E. Alvarado, D. V. Sandberg, and S. G. Pickford, Modeling large forest fires as extreme events, Northwest Science, vol.72, pp.66-75, 1998.

P. Artzner, F. Delbaen, J. M. Eber, and D. Heath, Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999.
DOI : 10.1111/1467-9965.00068

J. Beirlant, Y. Goegebeur, J. Segers, and J. L. Teugels, Statistics of extremes ? Theory and applications, 2004.

J. Beirlant, P. Vynckier, and J. L. Teugels, Excess Functions and Estimation of the Extreme-Value Index, Bernoulli, vol.2, issue.4, pp.293-318, 1996.
DOI : 10.2307/3318416

J. Belles-sampera, M. Guillén, and M. Santolino, Beyond Value-at-Risk: GlueVaR Distortion Risk Measures, Risk Analysis, vol.278, issue.8, pp.121-134, 2014.
DOI : 10.1111/risa.12080

N. H. Bingham, C. M. Goldie, and J. L. Teugels, Regular Variation, Cambridge, U.K.: Camand pitfalls. Insurance Math. Econom, vol.37, issue.1, pp.80-100, 1987.
DOI : 10.1017/CBO9780511721434

E. Furman and Z. Landsman, On some risk-adjusted tail-based premium calculation principles, Journal of Actuarial Practice, vol.13, pp.175-190, 2006.

L. Gardes and G. Stupfler, Estimation of the conditional tail index using a smoothed local Hill estimator, Extremes, vol.104, issue.487, pp.45-75, 2014.
DOI : 10.1007/s10687-013-0174-5

URL : https://hal.archives-ouvertes.fr/hal-00739454

S. Ghosh and S. Resnick, A discussion on mean excess plots, Stochastic Processes and their Applications, vol.120, issue.8, pp.1492-1517, 2010.
DOI : 10.1016/j.spa.2010.04.002

T. Gneiting, Making and Evaluating Point Forecasts, Journal of the American Statistical Association, vol.106, issue.494, pp.746-762, 2011.
DOI : 10.1198/jasa.2011.r10138

M. I. Gomes and A. Guillou, Extreme Value Theory and Statistics of Univariate Extremes: A Review, International Statistical Review, vol.101, issue.4, pp.263-292, 2015.
DOI : 10.1111/insr.12058

URL : https://hal.archives-ouvertes.fr/hal-01311707

M. B. Gordy, A risk-factor model foundation for ratings-based bank capital rules, Journal of Financial Intermediation, vol.12, issue.3, pp.199-232, 2003.
DOI : 10.1016/S1042-9573(03)00040-8

D. Guegan and B. Hassani, Distortion risk measures or the transformation of unimodal distributions into multimodal functions, in Future Perspectives in Risk Models and Finance, 2015.

L. De-haan and A. Ferreira, Extreme value theory: an introduction, 2006.
DOI : 10.1007/0-387-34471-3

B. M. Hill, A Simple General Approach to Inference About the Tail of a Distribution, The Annals of Statistics, vol.3, issue.5, 1975.
DOI : 10.1214/aos/1176343247

J. R. Hosking, J. R. Wallis, and E. F. Wood, Estimation of the Generalized Extreme-Value Distribution by the Method of Probability-Weighted Moments, Technometrics, vol.79, issue.3, pp.251-261, 1987.
DOI : 10.1080/00401706.1985.10488049

B. L. Jones and R. Zitikis, Empirical Estimation of Risk Measures and Related Quantities, North American Actuarial Journal, vol.44, issue.1, pp.44-54, 2003.
DOI : 10.1080/10920277.2003.10596117

M. G. Kendall and A. Stuart, The advanced theory of statistics Design and analysis, and time-series, 1968.

J. Keppo, L. Kofman, and X. Meng, Unintended consequences of the market risk requirement in banking regulation, Journal of Economic Dynamics and Control, vol.34, issue.10, pp.2192-2214, 2010.
DOI : 10.1016/j.jedc.2010.06.006

S. G. Kou, X. Peng, and C. C. Heyde, External risk measures and Basel accords, 2013.

S. G. Kou and X. Peng, On the measurement of economic tail risk, preprint, 2014.

D. Koutsoyiannis, Statistics of extremes and estimation of extreme rainfall: II. Empirical investigation of long rainfall records, Hydrological Sciences Journal, vol.49, issue.4, pp.591-610, 2004.

C. Kuan, J. Yeh, and Y. Hsu, Assessing value at risk with CARE, the Conditional Autoregressive Expectile models, Journal of Econometrics, vol.150, issue.2, pp.261-270, 2009.
DOI : 10.1016/j.jeconom.2008.12.002

D. Kwiatkowski, P. C. Phillips, P. Schmidt, and Y. Shin, Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, vol.54, issue.1-3, pp.159-178, 1992.
DOI : 10.1016/0304-4076(92)90104-Y

O. Linton and Z. Xiao, ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE, Econometric Theory, vol.1, issue.04, pp.771-807, 2013.
DOI : 10.1016/j.jeconom.2008.09.005

A. J. Mcneil, R. Frey, and P. Embrechts, Quantitative risk management: concepts, techniques, and tools, 2005.

W. K. Newey and J. L. Powell, Asymmetric Least Squares Estimation and Testing, Econometrica, vol.55, issue.4, pp.819-847, 1987.
DOI : 10.2307/1911031

L. Peng, Asymptotically unbiased estimators for the extreme-value index, Statistics & Probability Letters, vol.38, issue.2, 1998.
DOI : 10.1016/S0167-7152(97)00160-0

J. Pickands, Statistical inference using extreme order statistics, Ann. Statist, vol.3, issue.1, pp.119-131, 1975.

S. Resnick and C. St?-aric?-a, Smoothing the Hill Estimator, Advances in Applied Probability, vol.12, issue.01, pp.271-293, 1997.
DOI : 10.1214/aos/1176349551

H. Rootzén and N. Tajvidi, Extreme value statistics and wind storm losses: A case study, Scandinavian Actuarial Journal, vol.2, issue.1, 1997.
DOI : 10.1214/ss/1177012400

R. L. Smith, Estimating Tails of Probability Distributions, The Annals of Statistics, vol.15, issue.3, pp.1174-1207, 1987.
DOI : 10.1214/aos/1176350499

B. De-sousa and G. Michailidis, A Diagnostic Plot for Estimating the Tail Index of a Distribution, Journal of Computational and Graphical Statistics, vol.13, issue.4, 2004.
DOI : 10.1198/106186004X12335

G. Stupfler, A moment estimator for the conditional extreme-value index, Electronic Journal of Statistics, vol.7, issue.0, 2013.
DOI : 10.1214/13-EJS846

URL : https://hal.archives-ouvertes.fr/hal-00846594

G. Stupfler, Estimating the conditional extreme-value index under random right-censoring, Journal of Multivariate Analysis, vol.144, 2016.
DOI : 10.1016/j.jmva.2015.10.015

URL : https://hal.archives-ouvertes.fr/hal-00881846

B. Vandewalle and J. Beirlant, On univariate extreme value statistics and the estimation of reinsurance premiums, Insurance: Mathematics and Economics, vol.38, issue.3, pp.441-459, 2006.
DOI : 10.1016/j.insmatheco.2005.11.002

S. S. Wang, Abstract, ASTIN Bulletin, vol.50, issue.01, pp.5041-4022, 1996.
DOI : 10.2143/AST.21.2.2005365

URL : https://hal.archives-ouvertes.fr/hal-00953003