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
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed Bivariate lower and upper orthant value-at-risk. (English) Zbl 1304.91097 Eur. Actuar. J. 3, No. 2, 321-357 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Eur. Actuar. J. 3, No. 2, 321--357 (2013; Zbl 1304.91097) 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