[vc_row gap=”35″][vc_column][vc_column_text]<\/p>\n
\u203a Denuit, M. and Robert, C. (2007). Actuariat des Assurances de Personnes: Mod\u00e9lisation, Tarification et Provisionnement. Collection Audit-Actuariat-Assurance, Economica, Paris[\/vc_column_text][\/vc_column][\/vc_row][vc_row gap=”35″][vc_column][vc_column_text]<\/p>\n
\u203a Denuit, M., Ortega-Jimenez, P. and Robert, C. (2025). Conditional expectations given the sum of independent random variables with regularly varying densities. Accepted in ASTIN Bulletin.
\n\u203a Maillart, A. and Robert, C. (2025). Distill knowledge of additive tree models into generalized linear models: a new learning approach for non-smooth generalized additive models. Accepted in Annals of Actuarial Science.
\n\u203a Denuit, M. and Robert, C. (2025). Equal compensations under actuarially fair contributions in endowment contingency funds. Risk Sciences , 1, 100005.
\n\u203a Denuit, M., Dhaene, J. Ghossoub, M. and Robert, C. (2025). Comonotonicity and Pareto optimality, with application to collaborative insurance. Insurance: Mathematics and Economics, 120, January 2025, 1-16.
\n\u203a Denuit, M. and Robert, C. (2024). Conditional mean risk sharing of independent discrete losses in large pools. Methodology and Computing in Applied Probability, 26, article number 36.
\n\u203a Denuit, M., Dhaene, J., Feng, R., Hieber, P. and Robert, C. (2024). Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes. Annals of Actuarial Science
\n\u203a Denuit, M. and Robert, C. (2023). Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model. Insurance: Mathematics and Economics, 112, 23-32.
\n\u203a Denuit, M. and Robert, C. (2023). From risk reduction to risk elimination by conditional mean risk sharing of independent losses. Insurance: Mathematics and Economics, 108, 46-59.
\n\u203a Maillart, A. and Robert, C. (2022). Tail-index partition-based rules extraction with application to tornado damage insurance. ASTIN Bulletin, 53(2), 258-284.
\n\u203a Chen, Q. and Robert, C. (2022). Multivariate realized volatility forecasting with graph neural network. Proceedings of the 3rd ACM International Conference on AI in Finance.
\n\u203a Chen, Q. and Robert, C. (2022). Graph-based learning for stock movement prediction with textual and relational data. The Journal of Financial Data Science, 01 November 2022.
\n\u203a Denuit, M., Dhaene, J. and Robert, C. (2022). Risk sharing rules and their properties, with applications to peer-to-peer insurance. Journal of Risk and Insurance, 89(3), 615-667.
\n\u203a Denuit, M., Hieber, P. and Robert, C. (2022). Mortality credits within large survivor funds. ASTIN Bulletin, 52(3), 813-834.
\n\u203a Robert, C. (2022). How large is the jump discontinuity in the diffusion coefficient of an Ito diffusion? Econometric Theory, 39(4), 848-880.
\n\u203a Robert, C. (2022). Testing for changes in the tail behaviour of Brown-Resnick Pareto processes. Stochastic Processes and Their Applications, 144, 312-368.
\n\u203a Koch, E. and Robert, C. (2022). Stochastic derivative estimation for max-stable random fields. European Journal of Operational Research, 302(2), 575-588.
\n\u203a Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2022) Optimal asset allocation subject to withdrawal risk and solvency constraints. Risks, 10(1), 15.
\n\u203a Denuit, M. and Robert, C. (2022). Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Methodology and Computing in Applied Probability, 24, 693\u2013711.
\n\u203a Denuit, M. and Robert, C. (2021). Corrigendum and addendum to \u201cFrom risk sharing to pure premium for a large number of heterogeneous losses\u201d [Insurance: Mathematics and Economics 96 (2021) 116\u2013126]. Insurance Mathematics and Economics, 101, 640-644.
\n\u203a Denuit, M. and Robert, C. (2021). Risk sharing under the dominant peer-to-peer property and casualty insurance business models. Risk Management and Insurance Review, 24, 181\u2013205.
\n\u203a Denuit, M. and Robert, C. (2021). Efron\u2019s asymptotic monotonicity property in the Gaussian domain of attraction. Journal of Multivariate Analysis, 186, 104803.
\n\u203a Denuit, M. and Robert, C. (2021). Collaborative insurance with stop-loss protection and team partitioning. North American Actuarial Journal, 26(1), 143-160. North American Actuarial Journal Best Paper Prize
\n\u203a Denuit, M. and Robert, C. (2021). Stop-loss protection for a large P2P insurance pool. Insurance Mathematics and Economics, 100, 210-233.
\n\u203a Denuit, M. and Robert, C. (2021). Conditional mean risk sharing in the individual model with graphical dependencies. Annals of Actuarial Science, 16(1), 183-209.
\n\u203a Denuit, M. and Robert, C. (2021). Conditional tail expectation decomposition and conditional mean risk sharing for dependence and conditionally independent risks. Methodology and Computing in Applied Probability, 24, 1953\u20131985.
\n\u203a Denuit, M. and Robert, C. (2021). From risk sharing to pure premium for a large number of heterogeneous losses. Insurance Mathematics and Economics, 96, 116-126.
\n\u203a Chaoubi, I., Cossette, H., Marceau, E. and Robert, C. (2021). Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. Computational Statistics and Data Analysis, 154, 107071.
\n\u203a Nguyen, Q.H. et Robert C. (2021). Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields. Journal of Applied Probability, 59(2), 366-383.
\n\u203a Denuit, M. and Robert, C. (2020). Large-loss behavior of conditional mean risk sharing. ASTIN Bulletin, 50(3), 1093-1122.
\n\u203a Robert, C. (2020). Power variations for a class of Brown-Resnick processes. Extremes. 23, 215\u2013244.
\n\u203a Baudry, M. and Robert, C. (2019). A Machine Learning approach for individual claims reserving in insurance. Applied Stochastic Models in Business and Industry, 35, 1127-1155.
\n\u203a Cossette, H., Gadoury S.P., Marceau, E. and Robert, C. (2019). Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Journal of Multivariate Analysis, 172, 59-83.
\n\u203a Koch, E. and Robert, C. (2018). Geometric ergodicity for some space-time max-stable Markov chains. Statistics and Probability Letters. 145, 43-49.
\n\u203a Koch, E., Dombry, C. and Robert, C. (2018). A central limit theorem for functions of stationary max-stable random fields on R^d. Stochastic Processes and Their Applications, 129(9):3406-3430.
\n\u203a Chenavier, N. and Robert, C. (2018) Cluster size distributions of extreme values for the Poisson-Vorono\u00ef tessellation. Annals of Applied Probability, 28, 6, 3291-3323.
\n\u203a Cossette, H., Marceau, E, Nguyen, H.Q. and Robert, C. (2017). Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models. Methodology and Computing in Applied Probability, 21, 461\u2013490.
\n\u203a Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2016) Asset allocation strategies in the presence of liability constraints. Insurance: Mathematics and Economics, 70, 327-338.
\n\u203a Bienven\u00fce, A. and Robert C. (2015). Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions. Scandinavian Journal of Statistics, 44, 1, 130-149.
\n\u203a Bienven\u00fce, A. and Robert C. (2015). Systemic tail risk distribution. Annals of Economics and Statistics. 123\/124, 29-52.
\n\u203a Embrechts, P., Koch, E. and Robert, C. (2015). Space-time max-stable models with spectral separability. Advances in Applied Probability, 48, A, 77-97.
\n\u203a Robert, C. (2015). Rare event asymptotics for the number of exceedances of multiplicative factor models. Extremes, 18, 3, 511-527.
\n\u203a Albrecher, A. Robert C. and Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314.
\n\u203a Nguyen, Q.H. and Robert C. (2013). Series expansions for convolutions of Pareto distribution. Statistics & Risk Modeling (with Applications in Finance and Insurance), 32, 1, 49-72.
\n\u203a Hainaut, D. e and t Robert C. (2014). Credit Risk valuation with rating transitions and partial information. International Journal of Theoretical and Applied Finance, Vol. 17, n. 7.
\n\u203a Delattre S., Robert C. and Rosenbaum M. (2013). Estimating the efficient price from the order flow: a Brownian Cox process approach. Stochastic Processes and their Applications, 123, 2603-2619.
\n\u203a Nguyen, Q.H. and Robert C. (2013). New efficient estimators in rare event simulation with heavy tails. Journal of Computational and Applied Mathematics, 261, 39\u201347.
\n\u203a Robert C. (2014). On the De Vylder and Goovaert\u2019s conjecture about ruin for equalized claims. Journal of Applied Probability, 51, 874-879.
\n\u203a Robert, C. and Therond P. (2014). Distortion risk measures, ambiguity aversion and optimal effort. ASTIN Bulletin, 44, 277\u2013302.
\n\u203a Robert C. (2013). Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework. Insurance: Mathematics and Economics, 53, 216\u2013229.
\n\u203a Robert C. (2013). Some new classes of stationary max-stable random fields. Statistics and Probability Letters, 83, 1496-1503.
\n\u203a Robert C. (2013). Automatic declustering of rare events. Biometrika, 100, 587-606.
\n\u203a Doukhan, P., Prohl, S. and Robert C. (2011). Subsampling weakly dependent times series and application to extremes (with rejoinder). Test, 20, 447-479.
\n\u203a Duvernet, L., Robert, C. and Rosenbaum, M. (2010). Testing the type of a semi-martingale: Ito against multifractal. Electronic Journal of Statistics, 4, 1300-1323.
\n\u203a Robert, C. e and t Rosenbaum, M. (2010). On the limiting spectral distribution of the covariance matrices of time-lagged processes. Journal of Multivariate Analysis, 101, 2434-2451.
\n\u203a Robert, C. and Rosenbaum, M. (2011). A new approach for the dynamics of ultra-high frequency data: the model with uncertainty zones. Journal of Financial Econometrics, 9, 344-366.
\n\u203a Robert, C. and Rosenbaum, M. (2010). On the microstructural hedging error. SIAM Journal of Financial Mathematics, 1, 427-453.
\n\u203a Lescourret, L. and Robert, C. (2011). Transparency matters: Price formation in presence of order preferencing. Journal of Financial Markets, 14, 227-258.
\n\u203a Robert, C. and Rosenbaum, M. (2012). Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22, 133\u2013164.
\n\u203a Robert, C. (2010). On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring. Statistics and Probability Letters, 80, 134-142.
\n\u203a Robert, C., Segers, J. and Ferro, C., (2009). A sliding blocks estimator for the extremal index. Electronic Journal of Statistics, 3, 993\u20131020.
\n\u203a Robert, C. (2009). Inference for the limiting cluster size distribution of extreme values. The Annals of Statistics, 37, 271-310.
\n\u203a Robert, C. (2009). Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution. Journal of Statistical Planning and Inference, 139, 3288-3309.
\n\u203a Robert, C. (2008). Estimating the multivariate extremal index function. Bernoulli, 14, 1027-1064.
\n\u203a Robert, C. and Segers, J. (2008). Tails of random sums of a heavy-tailed number of light-tailed terms. Insurance: Mathematics and Economics, 43, 85-92.
\n\u203a Robert, C. (2007). Stochastic stability of some state-dependent growth-collapse processes. Advances in Applied Probability, 39, 1-32.
\n\u203a Lescourret, L. and Robert, C. (2006). Extreme dependence of multivariate catastrophic losses. Scandinavian Actuarial Journal, 2006-4, 203-225.
\n\u203a Gouri\u00e9roux, C. and Robert, C. (2005). Stochastic unit root models. Econometric Theory, 26, 1052-1090.
\n\u203a Robert, C. (2005). Asymptotic probabilities of an exceedance over renewal thresholds and an application to risk theory. Journal of Applied Probability, 42, 153\u2013162.
\n\u203a Robert, C. (1998). Mouvements extr\u00eames des s\u00e9ries financi\u00e8res haute fr\u00e9quence. Finance, 19, 221-247.[\/vc_column_text][\/vc_column][\/vc_row][vc_row gap=”35″][vc_column][vc_column_text]<\/p>\n
\u203a Robert, C. (2000). Extremes of a-ARCH models. Lecture Notes in Statistics, 147, 223-244.
\n\u203a Robert, C. et Rosenbaum, M. (2011). The model with uncertainty zones for ultra high frequency prices and durations; applications to statistical estimation and mathematical finance. Econophysics Of Order-Driven Markets. F. Abergel, B. Chakrabarti, A. Chakraborti (editors), Springer.
\n\u203a Planchet, F. et Robert, C. (2016). From internal to ORSA models. Modelling in Life Insurance – A Management Perspective. Laurent, J.-P., Norberg, R., Planchet, F. (editors), Springer.
\n\u203a Robert, C. (2016). The threat of model risk for insurance companies. Modelling in Life Insurance – A Management Perspective. Laurent, J.-P., Norberg, R., Planchet, F. (editors), Springer.
\n\u203a Robert, C. (2020). Introduction – Insurance data analytics: some case studies of advanced algorithms and applications. Fr\u00e9d\u00e9ric Planchet – Christian Y. Robert (Editors), Economica.
\n\u203a Robert, C. (2020). Some thoughts on the governance of decision-making algorithms – Insurance data analytics: some case studies of advanced algorithms and applications. Fr\u00e9d\u00e9ric Planchet – Christian Y. Robert (Editors), Economica.
\n\u203a Boumezoued, A. et Robert, C. (2020). Individual claim reserving models: parametric vs nonparametric learning methods – Insurance data analytics: some case studies of advanced algorithms and applications. Fr\u00e9d\u00e9ric Planchet – Christian Y. Robert (Editors), Economica.[\/vc_column_text][\/vc_column][\/vc_row]<\/p>\n","protected":false},"excerpt":{"rendered":"
[vc_row gap=”35″][vc_column][vc_column_text] Books \u203a Denuit, M. and Robert, C. (2007). Actuariat des Assurances de Personnes: Mod\u00e9lisation, Tarification et Provisionnement. Collection Audit-Actuariat-Assurance, Economica, Paris[\/vc_column_text][\/vc_column][\/vc_row][vc_row gap=”35″][vc_column][vc_column_text] Journal Articles \u203a Denuit, M., Ortega-Jimenez, P. and Robert, C. (2025). Conditional expectations given the sum of independent random variables with regularly varying densities. Accepted in ASTIN Bulletin. \u203a Maillart, A. […]<\/p>\n","protected":false},"author":2,"featured_media":0,"parent":0,"menu_order":1,"comment_status":"closed","ping_status":"closed","template":"","meta":[],"_links":{"self":[{"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/pages\/269"}],"collection":[{"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/comments?post=269"}],"version-history":[{"count":30,"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/pages\/269\/revisions"}],"predecessor-version":[{"id":662,"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/pages\/269\/revisions\/662"}],"wp:attachment":[{"href":"https:\/\/faculty.crest.fr\/chrobert\/wp-json\/wp\/v2\/media?parent=269"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}