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Risk Measures and Dependence Modeling

In: Handbook of Insurance

Author

Listed:
  • Paul Embrechts

    (ETH Zurich)

  • Marius Hofert

    (The University of Hong Kong)

Abstract

This chapter provides an introduction and overview about modeling risks in insurance and finance. Besides the problem of adequately modeling individual risks, modeling their possibly complicated interactions and dependencies is challenging from both a theoretical and a practical point of view. Well-known concepts to model risks are presented and their strengths and weaknesses discussed.

Suggested Citation

  • Paul Embrechts & Marius Hofert, 2025. "Risk Measures and Dependence Modeling," Springer Books, in: Georges Dionne (ed.), Handbook of Insurance, edition 0, pages 95-126, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-69674-9_5
    DOI: 10.1007/978-3-031-69674-9_5
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