On the coherence of expected shortfall, J. Banking & Finance, vol.26, pp.1487-1503, 2002. ,
Coherent measures of risk, Math. Finance, vol.9, pp.203-228, 1999. ,
, Fundamental review of the trading book: A revised market risk framework, Basel Committee on Banking Supervision, 2013.
Statistics of extremes: theory and applications, 2004. ,
Regular variation, 1987. ,
Probability inequalities for generalized L?statistics, Sib. Math. J, vol.42, pp.217-231, 2001. ,
Estimating conditional tail expectation with actuarial applications in view, J. Statist. Plann. Inference, vol.138, pp.3590-3604, 2008. ,
Estimation of the marginal expected shortfall: the mean when a related variable is extreme, J. Roy. Statist. Soc. Ser. B, vol.77, pp.417-442, 2015. ,
Conditional L p ?quantiles and their application to testing of symmetry in nonparametric regression, Statist. Probab. Lett, vol.29, pp.107-115, 1996. ,
Estimation of tail risk based on extreme expectiles, J. Roy. Statist. Soc. Ser. B, vol.80, pp.263-292, 2018. ,
URL : https://hal.archives-ouvertes.fr/hal-01311778
Extreme M-quantiles as risk measures: From L 1 to L p optimization, Bernoulli, vol.25, pp.264-309, 2019. ,
Fat tails, VaR and subadditivity, J. Econometrics, vol.172, pp.283-291, 2013. ,
Extreme value theory: an introduction, 2006. ,
Nonparametric estimation of extreme risks from conditional heavy-tailed distributions. Scand, J. Stat, vol.41, pp.988-1012, 2014. ,
Kernel estimation of extreme regression risk measures, Electron. J. Stat, vol.12, pp.359-398, 2018. ,
URL : https://hal.archives-ouvertes.fr/hal-01745322
Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions, Stat. Sinica, vol.27, pp.907-930, 2017. ,
URL : https://hal.archives-ouvertes.fr/hal-01145417
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions, Econom. Stat, vol.6, pp.129-148, 2018. ,
URL : https://hal.archives-ouvertes.fr/hal-01406342
Modelling extremal events for insurance and finance, 1997. ,
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples, Extremes, vol.12, pp.107-127, 2009. ,
What is the best risk measure in practice? A comparison of standard measures, J. Risk, vol.18, pp.31-60, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-00921283
Estimating extreme quantiles under random truncation, TEST, vol.24, pp.207-227, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-00942134
On the asymptotics of convex stochastic optimization, 1996. ,
Making and evaluating point forecasts, J. Am. Statist. Assoc, vol.106, pp.746-762, 2011. ,
Estimation of extreme quantiles for functions of dependent random variables, J. Roy. Statist. Soc. Ser. B, vol.77, pp.1001-1024, 2015. ,
A simple general approach to inference about the tail of a distribution, Ann. Statist, vol.3, pp.1163-1174, 1975. ,
Least tail-trimmed squares for infinite variance autoregressions, J. Time Series Anal, vol.34, pp.168-186, 2013. ,
Expected shortfall estimation and Gaussian inference for infinite variance time series, J. Financ. Econom, vol.13, pp.1-44, 2015. ,
Second order regular variation and conditional tail expectation of multiple risks, Insurance Math. Econom, vol.49, pp.537-546, 2011. ,
, Canada: financial sector assessment program-insurance core principles-detailed assessment of observance, 2014.
Limiting distributions for L 1 regression estimators under general conditions, Ann. Statist, vol.26, pp.755-770, 1998. ,
, , 1999.
Quantile regression, 2005. ,
Regression quantiles, Econometrica, vol.46, pp.33-50, 1978. ,
External risk measures and Basel accords, Math. Oper. Res, vol.38, pp.393-417, 2013. ,
On the measurement of economic tail risk, Oper. Res, vol.64, pp.1056-1072, 2016. ,
Self-weighted least absolute deviation estimation for infinite variance autoregressive models, J. Roy. Statist. Soc. Ser. B, vol.67, pp.381-393, 2005. ,
Asymmetric least squares estimation and testing, Econometrica, vol.55, pp.819-847, 1987. ,
, Life annuity products and their guarantees, 2016.
Heavy-tail phenomena: probabilistic and statistical modeling, 2007. ,
Conditional Value-at-Risk for general loss distributions, J. Banking & Finance, vol.26, pp.1443-1471, 2002. ,
Expected shortfall and beyond, J. Banking & Finance, vol.26, pp.1519-1533, 2002. ,
Capital allocation to business units and sub-portfolios: the Euler principle, Pillar II in the new Basel accord: the challenge of economic capital, pp.423-453, 2008. ,
Estimation of parameters and large quantiles based on the k largest observations, J. Am. Statist. Assoc, vol.73, pp.812-815, 1978. ,
Financial modeling, actuarial valuation and solvency in insurance, 2013. ,
First-and second-order asymptotics for the tail distortion risk measure of extreme risks, Commun. Stat. Theory Methods, vol.44, pp.520-532, 2015. ,
Tail distortion risk and its asymptotic analysis, Insurance Math. Econom, vol.51, pp.115-121, 2012. ,
, Details of corresponding author: Gilles Stupfler School of Mathematical Sciences