For example,

[1]  Ludger Rüschendorf,et al.  On optimal portfolio diversification with respect to extreme risks , 2010, Finance Stochastics.

[2]  Alexander J. McNeil,et al.  Multivariate Archimedean copulas, $d$-monotone functions and $\ell_1$-norm symmetric distributions , 2009, 0908.3750.

[3]  Paul Embrechts,et al.  Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness , 2009 .

[4]  Dwight M. Jaffee,et al.  Nondiversification Traps in Catastrophe Insurance Markets , 2009 .

[5]  Ming-Heng Zhang,et al.  Modelling total tail dependence along diagonals , 2008 .

[6]  P. Embrechts,et al.  High Risk Scenarios and Extremes , 2007 .

[7]  S. Resnick Heavy-Tail Phenomena: Probabilistic and Statistical Modeling , 2006 .

[8]  P. Barbe,et al.  On the Tail Behavior of Sums of Dependent Risks , 2006, ASTIN Bulletin.

[9]  Thomas Mikosch,et al.  Copulas: Tales and facts , 2006 .

[10]  P. Embrechts,et al.  Quantitative models for operational risk: Extremes, dependence and aggregation , 2006 .

[11]  Hansjörg Albrecher,et al.  Tail asymptotics for the sum of two heavy-tailed dependent risks , 2006 .

[12]  Paul Embrechts,et al.  Infinite-mean models and the LDA for operational risk , 2006 .

[13]  Johan Walden,et al.  The Limits of Diversification When Losses May Be Large , 2006 .

[14]  P. Embrechts,et al.  Quantitative Risk Management: Concepts, Techniques, and Tools , 2005 .

[15]  Gennady Samorodnitsky,et al.  Subadditivity Re–Examined: the Case for Value-at-Risk , 2005 .

[16]  Sidney Resnick,et al.  The Extremal Dependence Measure and Asymptotic Independence , 2004 .

[17]  J. Teugels,et al.  Statistics of Extremes , 2004 .

[18]  Marco Moscadelli,et al.  The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee , 2004 .

[19]  P. Barbe Approximation of integrals over asymptotic sets with applications to probability and statistics , 2003, math/0312132.

[20]  Thomas Mikosch,et al.  Modeling Dependence and Tails of Financial Time Series , 2003 .

[21]  Holger Rootzén,et al.  Extreme Values in Finance, Telecommunications, and the Environment , 2003 .

[22]  Thorsten Rheinländer Risk Management: Value at Risk and Beyond , 2003 .

[23]  F. Lindskog,et al.  Multivariate extremes, aggregation and dependence in elliptical distributions , 2002, Advances in Applied Probability.

[24]  J. Corcoran Modelling Extremal Events for Insurance and Finance , 2002 .

[25]  C. Stărică,et al.  Multivariate extremes for models with constant conditional correlations , 1999 .

[26]  Satishs Iyengar,et al.  Multivariate Models and Dependence Concepts , 1998 .

[27]  Sidney I. Resnick,et al.  Limit Theory for Bilinear Processes with Heavy Tailed Noise , 1996 .

[28]  S. Resnick Extreme Values, Regular Variation, and Point Processes , 1987 .

[29]  E. Fama,et al.  The Theory of Finance , 1974 .

[30]  F. Saita,et al.  Risk Capital Aggregation , 2007 .

[31]  Thomas Mikosch,et al.  Regularly varying functions , 2006 .

[32]  L. Haan,et al.  Extreme value theory : an introduction , 2006 .

[33]  P. Embrechts,et al.  Correlation and Dependency in Risk Management , 2002 .

[34]  P. Embrechts,et al.  Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .

[35]  S. Straetmans Extreme financial returns and their comovements , 1998 .

[36]  C. Klüppelberg,et al.  Modelling Extremal Events , 1997 .