Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed Vector-valued tail value-at-risk and capital allocation. (English) Zbl 1349.91319 Methodol. Comput. Appl. Probab. 18, No. 3, 653-674 (2016). MSC: 91G70 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 653--674 (2016; Zbl 1349.91319) Full Text: DOI
Mesfioui, Mhamed; Quessy, Jean-François Bounds on the value-at-risk for the sum of possibly dependent risks. (English) Zbl 1115.91032 Insur. Math. Econ. 37, No. 1, 135-151 (2005). MSC: 91B30 60E05 PDFBibTeX XMLCite \textit{M. Mesfioui} and \textit{J.-F. Quessy}, Insur. Math. Econ. 37, No. 1, 135--151 (2005; Zbl 1115.91032) Full Text: DOI
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed Compound Poisson approximations for individual models with dependent risks. (English) Zbl 1055.91050 Insur. Math. Econ. 32, No. 1, 73-91 (2003). MSC: 91B30 60G35 PDFBibTeX XMLCite \textit{C. Genest} et al., Insur. Math. Econ. 32, No. 1, 73--91 (2003; Zbl 1055.91050) Full Text: DOI