163 citations · 237 across the 9 of their papers we have counts for
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math.PR2016★ 32 cited
Bernoulli and tail-dependence compatibility
Paul Embrechts, Marius Hofert, Ruodu Wang
The tail-dependence compatibility problem is introduced. It raises the question whether a given -matrix of entries in the unit interval is the matrix of pairwise tail-de…
math.PR2015
Space-time max-stable models with spectral separability
Paul Embrechts, Erwan Koch, Christian Robert
Natural disasters may have considerable impact on society as well as on (re)insurance industry. Max-stable processes are ideally suited for the modeling of the spatial extent of su…
math.PR2009★ 2 cited
Sensitivity of the limit shape of sample clouds from meta densities
Guus Balkema, Paul Embrechts, Natalia Nolde
The paper focuses on a class of light-tailed multivariate probability distributions. These are obtained via a transformation of the margins from a heavy-tailed original distributio…