Risk Measures and Dependence Modeling

Paul Embrechts () and Marius Hofert ()
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Paul Embrechts: ETH Zurich
Marius Hofert: The University of Hong Kong

A chapter in Handbook of Insurance, 2025, pp 95-126 from Springer

Abstract: Abstract This chapter provides an introduction and overview about modeling risks in insurance and finance. Besides the problem of adequately modeling individual risks, modeling their possibly complicated interactions and dependencies is challenging from both a theoretical and a practical point of view. Well-known concepts to model risks are presented and their strengths and weaknesses discussed.

Keywords: Quantitative risk management; Risk mapping; Risk measures; Value-at-risk; Expected shortfall; Copulas; Correlation pitfalls (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-69674-9_5

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DOI: 10.1007/978-3-031-69674-9_5

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