Jingping Yang, 2013. "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, vol. 17(2), pages 395-417, April.
    12. Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.
    13. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
    14. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
    15. Xavier Milhaud & Victorien Poncelet & Clement Saillard, 2018. "Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity," Risks, MDPI, vol. 6(2), pages 1-23, April.
    16. Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020. "Convolution Bounds on Quantile Aggregation," Papers 2007.09320, arXiv.org, revised Sep 2024.
    17. Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
    18. Paul Embrechts & Giovanni Puccetti, 2006. "Aggregating risk capital, with an application to operational risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 71-90, December.
    19. Rüschendorf Ludger & Witting Julian, 2017. "VaR bounds in models with partial dependence information on subgroups," Dependence Modeling, De Gruyter, vol. 5(1), pages 59-74, January.
    20. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:istatr:v:88:y:2020:i:3:p:521-547. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/isiiinl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.