Embrechts Paul

Paul Embrechts

Information about the author Paul Embrechts will soon be added to the site.
Found 2 papers in total
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
2016
A general methodology for modeling loss data depending on covariates is developed. The...
Confidence bounds for the adjustment coefficient
Confidence bounds for the adjustment coefficient
1996
Let ψ(u) be the probability of eventual ruin in the classical Sparre Andersen...
Papers per page: