FRS Lunch Talk: Modelling Multi-peril Risks

16.11.2016

24 Nov 2016 | Prof Paul Embrechts discusses possible approaches to model and assess multihazard risks

Modelling Multi-peril Risks: Some Methodological Thoughts

The traditional approach to risk management has been to investigate damage due to exposure to a specific hazard (peril) by characterising a set of scenarios with frequency distribution over the possible consequences.

Since low-frequency high-magnitude events can have extreme consequences, it is thus crucial to understand and accurately model them. While the approach of using extreme value distributions to model the 'tail' of the distribution is rather mature, the scenario in which values are exposed to multiple perils has not been studied intensively.

Prof Paul Embrechts' talk looks at this challenge, sketching possible approaches to model and assess multi-hazard (peril problems). Possible methods include multivariate extreme value theory, copula modeling, and risk measures and their application.

The speaker

Prof Dr Paul Embrechts has held visiting professorships at numerous universities including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Oxford (Visiting Man Chair) and Hong Kong University (Hung Hing Ying Distinguished Visiting Professor) and has an Honorary Doctorate from the University of Waterloo, the Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain.

He is an elected fellow of the Institute of Mathematical Statistics and the American Statistical Association, honorary fellow of the Institute and the Faculty of Actuaries, UK, and Institut des actuaires, France and member Honoris Causa of the Belgian Institute of Actuaries.

Besides having published over 200 scientific publications, he has co-authored influential books including Modelling of Extremal Events for Insurance and Finance, Springer, 1997 and Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005 and 2015.

 
 
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