The Fundamental Theorem(s) of Quantitative Risk Management

Paul Embrechts
Department of Mathematics
ETH Zurich

Quantitative Risk Management (QRM) is an important field of interdisciplinary research. Applications are to be found in all fields of science. In this talk, I will concentrate on applications to Insurance and Finance. The theorem(s) having the distinct honor reflected in the title have their roots in mathematical statistics. They separate the applied world/problems where QRM applications are fairly standard from those where every serious application is a research project on its own. A basic reference is the book:
A.J. McNeil, R. Frey and P. Embrechts (2005/2015) Quantitative Risk Management: Concepts, Techniques and Tools. Princeton U.P. (1st/2nd Ed.).
See also the book's website www.qrmtutorial.org.