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Building bridges between Mathematics, Insurance and Finance

Fabrizio Durante;  Giovanni Puccetti;  Matthias Scherer — 2015

Dependence Modeling

Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity...

On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

German Bernhart;  Jan-Frederik Mai;  Matthias Scherer — 2015

Dependence Modeling

Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper...

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