P. (. So, Copulas 4.8 Copulas BIBLIOGRAPHY Normale Clayton SJC Gumbel ? 0, P ( t < yt 4.5. Appendix 4.5 Appendix 4.8

G. Antonin and S. Benjamin, Eets de la dépendance entre diérentes branches sur le calcul des provisions, Astin Bulletin, 2001.

S. Araichi, C. De-peretti, and L. Belkacem, Generalized autoregressive conditional sinistrality model : a novel model for claims reserving in non life insurance, 2015.

M. Bargés, H. Cossette, and E. Marceau, TVaR-based capital allocation with copulas, Insurance: Mathematics and Economics, vol.45, issue.3, 2009.
DOI : 10.1016/j.insmatheco.2009.08.002

O. Belguise and C. Levi, Tempêtes : Étude des dépendances entre les branches automobile et incendie à l'aide de la théorie des copulas, 2002.

D. Cadoux and J. Loizeau, Copules et dépendances : application pratique à la détermination du besoin en fonds propres d'un assureur non vie, 2004.

D. Diers, M. Eling, and S. D. Marek, Dependence modeling in non-life insurance using the Bernstein copula, Insurance: Mathematics and Economics, vol.50, issue.3, 2012.
DOI : 10.1016/j.insmatheco.2012.02.007

P. England and R. Verrall, Stochastic Claims Reserving in General Insurance, British Actuarial Journal, vol.2, issue.03, 2002.
DOI : 10.1016/0167-6687(91)90026-T

F. Faivre, Copula: A new vision for economic capital and application to a four line of business company, Astin Bulletin, 2002.

E. W. Frees, P. Shi, and E. A. Valdez, Abstract, ASTIN Bulletin, vol.36, issue.01, p.165197, 2009.
DOI : 10.1198/016214508000000823

E. W. Frees and E. A. Valdez, Understanding Relationships Using Copulas, North American Actuarial Journal, vol.82, issue.5, 1998.
DOI : 10.1080/10920277.1998.10595667

E. W. Frees and E. A. Valdez, Hierarchical Insurance Claims Modeling, Journal of the American Statistical Association, vol.103, issue.484, p.14571469, 2008.
DOI : 10.1198/016214508000000823

S. Anatolyev, Dynamic modeling under linear-exponential loss, Economic Modelling, vol.26, issue.1, pp.82-89, 2009.
DOI : 10.1016/j.econmod.2008.05.001

G. Antonin and S. Benjamin, Eets de la dépendance entre diérentes branches sur le calcul des provisions, Astin Bulletin, 2001.

K. Antonio and J. Beirlant, Actuarial statistics with generalized linear mixed models, Insurance: Mathematics and Economics, vol.40, issue.1, 2007.
DOI : 10.1016/j.insmatheco.2006.02.013

S. Araichi and L. Belkacem, Solvency capital for insurance company : Modelling dependence using copula, Journal of Applied Economic Sciences, IX Issue, vol.4, issue.30, 2014.

S. Araichi, C. De-peretti, and L. Belkacem, Modelling temporal dependence of claims in insurance using autoregressive conditional amount models. ISFA working paper No 2013, 2013.

S. Araichi, C. De-peretti, and L. Belkacem, Generalized autoregressive conditional sinistrality model : a novel model for claims reserving in non life insurance. ISFA working paper No 2015, 2015.

P. Artzner, F. Delbaen, J. Eber, and D. Heath, Coherent measures of risk, Math. Finance, vol.9, issue.3, p.203228, 1999.

M. Bargés, H. Cossette, and E. Marceau, TVaR-based capital allocation with copulas, Insurance: Mathematics and Economics, vol.45, issue.3, 2009.
DOI : 10.1016/j.insmatheco.2009.08.002

L. Bauwens and P. Giot, The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks, Annales d'??conomie et de Statistique, issue.60, p.117149, 2000.
DOI : 10.2307/20076257

O. Belguise and C. Levi, Tempêtes : Etude des dépendances entre les branches automobile et incendie à l'aide de la théorie des copulas, 2002.

S. Björkwall, O. Hössjer, and E. Ohlsson, Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving, Scandinavian Actuarial Journal, vol.26, issue.4, p.306331, 2009.
DOI : 10.1080/03461230903239738

C. Bolancé, M. Guillén, and J. Pinquet, Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects, Insurance: Mathematics and Economics, vol.33, issue.2, pp.273-282, 2002.
DOI : 10.1016/S0167-6687(03)00139-2

J. Boucher, M. Denuit, and M. Guillén, Models of insurance claim counts with time dependence based on generalization of poisson and negative binomial distributions . Variance, p.135162, 2008.

H. Bühlmann, Mathematical methods in risk theory, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences, vol.172, 1996.

D. Cadoux and J. M. Loizeau, Copules et dépendances : application pratique à la détermination du besoin en fonds propres d'un assureur non vie, 2004.

P. Christoersen, Evaluating interval forecasts, International Economic Review, p.841862, 1998.

E. Commission, Conception d'un futur système de contrôle prudentiel applicable dans l'union européenne recommandation des services de la commission, Institutions Financières Assurance, 2003.

E. Commission, Qis5 technical specications, Financial Institution Insurance and Pensions, 2010.

K. Cooray and M. M. Ananda, Modeling actuarial data with a composite lognormal-Pareto model, Scandinavian Actuarial Journal, vol.27, issue.5, p.321334, 2005.
DOI : 10.1080/03461230510009763

J. Cummins, Forecasting automobile insurance paid claim costs using econometric and ARIMA models, International Journal of Forecasting, vol.1, issue.3, p.203215, 1985.
DOI : 10.1016/0169-2070(85)90003-2

J. Cummins, G. Dionne, J. B. Mcdonald, and B. Pritchett, Applications of the GB2 family of distributions in modeling insurance loss processes, Insurance: Mathematics and Economics, vol.9, issue.4, pp.257-272, 1990.
DOI : 10.1016/0167-6687(90)90003-V

D. Peretti and C. , Bilateral bootstrap tests for long memory : An application to the silver market, Computational Economics, vol.22, issue.2-3, p.187212, 2003.

M. Denuit and A. Charpentier, Mathématiques de l'assurance non-vie, 2004.

M. Denuit, J. Dhaene, M. Goovaerts, and R. Kaas, Actuarial Theory for Dependent Risks, 2005.
DOI : 10.1002/0470016450

B. Efron and R. J. Tibshirani, An Introduction to the Bootstrap, 1993.
DOI : 10.1007/978-1-4899-4541-9

M. El-bassiouni and M. El-habashi, Forecasting compulsory motor insurance claims in Kuwait, Insurance: Mathematics and Economics, vol.10, issue.2, pp.85-92, 1991.
DOI : 10.1016/0167-6687(91)90001-E

P. Embrechts, A. Mcneil, and D. Straumann, Correlation : Pitfalls and alternatives. A short, non-technical article, 1999.

P. Embrechts, S. I. Resnick, and G. Samorodnitsky, Extreme Value Theory as a Risk Management Tool, North American Actuarial Journal, vol.1, issue.2, 1999.
DOI : 10.1080/10920277.1999.10595797

P. England and R. Verrall, Analytic and bootstrap estimates of prediction errors in claims reserving, Insurance: Mathematics and Economics, vol.25, issue.3, 1999.
DOI : 10.1016/S0167-6687(99)00016-5

P. England and R. Verrall, Stochastic Claims Reserving in General Insurance, British Actuarial Journal, vol.2, issue.03, 2002.
DOI : 10.1016/0167-6687(91)90026-T

R. F. Engle, The econometrics of ultra-high-frequency data, Econometrica, vol.68, issue.1, p.122, 2000.

R. F. Engle, The econometrics of ultra-high-frequency data, Journal of Applied Econometrics, vol.17, issue.5, p.425446, 2002.

R. F. Engle and J. R. Russell, Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, vol.66, issue.5, p.6611271162, 1998.
DOI : 10.2307/2999632

F. Faivre, Copula : A new vision for economic capital and application to a four line of business company, Astin Bulletin, 2002.

E. W. Frees, P. Shi, and E. A. Valdez, Abstract, ASTIN Bulletin, vol.36, issue.01, p.165197, 2009.
DOI : 10.1198/016214508000000823

E. W. Frees and E. A. Valdez, Understanding Relationships Using Copulas, North American Actuarial Journal, vol.82, issue.5, 1998.
DOI : 10.1080/10920277.1998.10595667

E. W. Frees and E. A. Valdez, Hierarchical Insurance Claims Modeling, Journal of the American Statistical Association, vol.103, issue.484, p.14571469, 2008.
DOI : 10.1198/016214508000000823

E. W. Frees and P. Wang, Copula credibility for aggregate loss models, Insurance: Mathematics and Economics, vol.38, issue.2, 2006.
DOI : 10.1016/j.insmatheco.2005.10.004

E. W. Frees, V. R. Young, and Y. Luo, A longitudinal data analysis interpretation of credibility models, Insurance: Mathematics and Economics, vol.24, issue.3, pp.229-247, 1999.
DOI : 10.1016/S0167-6687(98)00055-9

H. U. Gerber, Ruin theory in the linear model, Insurance: Mathematics and Economics, vol.1, issue.3, p.177184, 1982.
DOI : 10.1016/0167-6687(82)90011-7

E. Ghysels, C. Gouriéroux, and J. Jasiak, Stochastic volatility duration models, Journal of Econometrics, vol.119, issue.2, pp.413-433, 2004.
DOI : 10.1016/S0304-4076(03)00202-1

J. Grammig and K. Maurer, Non-monotonic hazard functions and the autoregressive conditional duration model, The Econometrics Journal, vol.3, issue.1, p.1638, 2000.
DOI : 10.1111/1368-423X.00037