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How to Model Operational Risk, If You Must. Lecture to The Faculty of Actuaries

  • P. Embrechts (a1)


The second Lecturer to the Faculty of Actuaries is Professor Paul Embrechts, Professor of Mathematics at the ETH Zurich (Swiss Federal Institute of Technology, Zurich), specialising in actuarial mathematics and mathematical finance. His previous academic positions include ones at the Universities of Leuven, Limburg and London (Imperial College), and he has held visiting appointments at various other universities. He is an elected Fellow of the Institute of Mathematical Statistics, an Honorary Fellow of the Institute of Actuaries, a Corresponding Member of the Italian Institute of Actuaries, Editor of the ASTIN Bulletin, on the Advisory Board of Finance and Stochastics and Associate Editor of numerous scientific journals. He is a member of the Board of the Swiss Association of Actuaries and belongs to various national and international research and academic advisory committees. His areas of specialisation include insurance risk theory, integrated risk management, the interplay between insurance and finance and the modelling of rare events.



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Asmussen, S. (2000). Ruin Probabilities. World Scientific.
Basel Committee on Banking Supervision (2003). The new Basel capital accord. BIS Basel, Switzerland.
Bucklew, J.W. (2004). Introduction to rare event simulation. Springer.
Chavez-Demoulin, V. & Embrechts, P. (2004). Smooth extremal models in finance and insurance. The Journal of Risk and Insurance, 71(2), 183199.
Chavez-Demoulin, V., Embrechts, P. & Neslehova, J. (2006). Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance, 30(10), 26352658.
Cruz, M.G. (2002). Modeling, measuring and hedging operational risk; a quantitative approach. Wiley, New York.
Embrechts, P., Furrer, H.J. & Kaufmann, R. (2003). Quantifying regulatory capital for operational risk. Derivatives Use, Trading and Regulation, 9(3), 217233.
Embrechts, P., Kaufmann, R. & Samorodnitsky, G. (2004). Ruin theory revisited: stochastic models for operational risk. Risk Management for Central Bank Foreign Reserves, 243261.
Embrechts, P., Kluppelberg, C. & Mikosch, T. (1997). Modelling extremal events for insurance and finance. Springer.
Embrechts, P., McNeil, A. & Straumann, D. (2002). Correlation and dependence in risk management: properties and pitfalls. In Dempster, M.A.H. (ed.) Risk management: value at risk and beyond, 176-223. Cambridge University Press, Cambridge.
Embrechts, P. & Samorodnitsky, G. (2003). Ruin problem and how fast stochastic processes mix. Annals of Applied Probability, 13, 136.
McNeil, A.J., Frey, R. & Embrechts, P. (2005). Quantitative risk management: concepts, techniques and tools. Princeton University Press.
McNeil, A.J. & Saladin, T. (1997). The peaks over thresholds method for estimating high quantiles of loss distributions. Proceedings of XXVIIth International ASTIN Colloquium, Cairns, Australia, 2343.
The Economist (2003). Blockage in Basel. Vol. 369, No. 8344, October 2003.

How to Model Operational Risk, If You Must. Lecture to The Faculty of Actuaries

  • P. Embrechts (a1)


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