Edit Profile (opens in new tab) Robert, Christian-Yann Co-Author Distance Author ID: robert.christian-yann Published as: Robert, Christian Y.; Robert, C. Y.; Robert, Christian Yann; Robert, Christian more...less Homepage: https://faculty.crest.fr/chrobert/ Documents Indexed: 54 Publications since 2000, including 2 Additional arXiv Preprints Co-Authors: 27 Co-Authors with 38 Joint Publications 569 Co-Co-Authors all top 5 Co-Authors 15 single-authored 10 Denuit, Michel M. 5 Rosenbaum, Mathieu 4 Koch, Erwan 4 Nguyen, Quang Huy 3 Cossette, Hélène 3 Marceau, Étienne 2 Chenavier, Nicolas 2 Doukhan, Paul 2 Prohl, Silika 2 Segers, Johan 1 Albrecher, Hansjörg 1 Bienvenüe, Alexis 1 Chaoubi, Ihsan 1 Cousin, Areski 1 Delattre, Sylvain 1 Dombry, Clément 1 Duvernet, Laurent 1 Embrechts, Paul 1 Ferro, Christopher A. T. 1 Gadoury, Simon-Pierre 1 Gourieroux, Christian 1 Hainaut, Donatien 1 Hieber, Peter 1 Jiao, Ying 1 Lescourret, Laurence 1 Maillart, Arthur 1 Teugels, Jozef L. 1 Thérond, Pierre-E. 1 Zerbib, Olivier David all top 5 Serials 8 Insurance Mathematics & Economics 4 ASTIN Bulletin 3 Journal of Applied Probability 3 Journal of Multivariate Analysis 3 Statistics & Probability Letters 3 Stochastic Processes and their Applications 3 Methodology and Computing in Applied Probability 2 Advances in Applied Probability 2 Test 2 Extremes 2 Econometric Theory 2 Electronic Journal of Statistics 1 Scandinavian Journal of Statistics 1 The Annals of Statistics 1 Biometrika 1 Journal of Computational and Applied Mathematics 1 Journal of Statistical Planning and Inference 1 The Annals of Applied Probability 1 European Journal of Operational Research 1 Computational Statistics and Data Analysis 1 Bernoulli 1 Mathematical Finance 1 International Journal of Theoretical and Applied Finance 1 Scandinavian Actuarial Journal 1 SIAM Journal on Financial Mathematics 1 Statistics & Risk Modeling all top 5 Fields 28 Probability theory and stochastic processes (60-XX) 28 Statistics (62-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Numerical analysis (65-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Special functions (33-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 35 Publications have been cited 206 times in 166 Documents Cited by ▼ Year ▼ Tails of random sums of a heavy-tailed number of light-tailed terms. Zbl 1154.60032 Robert, Christian Y.; Segers, Johan 29 2008 A sliding blocks estimator for the extremal index. Zbl 1326.60075 Robert, Christian Y.; Segers, Johan; Ferro, Christopher A. T. 23 2009 Inference for the limiting cluster size distribution of extreme values. Zbl 1158.62061 Robert, Christian Y. 21 2009 Volatility and covariation estimation when microstructure noise and trading times are endogenous. Zbl 1278.91166 Robert, Christian Yann; Rosenbaum, Mathieu 21 2012 From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094 Denuit, Michel; Robert, Christian Y. 9 2021 On the limiting spectral distribution of the covariance matrices of time-lagged processes. Zbl 1202.15037 Robert, Christian Y.; Rosenbaum, Mathieu 7 2010 Stochastic unit root models. Zbl 1170.62358 Gourieroux, Christian; Robert, Christian Y. 6 2006 Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178 Denuit, Michel; Robert, Christian Y. 6 2020 Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120 Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. 6 2019 Extreme dependence of multivariate catastrophic losses. Zbl 1151.91058 Lescourret, Laurence; Robert, Christian Y. 5 2006 On the microstructural hedging error. Zbl 1194.91183 Robert, Christian Y.; Rosenbaum, Mathieu 5 2010 Automatic declustering of rare events. Zbl 1284.62394 Robert, C. Y. 5 2013 Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions. Zbl 1394.62064 Bienvenüe, Alexis; Robert, Christian Y. 4 2017 Space-time max-stable models with spectral separability. Zbl 1426.60058 Embrechts, Paul; Koch, Erwan; Robert, Christian 4 2016 Testing the type of a semi-martingale: Itō against multifractal. Zbl 1329.62211 Duvernet, Laurent; Robert, Christian Y.; Rosenbaum, Mathieu 4 2010 New efficient estimators in rare event simulation with heavy tails. Zbl 1418.62219 Nguyen, Quang Huy; Robert, Christian Y. 4 2014 Estimating the efficient price from the order flow: a Brownian Cox process approach. Zbl 1285.62122 Delattre, Sylvain; Robert, Christian Y.; Rosenbaum, Mathieu 4 2013 Cluster size distributions of extreme values for the Poisson-Voronoi tessellation. Zbl 1404.60024 Chenavier, Nicolas; Robert, Christian Y. 4 2018 Estimating the multivariate extremal index function. Zbl 1155.62039 Robert, Christian Y. 3 2008 On the De Vylder and Goovaerts conjecture about ruin for equalized claims. Zbl 1329.60119 Robert, C. Y. 3 2014 Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities. Zbl 1168.62015 Robert, C. Y. 3 2009 Series expansions for convolutions of Pareto distributions. Zbl 1346.60044 Nguyen, Quang Huy; Robert, Christian Y. 3 2015 Subsampling weakly dependent time series and application to extremes. Zbl 1274.62586 Doukhan, Paul; Prohl, Silika; Robert, Christian Y. 3 2011 Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. Zbl 1476.62037 Denuit, Michel; Robert, Christian Y. 3 2021 Distortion risk measures, ambiguity aversion and optimal effort. Zbl 1291.91054 Robert, Christian Y.; Therond, Pierre-E. 3 2014 Some new classes of stationary max-stable random fields. Zbl 1287.60065 Robert, Christian Y. 3 2013 Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455 Denuit, Michel; Robert, Christian Y. 3 2021 On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring. Zbl 1178.62012 Robert, C. Y. 2 2010 Corrigendum and addendum to: “From risk sharing to pure premium for a large number of heterogeneous losses”. Zbl 1475.91296 Denuit, Michel; Robert, Christian Y. 2 2021 Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses. Zbl 1491.62154 Denuit, Michel; Robert, Christian Y. 2 2022 Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Zbl 1490.91170 Denuit, Michel; Robert, Christian Y. 2 2022 Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory. Zbl 1080.60054 Robert, Christian Y. 1 2005 Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Zbl 1480.60140 Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. 1 2019 Geometric ergodicity for some space-time max-stable Markov chains. Zbl 1406.60081 Koch, Erwan; Robert, Christian Y. 1 2019 Mortality credits within large survivor funds. Zbl 1506.91151 Denuit, Michel; Hieber, Peter; Robert, Christian Y. 1 2022 Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses. Zbl 1491.62154 Denuit, Michel; Robert, Christian Y. 2 2022 Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Zbl 1490.91170 Denuit, Michel; Robert, Christian Y. 2 2022 Mortality credits within large survivor funds. Zbl 1506.91151 Denuit, Michel; Hieber, Peter; Robert, Christian Y. 1 2022 From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094 Denuit, Michel; Robert, Christian Y. 9 2021 Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. Zbl 1476.62037 Denuit, Michel; Robert, Christian Y. 3 2021 Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455 Denuit, Michel; Robert, Christian Y. 3 2021 Corrigendum and addendum to: “From risk sharing to pure premium for a large number of heterogeneous losses”. Zbl 1475.91296 Denuit, Michel; Robert, Christian Y. 2 2021 Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178 Denuit, Michel; Robert, Christian Y. 6 2020 Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120 Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. 6 2019 Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Zbl 1480.60140 Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. 1 2019 Geometric ergodicity for some space-time max-stable Markov chains. Zbl 1406.60081 Koch, Erwan; Robert, Christian Y. 1 2019 Cluster size distributions of extreme values for the Poisson-Voronoi tessellation. Zbl 1404.60024 Chenavier, Nicolas; Robert, Christian Y. 4 2018 Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions. Zbl 1394.62064 Bienvenüe, Alexis; Robert, Christian Y. 4 2017 Space-time max-stable models with spectral separability. Zbl 1426.60058 Embrechts, Paul; Koch, Erwan; Robert, Christian 4 2016 Series expansions for convolutions of Pareto distributions. Zbl 1346.60044 Nguyen, Quang Huy; Robert, Christian Y. 3 2015 New efficient estimators in rare event simulation with heavy tails. Zbl 1418.62219 Nguyen, Quang Huy; Robert, Christian Y. 4 2014 On the De Vylder and Goovaerts conjecture about ruin for equalized claims. Zbl 1329.60119 Robert, C. Y. 3 2014 Distortion risk measures, ambiguity aversion and optimal effort. Zbl 1291.91054 Robert, Christian Y.; Therond, Pierre-E. 3 2014 Automatic declustering of rare events. Zbl 1284.62394 Robert, C. Y. 5 2013 Estimating the efficient price from the order flow: a Brownian Cox process approach. Zbl 1285.62122 Delattre, Sylvain; Robert, Christian Y.; Rosenbaum, Mathieu 4 2013 Some new classes of stationary max-stable random fields. Zbl 1287.60065 Robert, Christian Y. 3 2013 Volatility and covariation estimation when microstructure noise and trading times are endogenous. Zbl 1278.91166 Robert, Christian Yann; Rosenbaum, Mathieu 21 2012 Subsampling weakly dependent time series and application to extremes. Zbl 1274.62586 Doukhan, Paul; Prohl, Silika; Robert, Christian Y. 3 2011 On the limiting spectral distribution of the covariance matrices of time-lagged processes. Zbl 1202.15037 Robert, Christian Y.; Rosenbaum, Mathieu 7 2010 On the microstructural hedging error. Zbl 1194.91183 Robert, Christian Y.; Rosenbaum, Mathieu 5 2010 Testing the type of a semi-martingale: Itō against multifractal. Zbl 1329.62211 Duvernet, Laurent; Robert, Christian Y.; Rosenbaum, Mathieu 4 2010 On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring. Zbl 1178.62012 Robert, C. Y. 2 2010 A sliding blocks estimator for the extremal index. Zbl 1326.60075 Robert, Christian Y.; Segers, Johan; Ferro, Christopher A. T. 23 2009 Inference for the limiting cluster size distribution of extreme values. Zbl 1158.62061 Robert, Christian Y. 21 2009 Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities. Zbl 1168.62015 Robert, C. Y. 3 2009 Tails of random sums of a heavy-tailed number of light-tailed terms. Zbl 1154.60032 Robert, Christian Y.; Segers, Johan 29 2008 Estimating the multivariate extremal index function. Zbl 1155.62039 Robert, Christian Y. 3 2008 Stochastic unit root models. Zbl 1170.62358 Gourieroux, Christian; Robert, Christian Y. 6 2006 Extreme dependence of multivariate catastrophic losses. Zbl 1151.91058 Lescourret, Laurence; Robert, Christian Y. 5 2006 Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory. Zbl 1080.60054 Robert, Christian Y. 1 2005 all cited Publications top 5 cited Publications all top 5 Cited by 271 Authors 17 Robert, Christian-Yann 10 Denuit, Michel M. 9 Rosenbaum, Mathieu 7 Koike, Yuta 6 Bücher, Axel 5 Ferreira, Helena 4 Ferreira, Marta 4 Kulik, Rafał 4 Segers, Johan 4 Yang, Yang 3 Chen, Yiqing 3 Chenavier, Nicolas 3 Cheng, Fengyang 3 Cossette, Hélène 3 Leipus, Remigijus 3 Marceau, Étienne 3 Markovich, Natalia M. 3 Martins, Ana Paula 3 Maume-Deschamps, Véronique 3 Mykland, Per Aslak 3 Potiron, Yoann 3 Tang, Qihe 3 Wang, Yuebao 2 Albrecher, Hansjörg 2 Antunes, Nelson 2 Basrak, Bojan 2 Beranger, Boris 2 Bosze, Zsuzsanna 2 Chaoubi, Ihsan 2 Cissokho, Youssouph 2 Clinet, Simon 2 Davison, Anthony C. 2 Doukhan, Paul 2 Engelke, Sebastian 2 Fukasawa, Masaaki 2 Górecki, Jan 2 Hayashi, Takaki 2 Hieber, Peter 2 Hofert, Marius 2 Jennessen, Tobias 2 Jiang, Wenjun 2 Li, Yingying 2 Meitz, Mika 2 Mikosch, Thomas 2 Nešlehová, Johanna G. 2 Ng, Kai Wang 2 Otto, Moritz 2 Palmowski, Zbigniew 2 Pap, Gyula 2 Pereira, Luísa 2 Pipiras, Vladas 2 Ren, Jiandong 2 Saikkonen, Pentti 2 Sebastião, J. R. 2 Šiaulys, Jonas 2 Sisson, Scott A. 2 Soulier, Philippe 2 Tankov, Peter 2 Tawn, Jonathan A. 2 Wang, Kaiyong 2 Wintenberger, Olivier 2 Yuen, Kam Chuen 2 Zhang, Lan 2 Zheng, Xinghua 2 Zhou, Chen 1 Abadi, Miguel Natalio 1 Aït-Sahalia, Yacine 1 Aleškevičienė, Aldona K. 1 Allez, Romain 1 Alvarez, Alexander 1 Amponsah, Charles K. 1 Ankirchner, Stefan 1 Asadi, Peiman 1 Asmussen, Søren 1 Baldacci, Bastien 1 Barczy, Mátyás 1 Barndorff-Nielsen, Ole Eiler 1 Bec, Frédérique 1 Bergault, Philippe 1 Berghaus, Betina Hedwig 1 Bertail, Patrice 1 Bhamidi, Shankar 1 Bingham, Nicholas Hugh 1 Bladt, Martin 1 Blanchet-Scalliet, Christophette 1 Blier-Wong, Christopher 1 Bonnet, Gilles 1 Botev, Zdravko I. 1 Boudt, Kris 1 Brodin, Erik 1 Brownlees, Christian T. 1 Buhl, Sven 1 Buraczewski, Dariusz 1 Buriticá, Gloria 1 Cai, Jiatu 1 Campi, Luciano 1 Cavaliere, Giuseppe 1 Čekanavičius, Vydas 1 Chen, Anyue 1 Cheung, Eric C. K. ...and 171 more Authors all top 5 Cited in 65 Serials 17 Extremes 10 Insurance Mathematics & Economics 10 Stochastic Processes and their Applications 8 Bernoulli 8 Electronic Journal of Statistics 7 Journal of Econometrics 7 ASTIN Bulletin 6 Statistics & Probability Letters 5 Journal of Applied Probability 5 Journal of Multivariate Analysis 4 Statistical Inference for Stochastic Processes 4 Methodology and Computing in Applied Probability 4 Econometric Theory 3 Journal of Mathematical Analysis and Applications 3 Communications in Statistics. Theory and Methods 3 Test 3 Stochastic Models 3 SIAM Journal on Financial Mathematics 2 Lithuanian Mathematical Journal 2 The Annals of Statistics 2 Journal of Statistical Planning and Inference 2 Journal of Time Series Analysis 2 Annals of Operations Research 2 Computational Statistics and Data Analysis 2 Journal of Computational and Graphical Statistics 1 Advances in Applied Probability 1 Physica A 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Applied Mathematics and Computation 1 Journal of the American Statistical Association 1 Journal of Computational and Applied Mathematics 1 Journal of the London Mathematical Society. Second Series 1 Siberian Mathematical Journal 1 Journal of the Japan Statistical Society 1 Chinese Annals of Mathematics. Series B 1 Statistical Science 1 Econometric Reviews 1 Journal of Theoretical Probability 1 Queueing Systems 1 The Annals of Applied Probability 1 Journal of Statistical Computation and Simulation 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Applied Mathematical Finance 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Applied Statistics 1 Probability in the Engineering and Informational Sciences 1 Applied Stochastic Models in Business and Industry 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 Decisions in Economics and Finance 1 Journal of Industrial and Management Optimization 1 Frontiers of Mathematics in China 1 The Annals of Applied Statistics 1 Probability Surveys 1 Science China. Mathematics 1 Journal of Probability and Statistics 1 Annals of Finance 1 Dependence Modeling 1 Journal of Statistical Distributions and Applications 1 Modern Stochastics. Theory and Applications 1 Japanese Journal of Statistics and Data Science all top 5 Cited in 18 Fields 107 Statistics (62-XX) 100 Probability theory and stochastic processes (60-XX) 53 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Numerical analysis (65-XX) 3 Systems theory; control (93-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Convex and discrete geometry (52-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year