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Robert, Christian-Yann

Author ID: robert.christian-yann Recent zbMATH articles by "Robert, Christian-Yann"
Published as: Robert, Christian Y.; Robert, C. Y.; Robert, Christian Yann; Robert, Christian
Homepage: https://faculty.crest.fr/chrobert/

Publications by Year

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 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

Citations by Year