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Estimates for the probability of ruin with special emphasis on the possibility of large claims

Embrechts, P.; Veraverbeke, N. - In: Insurance: Mathematics and Economics 1 (1982) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10005365506

Longest runs in coin tossing

Binswanger, K.; Embrechts, P. - In: Insurance: Mathematics and Economics 15 (1994) 2-3, pp. 139-149

Persistent link: https://www.econbiz.de/10005374891

Ruin estimates for large claims

Embrechts, P.; Villasenor, J. A. - In: Insurance: Mathematics and Economics 7 (1988) 4, pp. 269-274

Persistent link: https://www.econbiz.de/10005375196

A bootstrap procedure for estimating the adjustment coefficient

Embrechts, Paul; Mikosch, Thomas - In: Insurance: Mathematics and Economics 10 (1991) 3, pp. 181-190

Persistent link: https://www.econbiz.de/10005374607

Simulating risk solvency

Embrechts, Paul; Wouters, Lode - In: Insurance: Mathematics and Economics 9 (1990) 2-3, pp. 141-148

Persistent link: https://www.econbiz.de/10005375384

Worst VaR scenarios

Embrechts, Paul; Hoing, Andrea; Puccetti, Giovanni - In: Insurance: Mathematics and Economics 37 (2005) 1, pp. 115-134

Persistent link: https://www.econbiz.de/10005380529

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Embrechts, Paul; Neslehová, Johanna; Wüthrich, Mario V. - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 164-169

Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the...

Persistent link: https://www.econbiz.de/10004973665