Risk Revealed

Paul Embrechts is Emeritus Professor of Insurance Mathematics in the Department of Mathematics of ETH Zurich, Switzerland. He holds numerous distinctions and awards from universities and organizations worldwide. He co-authored the influential books 'Modelling Extremal Events for Insurance and Finance' and 'Quantitative Risk Management: Concepts, Techniques and Tools' and has published over 200 scientific papers in leading international scientific journals. Marius Hofert is Associate Professor in the Department of Statistics and Actuarial Science at The University of Hong Kong. He obtained his Ph.D. in Mathematics from Ulm University in 2010. He then held a postdoctoral research position at RiskLab, ETH-Zurich. Afterwards, he was Guest Professor in the Department of Mathematics at the Technische Universität München, Visiting Assistant Professor in the Department of Applied Mathematics at the University of Washington and Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. Marius' research interests are dependence modeling, computational statistics, data science and quantitative risk management. He has offered several courses, mini-courses, workshops, summer and winter schools in these areas, including courses on risk management at the Risk Management Institute at the National University of Singapore and at the 29th International Summer School of the Swiss Association of Actuaries. Marius also participates in the education of actuaries and risk managers by developing teaching material and software freely available on qrmtutorial.org. Valérie Chavez-Demoulin is Professor of Statistics at the Faculty of Business and Economics, University of Lausanne (UniL). She is also co-founder and on the Executive and Scientific Board of the UniL research center ECCE (Expertise Center for Climate Extremes). Valérie holds a Master's degree in Mathematics from EPFL and a Ph.D. in Mathematics (specializing in Statistics) from the same institution. She was a research fellow at the Department of Mathematics (D-Math) at ETH-Zurich and later an Invited Professor at D-Math, ETH-Zurich, for a sabbatical leave. Her domain of expertise is extreme value theory and in particular, the statistical modeling of univariate or multivariate extreme events in non-stationary or covariate-dependent contexts.

Introduction; 1. The 1953 Great Flood; 2. The space shuttle Challenger disaster; 3. The 2007–2008 financial crisis; 4. Earthquakes and tsunamis; 5. The L'Aquila trial and the public communication of risk; 6. The coronavirus pandemic; 7. Mathematical wonderland; 8. Stochastic modeling; 9. The modeling of extreme events; 10. On climate change and related risk; 11. Further examples from the world of extremes; 12. Networks; 13. The black tulip and February 3, 1637; A note about the references; References; Index.