1. Risk models from tree-structured Markov random fields following multivariate Poisson distributions. (2024). Cossette, H'Elene ; Dubeau, Alexandre ; Marceau, Etienne ; Cot, Benjamin.
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2. Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves. (2023). Wang, Lan ; Abdallah, Anas.
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3. A Weissman-type estimator of the conditional marginal expected shortfall. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri.
   In: Econometrics and Statistics.
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4. Expectile-based capital allocation. (2022). Khalil, Said.
   In: Working Papers.
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5. On the Contaminated Weighted Exponential Distribution: Applications to Modeling Insurance Claim Data. (2022). Mahdavi, Abbas ; Kharazmi, Omid ; Contreras-Reyes, Javier E.
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6. Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168.

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7. Tail dependence and heavy tailedness in extreme risks. (2021). Yang, Fan ; Tan, Ken Seng ; Ji, Liuyan.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:99:y:2021:i:c:p:282-293.

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8. Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel.
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   RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

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9. Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). arbia, giuseppe ; Bramante, Riccardo ; Facchinetti, Silvia.
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10. Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261.

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11. Concave distortion risk minimizing reinsurance design under adverse selection. (2020). Phillip, Sheung Chi ; Cheung, Ka Chun ; Zhang, Yiying ; Yuen, Fei Lung.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:91:y:2020:i:c:p:155-165.

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12. Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel.
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13. Collective risk models with dependence. (2019). Marceau, Etienne ; Cossette, Helene ; Mtalai, Itre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:87:y:2019:i:c:p:153-168.

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14. Conditional excess risk measures and multivariate regular variation. (2019). Vicky, Fasen-Hartmann ; Bikramjit, Das.
    In: Statistics & Risk Modeling.
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15. On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution. (2018). Vernic, Raluca.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:79:y:2018:i:c:p:184-193.

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16. Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications. (2018). Cossette, Helene ; Veilleux, Dery ; Mtalai, Itre ; Marceau, Etienne.
    In: Insurance: Mathematics and Economics.
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17. CMPH: a multivariate phase-type aggregate loss distribution. (2017). Ricardas, Zitikis ; Jiandong, Ren .
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18. Impact of Dependence on Some Multivariate Risk Indicators. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
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    RePEc:spr:metcap:v:19:y:2017:i:2:d:10.1007_s11009-016-9489-4.

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19. Capital Allocation for Sarmanov’s Class of Distributions. (2017). Vernic, Raluca.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:19:y:2017:i:1:d:10.1007_s11009-016-9483-x.

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20. Impact of dependence on some multivariate risk indicators. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
    In: Post-Print.
    RePEc:hal:journl:hal-01171395.

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21. Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Peters, Gareth W ; Wuthrich, Mario V.
    In: Risks.
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22. Reserve modelling and the aggregation of risks using time varying copula models. (2017). Araichi, Sawssen ; Belkacem, Lotfi ; de Peretti, Christian.
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23. Impact of dependence on some multivariate risk indicators. (2015). Maume-Deschamps, Veronique ; Said, Khalil.
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24. On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation. (2015). Cossette, Helene ; Perreault, Samuel ; Marceau, Etienne.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:214-224.

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25. Estimación del riesgo mediante el ajuste de cópulas. (2015). Guillen, Montserrat ; Padilla, Alemar ; Bolance, Catalina.
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26. Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil.
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27. Estimation of multivariate conditional-tail-expectation using Kendalls process. (2014). di Bernardino, Elena ; Prieur, Clmentine .
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28. A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. (2014). Cote, Marie-Pier ; Marceau, Etienne ; Mailhot, Melina ; Cossette, Helene.
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29. On multivariate extensions of Conditional-Tail-Expectation. (2014). Cousin, Areski ; di Bernardino, Elena.
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30. Properties of a risk measure derived from the expected area in red. (2014). Loisel, Stéphane ; Trufin, Julien.
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31. Least quartic Regression Criterion with Application to Finance. (2014). Arbia, Giuseppe.
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32. On Multivariate Extensions of Conditional-Tail-Expectation. (2013). Cousin, Areski ; Di Bernardinoy, Elena .
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33. On Multivariate Extensions of Value-at-Risk. (2013). Cousin, Areski ; Di Bernadino, Elena .
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34. Simple risk measure calculations for sums of positive random variables. (2013). Sarabia, José María ; Prieto, Faustino ; Guillen, Montserrat.
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35. Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation. (2013). Marceau, Etienne ; Cote, Marie-Pier ; Moutanabbir, Khouzeima ; Cossette, Helene.
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36. Testing tail monotonicity by constrained copula estimation. (2013). Sznajder, Dominik ; Gijbels, Irene.
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37. On Multivariate Extensions of Value-at-Risk. (2013). Cousin, Areski ; Di Bernadino, Elena .
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38. Analysis of the discounted sum of ascending ladder heights. (2012). Landriault, David ; Moutanabbir, Khouzeima ; Cossette, Helene ; Marceau, Etienne.
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39. On the analysis of a general class of dependent risk processes. (2012). Willmot, Gordon E. ; Woo, Jae-Kyung.
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40. TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. (2012). Cossette, Hlne ; Marceau, tienne ; Mailhot, Mlina .
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2. The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel.
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3. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
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4. Stochastic linear programming games with concave preferences. (2015). Uhan, Nelson A..
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5. Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk.
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6. Optimal risk transfer under quantile-based risk measurers. (2013). Badescu, Alexandru M. ; Verdonck, Tim ; Asimit, Alexandru V..
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7. Set-valued average value at risk and its computation. (2013). Hamel, Andreas H. ; Yankova, Mihaela ; Rudloff, Birgit.
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8. The connection between distortion risk measures and ordered weighted averaging operators. (2012). Merigó, José M. ; Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel ; Merigo, Jose M..
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9. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2011). Shapiro, Alexander ; Chun, So Yeon ; Uryasev, Stan.
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10. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
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12. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Pinter, Miklos ; Csoka, Peter.
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13. Minimizing Conditional Value-at-Risk under Constraint on Expected Value. (2010). Xu, Mingxin ; Li, Jing.
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14. TVaR-based capital allocation with copulas. (2009). Marceau, Etienne ; Barges, Mathieu ; Cossette, Helene.
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16. The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds. (2009). Tee, Kai-Hong .
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17. Regulatory capital for market and credit risk interaction: is current regulation always conservative?. (2008). Summer, Martin ; Rheinberger, Klaus ; Breuer, Thomas ; Jandacka, Martin .
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18. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
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19. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
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20. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
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21. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
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22. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Huang, Dashan ; Zhu, Shu-Shang ; Fukushima, Masao.
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23. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
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29. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
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34. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo ; Csoka, Peter.
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35. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
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36. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
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37. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Nagy, Gabor ; Pafka, Szilard .
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38. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
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39. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
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40. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
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41. Methodology of measuring performance in alternative investment.. (2005). Nagot, Isabelle ; Bonnet, Alexis .
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42. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
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43. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
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44. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
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45. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
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46. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
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47. Expected shortfall and beyond. (2002). Tasche, Dirk.
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48. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
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49. Measures of risk. (2002). Szego, Giorgio .
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50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
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