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Canestraro, Davide and Dacorogna, Michel (2010): Estimating the risk-adjusted capital is an affair in the tails.

Dacorogna, Michel M and Kratz, Marie (2015): Living in a Stochastic World and Managing Complex Risks.

Egli, Daniel and Blum, Peter and Dacorogna, Michel M and Müller, Ulrich A (2005): Is the gamma risk of options insurable?

Müller, Ulrich A and Bürgi, Roland and Dacorogna, Michel M (2004): Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios.