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«1. Education Catholic University of Leuven, Belgium Dr. Sc. (MATH) 1979 University of Antwerp, Belgium 'Licentiaat' in Mathematics 1975 2. Employment ...»

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Prof Paul Embrechts

1. Education

Catholic University of Leuven, Belgium Dr. Sc. (MATH) 1979

University of Antwerp, Belgium 'Licentiaat' in Mathematics 1975

2. Employment

2.1. ETH Zürich Full Professor of Mathematics 1989-date

University of Limburg, Docent 1985-1989

Diepenbeek, Belgium

Imperial College, Lecturer in Statistics 1983-1985 University of London, UK Catholic University of Leuven, Research Assistant 1975-1983 Belgium

2.2. Visiting Professor at the University of Strasbourg (1996, 1997), ESSEC-Paris (1995, 1996, 1997), Cornell University (Fall 1996), Scuola Normale di Pisa: Cattedra

Galileiana (1999), University of Florence (2001), London School of Economics:

Centennial Professor of Finance (2003-2005), Eminent Visitor of the Financial Integrity Research Network, Australia (2006), University of Vienna (2008), Bowles Chair, Georgia State University, Atlanta (2009), Université Paris 1 Panthéon- Sorbonne (2009), National University of Singapore (2009), First Chair of the Belgian Institute of Actuaries (2010), Adjunct Professor Department of Economics, Chiang Mai University, Thailand (2012- ), Visiting Man Chair, Oxford-Man Institute, Oxford University (2014)

2.3. Director of RiskLab-ETH Zürich, 1999-2000, 2002-2003, 2005-date

2.4. Actuary-SAA, Aktuar-SAV: 1998

2.5. Senior SFI (Swiss Finance Institute) Professor since 2009

3. Research Interests  Stochastic modelling of extremal events in insurance and finance.

 Econometric models for tick-by-tick data in finance.

 Actuarial risk theory.

 Quantitative risk management.

 Modelling of dependence beyond linear correlation.

 Aggregation of risk measures.

 Extreme value theory and its applications.

 Model uncertainty in risk management.

 Stochastic models for risk diversification and risk concentration.

4. Honours/Prizes/Special Lectures (selection)  Laureate of the Belgian Royal Academy of Sciences, 1983  Fellow of the Institute of Mathematical Statistics, 1995  The Applied Probability Society of INFORMS, 1999. Best Publication Award (Honorable Mention) for Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin, 1997, (with C. Klüppelberg and T. Mikosch)  Honorary Fellow of the Institute of Actuaries, London, 2000  Keynote Speaker at the ASTIN-Colloquia 2000, Porto Cervo, 2003, Berlin, 2009, Helsinki, 2011, Madrid, 2012, Mexico City  Corresponding Member of the Italian Society of Actuaries, 2002  2002-2003 Johann Bernoulli Lecturer, University of Groningen  Nomura Lecture 2004, University of Oxford  Hermann Otto Hirschfeld Lecture 2004, Humbold University, Berlin  2004 INA-International Prize in Mathematics and Insurance, Academia Nazionale dei Lincei, Rome  2004 Innovation Prize 3-Way Seminar, (Q-Group, Inquire UK, Inquire Europe)  Inquire First Prize for Keynote Address: Quantifying Regulatory Capital for Operational Risk: Utopia or Not?, 2004  Second Lecturer to the Faculty, Faculty of Actuaries, Edinburgh, 2005  Geneva Risk Economics Lecture (EGRIE), First World Risk and Insurance Economics Congress, Salt Lake City, 2005  Opening Lecture, 28th International Congress of Actuaries, Paris, May 2006  Honorary Fellow of The Faculty of Actuaries, UK, July 2006  Kuwait Lecture, University of Cambridge, February 2007  Honorary Doctorate in Mathematics, University of Waterloo, Canada, June 2007  Keynote Speaker, Annual Meeting of the Statistical Society of Canada/Societé Statistique du Canada and the Societé française de statistique, Ottawa, Canada, May 2008  Keynote Speaker at the NISS-OCC Workshop on "Exploring Statistical Issues in Financial Risk Modelling and Banking Regulations", Washington D.C., February 2009  Keynote Speaker at the Wharton School Conference on "Low probability events", Philadelphia, April 2009  Patrick Poon Lecturer in Actuarial Science, University of Hong Kong, July 2009  Member Honoris Causa of the Belgian Institute of Actuaries (IABE), 13/1/2010  First Chair of the Belgian Institute of Actuaries (IABE), 13/1/2010  Keynote Speaker at the 29th International Congress of Actuaries, Cape Town, March 2010  Keynote Speaker at the Presidential Luncheon, Society of Actuaries 2010 Annual Meeting, New York, October 2010  Award for Excellence in Statistical Research, University of Hasselt, Belgium, 21/5/2011  The Honorary Degree of Doctor of Science of Heriot-Watt University, Edinburgh, UK, 24/6/2011  Keynote Speaker at the 2011 ASTIN-AFIR Colloquium, Madrid Spain, June 2011  Humboldt Dinstinguished Lecture Series, Berlin, April 2012  Doctor Honoris Causa, Catholic University of Louvain (UCL), Belgium, 31/5/2012  Keynote Speaker at the 2012 ASTIN, AFIR and Life Colloquia, Mexico City, October 2012  The 2013 Craig Lecturer, University of Iowa, April 2013  The Saw Swee Hock Public Lecture in Statistics, The University of Hong Kong, June 2013  Visiting Man Chair, Oxford-Man Institute, Oxford University, 2014  Keynote Speaker at the 30th International Congress of Actuaries, Washington, D.C., April 2014  Fellow of the American Statistical Association, April 2014  Keynote Speaker at the 8th World Congress of the Bachelier Finance Society, Brussels, June 2014  The Bob Alting von Geusau Memorial Prize for the best paper published in the ASTIN Bulletin on an AFIR/ERM related topic in the years 2010-2011, for the paper: "The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis" with C. Donnelly, ASTIN Bulletin, 2010, 40(1), 1-33.





 Membre d'honneur de l'Institut des actuaires, France, June 2015

5. Membership of Professional Societies

 Royal Statistical Society  International Statistical Institute (Elected Fellow)  Bernoulli Society  London Mathematical Society  Institute of Mathematical Statistics (Fellow)  Schweizerische Vereinigung für Statistik  Swiss Association of Actuaries  European Mathematical Society  American Statistical Association (Fellow)  International Actuarial Association  Finance Society  Institute of Actuaries (Honorary Fellow)  Italian Society of Actuaries (Corresponding Member)  Faculty of Actuaries (Honorary Fellow)  Belgian Institute of Actuaries (Member Honoris Causa)

6. Professional Activities

6.1. Past editorial duties  Associate Editor of the International Statistical Review, 1991-1995  Editor of the Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1992-1995  Associate Editor of Hanu, 1985-1989 and International Statistical Information, 1987-1993  Corresponding Editor of the Institute of Mathematical Statistics Bulletin, 1998 Associate Editor of the Applied Probability Journals, 1990-2008  Associate Editor of Bernoulli, 2001-2003  Editor of the ASTIN Bulletin, 1996-2005  Associate Editor of the Journal of Banking and Finance, 2006-2009  Associate Book Review Editor, JASA, 2001-2011

6.2. Current editorial duties

 Associate Editor of Insurance: Mathematics and Economics  Associate Editor of Derivatives Use, Trading & Regulation  Advisory Board Finance and Stochastics  Advisory Board of Statistics & Risk Modeling with Applications in Finance and Insurance  Editorial Board of Extremes, Statistical Theory and Applications in Science, Engineering and Economics  Editorial Board of Annals of Actuarial Science  Editorial Board of Revista Contabilidade & Finanças (Accounting & Finance Review)  Editorial Board of Kragujevac Journal of Mathematics

6.3. Professional committees

 Scientific Secretary of the Bernoulli Society for Probability Theory and Mathematical Statistics, 1987-1992  Bernoulli Society Committee for Statistics in the Physical Sciences, 1989-1995  Committee on the ISI Conference Programme, 1988-1995  Committee for Conferences on Stochastic Processes, 1991-1998  European Regional Committee of the Bernoulli Society, 1986-1992  IMS Special Invited Papers Committee, 1992-1994  Board of the Swiss Society of Actuaries, 1995-2006  Scientific Council of EURANDOM, Eindhoven, The Netherlands, 1996-2004  Scientific advisory committee of the Korteweg-de Vries Institute, University of Amsterdam, 1998-date  Scientific advisory committee of FAME (Lausanne, Geneva), 1999-2004  Consortium Walter Saxer-Versicherungs-Hochschulpreis, 1990-date  Les Prix d'Actuariat SCOR, France, 2000-2003, SCOR-Deutschland, 2002-2003  Council Member of the Bachelier Finance Society, 2002-2008  Commission de Recrutement de Mathématiques Appliquées, Ecole Polytechnique Paris, France, 2003-2006  Advisory Board, Department of Mathematics, The 21st Century COE Program 'Integrative Mathematical Sciences', Keio University, Japan, 2003-2008  International Scientific Board of NETSPAR, University of Tilburg, The Netherlands, 2005-date  Advisory Board, Centre for International Macroeconomics and Finance,University of Cambridge, UK, 2005-2010  Advisory Board, Maxwell Institute for Mathematical Sciences,University of Edinburgh, UK, 2006-2011  IMS Nominations Committee, 2006-2007 and the IMS Committee on Memorials, 2008-date, 2009-2011 as Chairman  International Advisory Panel of the Risk Management Institute, National University of Singapore, 2006-date  Advisory Board of the Norwegian Computing Center Oslo, Statistics for Innovation, 2007-date  Expert Committee on Mathematical Finance of the Programme in Insurance and Finance, University of Aarhus, Denmark, 2007-2010  Advisor of the National Irish Centre for Mathematics, 2007-2010  Scientific Advisory Board, Department of Mathematical Sciences, University of Copenhagen, 2009-date  Steering Committee 'Master in Financial Engineering', Swiss Finance Institute, EPFL, 2010-date  SCOR Fellowship Prize, 2010-date  Steering Committee of the Willis Research Network (WRN) Economic Capital Forum (ECF), 2011-2013  Scientific Committee Dipartimento di Statistica, Informatica, Facoltà di Economia, Università degli Studi di Firenze, 2011-date  Peer-review committee of the Departments of Mathematics (BSc and MSc programs) of all Flemish-Belgian Universities, 2012-2014  Advisory Board for BSc (Actuarial Science) and BSc (Risk Management/Satistics), Department of Statistics and Actuarial Science, The University of Hong Kong, 2013-date  Advisory Board of the Oxford-Man Institute of Quantitative Finance, University of Oxford, 2014-date  Scientific Committee CFM (Capital Fund Management) Imperial Institute of Quantitative Finance, Imperial College London, 2014-date  JSPS Core-to-Core Program on 'Foundation of a Global Research Cooperative Center in Mathematics focused on Number Theory and Geometry', Keio University, 2014-date  Advisory Board of the Center for Finance and Insurance (CFI) of the University of Zurich, 2014-date  Advisory Board of Center of Research in Econo-finance and Actuarial sciences on Risk (CREAR), ESSEC Business School, Paris, 2014-date  Member of several PhD Committees and Professorial promotion committees (details upon request)

6.4. Conferences organised

 Organiser '3rd European Young Statisticians Meeting', Leuven, Belgium, 22 Co-organiser 'Risk Theory', Mathematisches Forschungsinstitut Oberwolfach, Germany, 16-22/9/1990, 18-24/9/1994  Co-organiser 'Risk Theory Meeting' in Monte Verità, Ascona, Switzerland, 21 Director of the Summerschool of the Swiss Society of Actuaries on 'The modelling of extremal events in insurance and finance', Lausanne, Switzerland, 28/8-2/9/1994, 9-13/8/1999  Organiser Latsis Symposium 'Mathematical Finance, Insurance and Society', ETH Zürich, 24-25/9/1996  Co-organiser 'Stochastic Analysis in Finance and Insurance', Mathematisches Forschungsinstitut Oberwolfach, Germany, 14-19/9/1997, 8-12/5/2000, 3 Co-organiser 'Programme on Managing Uncertainty - New Analysis Tools for Insurance', Economics and Finance. The Isaac Newton Institute for Mathematical Sciences, Cambridge, UK, 23/7-10/8/2001  Co-organiser 'Zürich Workshop in Computational Finance', ETH Zürich, 11 Co-organiser Cherry Bud Workshops 2005 'Quantitative Risk Management:

Theory and Practice', 23-26/2/2005 and 2007, 'Interaction Through Data', 13Keio University, Yokohama, Japan  Co-organiser 'Risk Management', Isaac Newton Institute for Mathematical Sciences, Cambridge University, 7-11/3/2005  Co-organiser ASTIN-AFIR meetings, ETH Zürich, 4-9/9/2005  Organiser 'The Mathematics and Statistics of Quantitative Risk Management', Mathematisches Forschungsinstitut Oberwolfach, Germany, 16/3/-22/3/2008, 29/1/-4/2/2012, 20-26/11/2015  Co-Director NISS-OCC Research Program on 'Statistical Issues in Financial Risk Modeling and Banking Regulation'. 'Sub-Program: Operational Risk'. Inaugural Meeting: Washington D.C., USA, February 5-6, 2009  Symposium Leader 2009 Bowles Symposium on Liquidity, Valuation and Financial Crises. Atlanta, Georgia, USA, 12-13/2/2009  Chair Organizing Committee 'Financial Mathematics', IMS-National University of Singapore, 1/11-31/12/2009  Co-Organiser of the First ETH-Japan Symposium, ETH Zürich, 7-9/3/2012

6.5. Scientific programme committees

 Chairman of the Programme Committee of the 25th European Meeting of Statisticians, Aarhus, Denmark, 21-26/8/1995  Chairman of the Scientific Programme Committee, Dependence Modelling for Credit Portfolios, GRETA-University of Venice, 22-23/9/2003  Chairman of the Programme Committee of the 2005 ASTIN and AFIR meetings in Zürich, 4-9/9/2005  Member of numerous scientific programme committees in the fields of stochastics, insurance, finance and risk management (details upon request)

6.6. Member of international evaluation committees  Chairs in Insurance Mathematics at the Universities of Copenhagen (1990-91, 2002, 2008), Oslo (1991-92), Vienna (2001-02)  The "Centrum voor Wiskunde en Informatica", Amsterdam, The Netherlands (1995)  The Laboratory of Stochastics, University of Paris 6 and 7 (2000)  Departments of Mathematics of the French-speaking Belgian universities (2001-02)  Ecole Polytechnique, Paris (2003-2008)  The Australian National University (2004, 2010)  Imperial College, London (2005)  The University of Copenhagen, Department of Mathematical Sciences, 2009  Numerous evaluation committees for new professorships (details upon request)  Peer review of the Departments of Mathematics (BSc and MSc Programs) of all Flemish-Belgian universities (2012-2013)



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