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Risk Measures and Dependence Modeling

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Handbook of Insurance

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 point of view and from practice. Well-known concepts to model risks are presented and their strengths and weaknesses discussed.

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Acknowledgements

Paul Embrechts, as SFI Senior Professor, acknowledges support from the Swiss Finance Institute, and Marius Hofert, as Willis Research Fellow, acknowledges support from Willis.

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Authors and Affiliations

  1. RiskLab, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland

    Paul Embrechts & Marius Hofert

Authors
  1. Paul Embrechts
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  2. Marius Hofert
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Correspondence to Paul Embrechts .

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Editors and Affiliations

  1. Finance, HEC Montreal, Montreal, Québec, Canada

    Georges Dionne

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Embrechts, P., Hofert, M. (2013). Risk Measures and Dependence Modeling. In: Dionne, G. (eds) Handbook of Insurance. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-0155-1_6

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