A complete list of contributions is available in the curriculum vitae.

Articles

Dionne, G., Gueyie, J.P., Mnasri, M., “Dynamic Corporate Risk Management: Motivations and Real Implications,” forthcoming in Journal of Banking and Finance.

Mnasri, M., Dionne, G., Gueyie, J.P., “The use of nonlinear hedging strategies by US oil producers: Motivations and implications,” Energy Economics 63, 348-364, March 2017.

Bergerès, A.S., D’Astous, P., Dionne, G. “Is There Any Dependence Between Consumer Credit Line Utilization and Default Probability on a Term Loan? Evidence from Bank-customer Data”, Journal of Empirical Finance 33, 276-286, September 2015.

Dionne, G., La Haye, M., Bergerès, A.S., “Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?,” Canadian Journal of Economics 48, 3, 819-852, August 2015.

Dionne, G., Pacurar, M., Zhou, X., “Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse,” Journal of Banking and Finance 59, 202-219, June 2015.

Maalaoui Chun, O., Dionne, G., François, P. “Detecting Regime Shifts in Credit Spreads,” Journal of Financial and Quantitative Analysis 49, 5/6, 1339-1364, October/December 2014.

Dionne, G., Malekan, S., “Securitization and Optimal Retention under Moral Hazard”, Journal of Mathematical Economics 55, 74-85, December 2014.

Dionne, G., Li, J. “When Can Expected Utility Handle First-order Risk Aversion?” Journal of Economic Theory 154, 403-422, October 2014.

Maalaoui Chun, O., Dionne, G., François, P., “Credit Spread Changes within Switching Regimes,” Journal of Banking and Finance 49, 41-55, December 2014.

Dionne, G., Santugini, M. “Entry, Imperfect Competition, and Futures Market for the Input”, International Journal of Industrial Organization 35, 70-83, July 2014.

Dionne, G., Li, J., “Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks,” Journal of Mathematical Economics 51, 128-135, March 2014.

Dionne, G., Maalaoui Chun, O. “Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period,” Canadian Journal of Economics 46, 4, 1160-1195, November 2013.

Dionne, G., Michaud, P.C., Dahchour, M., “Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France,” Journal of the European Economic Association 11, 4, 897-917, August 2013.

Dionne, G., Wang, K. “Does Insurance Fraud in Automobile Theft Insurance Fluctuate with the Business Cycle?,” Journal of Risk and Uncertainty 47, 67-92, August 2013.

Aboul-Enein, S., Dionne, G., Papageorgiou, N., “Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche,” The European Journal of Finance 19,6, 518-553.

Bourgeon, J.M., Dionne, G. “On Debt Service and Renegotiation When Debt-holders Are More Strategic,” Journal of Financial Intermediation 22, 353-372, July 2013.

Dionne, G., Gauthier, G., Ouertani, N. “Risk Management of Non-standard Basket Options with Different Underlying Assets,” Journal of Futures Markets 33, 4, 299-326, April 2013.

Dionne, G., Triki, T. “On Risk Management Determinants: What Really Matters?,” European Journal of Finance 19, 2, 145-164, January 2013.

Dionne, G., Laajimi, S., “On the Determinants of the Implied Default Barrier,” Journal of Empirical Finance 19, 395-408, June 2012.

Dionne, G., Ouederni, K., “Corporate risk management and dividend signaling theory,” Finance Research Letters 8, 188-195, December 2011.

Dionne, G., Li, J., “The Impact of Prudence on Optimal Prevention Revisited,” Economics Letters 113, 147-149, November 2011.

Dionne, G., Gauthier, G., Hammami, K., Maurice, M., Simonato, J.G., “A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors,” Journal of Banking and Finance 35, 8, 1984-2000, August 2011.

Dionne, G., Pinquet, J., Maurice, M., Vanasse, C., “Incentive Mechanisms for Safe Driving: A Comparative Analysis with Dynamic Data,” The Review of Economics and Statistics 93, 1, 218-227, February 2011.

Dahen, H., Dionne, G., Zajdenweber, D., “A Practical Application of Extreme Value Theory to Operational Risk in Banks,” Journal of Operational Risk 5, 2, 63-78, Summer 2010.

Dahen, H., Dionne, G., “Scaling Models for the Severity and Frequency of External Operational Loss Data,” Journal of Banking and Finance 34, 1484-1496, July 2010.

Dionne, G., Hammami, K., Gauthier, G., Maurice, M., Simonato, J.G., “Default Risk in Corporate Yield Spreads,” Financial Management 39, 2, 707-731, June 2010.

Dionne, G., Duchesne, P., Pacurar, M., “Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange,” Journal of Empirical Finance 16, 5, 777-792, December 2009.

Cummins, D., Dionne, G., Gagné, R., Nouira, A., “Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities,” Journal of Productivity Analysis 32, 2, 145-159, October 2009.

Dionne, G., St-Amour, P., Vencatachellum, D., “Asymmetric Information and Adverse Selection in Mauritian Slave Auctions,” Review of Economic Studies 76, 1269-1295, October 2009.

Bellavance, F., Dionne, G., Lebeau, M., “The Value of a Statistical Life: A Meta-Analysis with a Mixed Effects Regression Model,” Journal of Health Economics 28, 2, 444-464, March 2009.

Dionne, G., Giuliano, F., Picard, P., “Optimal Auditing with Scoring: Theory and Application to Insurance Fraud,” Management Science 55, 58-70, January 2009.

Boubakri, N., Dionne, G., Triki, T., “Consolidation and Value Creation in the Insurance Industry: The Role of Governance,” Journal of Banking and Finance 32, 56-68, January 2008.

Dionne, G., Fluet, C., Desjardins, D., “Predicted Risk Perception and Risk-taking Behavior: The Case of Impaired Driving,” Journal of Risk and Uncertainty 35, 3, 237-264, December 2007.

Dionne, G., Dostie, B., “New Evidence on the Determinants of Absenteeism Using Linked Employer-Employee Data,” Industrial and Labor Relations Review 61, 1, 108-120, October 2007.

Dachraoui, K., Dionne, G., “Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors,” European Journal of Finance 13, 397-404, July 2007.

Alarie, Y., Dionne, G., “Lottery Qualities,” Journal of Risk and Uncertainty 32, 195-216, May 2006.

Angers, J.F., Desjardins, D., Dionne, G., Guertin, F., “Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles”, Astin Bulletin 36, 1, 25-77, May 2006.

Dachraoui, K., Dionne, G., Eeckhoudt, L., Godfroid, P. “Comparative Mixed Risk Aversion : Definition and Application to Self-Protection and Willingness to Pay,” Journal of Risk and Uncertainty 29, 3, 261-276, 2004.

Dionne, G., Spaeter, S., “Environmental Risk and Extended Liability: The Case of Green Technologies,” Journal of Public Economics 87, 5-6, 1025-1060, 2003.

Dionne, G., Gagné, R., “Replacement Cost Endorsement and Opportunistic Fraud in Automobile Insurance,” Journal of Risk and Uncertainty 24, 3, 213-230, 2002.

Dionne, G., Gagné, R., “Deductible Contracts Against Fraudulent Claims: Evidence from Automobile Insurance,” Review of Economics and Statistics 83, 2, 290-301, May 2001.

Alarie, Y., Dionne, G., “Lottery Decisions and Probability Weighting Function,” Journal of Risk and Uncertainty 22, 1, 21-33, 2001.

Dionne, G., Gouriéroux, C., Vanasse, C., “Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment,” Journal of Political Economy 109, 2, 444-453, April 2001.

Dionne, G., Fluet, C., “Full Pooling in Multi-Period Contracting with Adverse Selection and Noncommitment,” Review of Economic Design 5, 1, 1-21, 2000.

Caillaud, B., Dionne, G., Jullien, B., “Corporate Insurance with Optimal Financial Contracting,” Economic Theory 16, 1, 77-105, 2000.

Dionne, G., Gagné, R., Vanasse, C., “Measuring Technical Change and Productivity Growth with Varying Output Qualities and Incomplete Panel Data,” Journal of Econometrics 87, 303-327, 1998.

Dionne, G., Gagné, R., Gagnon, F., Vanasse, C., “Debt, Moral Hazard and Airline Safety: an Empirical Evidence,” Journal of Econometrics 79, 379-402, 1997.

Dionne, G., Doherty, N., “Adverse Selection, Commitment and Renegotiation: Extension to and Evidence from Insurance Markets,” Journal of Political Economy 102, 2, 209-235, 1994.

Dionne, G., Eeckhoudt, L., Gollier, C., “Increases in Risk and Optimal Portfolio,” International Economic Review 34, 2, 309-320,” May 1993.

Dionne, G., Doherty, N., “Insurance with Undiversifiable Risk: Contract Structure and Organizational Form of Insurance Firms,” Journal of Risk and Uncertainty 6, 2, 187-203, 1993.

Dionne, G., Vanasse, C., “Automobile Insurance Ratemaking in the Presence of Asymmetrical Information,” Journal of Applied Econometrics 7, 2, 149-165, 1992.

Dionne, G., St-Michel, P., “Workers’ Compensation and Moral Hazard,” Review of Economics and Statistics LXXXIII, 2, 236-244, May 1991.

Boyer, M., Dionne, G., “An Empirical Analysis of Moral Hazard and Experience Rating,” Review of Economics and Statistics LXXXI, 1, 128-134, February 1989.

Dionne, G., Lasserre, P., “Adverse Selection, Repeated Insurance Contracts and Announcement Strategy,” Review of Economic Studies 70, 4, 719-724, November 1985.

Dionne, G., Eeckhoudt, L., “Self-Insurance, Self-Protection and Increased Risk Aversion,” Economics Letters 39-43, February 1985.

Dionne, G., “Search and Insurance,” International Economic Review, 357-367, June 1984.

Dionne, G., “Moral Hazard and State-Dependent Utility Function”, Journal of Risk and Insurance 49, 3, 405-422, September 1982.

Books

Dionne, G. (Ed.), Handbook of Insurance, 2nd Edition, Springer, New York, 1126 pages, 2013.

Dionne, G. (Ed.), Handbook of Insurance, Kluwer Academic Publishers, 1008 pages, 2000. Paperback version, 2001, financed by the Association de Genève pour l’étude du risque de l’assurance (Geneva Association). Translated into Chinese, 2008.

Dionne, G., Laberge-Nadeau, C. (Eds), Automobile Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation, Kluwer Academic Publishers, 370 pages, 1999.

Dionne, G. (Ed.), Contributions to Insurance Economics, Kluwer Academic Publishers, 524 pages, 1992.

Dionne, G., Harrington, S. (Eds), Foundations of Insurance Economics – Readings in Economics and Finance, Kluwer Academic Publishers, 728 pages, 1992.

Dionne, G. (Ed.), Incertain et information, Vermette-Economica Editions Montreal-Paris, 289 pages, 1988.

ISSN: 1206-3304. The texts published in the series Working Papers of the Canada Research Chair in Risk Management are the sole responsibility of their authors. All rights reserved in all countries. Any translation or reproduction in any form whatsoever without permission is forbidden. All requests for reproduction must be sent to Copibec (phone: 514-288-1664 or 1-800-717-2022; licences@copibec.qc.ca).

Click on a link to obtain a pdf version of a working paper.

2017

© Canada Research Chair in Risk Management, 2017

Numéro Titre Auteurs
17-01 G. Dionne
Y. Liu
17-02 G. Dionne
S.E. Harrington
17-03 D. Desjardins
G. Dionne

2016

© Canada Research Chair in Risk Management, 2016

Number Title Authors
16-00 Team projects and references of the new research program of the Canada Research Chair in Risk Management G. Dionne
16-01 Can Higher-Order Risks Explain the Credit Spread Puzzle? C. Okou
O. Maalaoui Chun
G. Dionne
J. Li
16-02 Dynamic Corporate Risk Mananagement: Motivations and Real Implications (Forthcoming in Journal of Banking and Finance) G. Dionne
J.P. Gueyie
M. Mnasri
16-03 Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation G. Yergeau
16-04 The dynamics of Ex-ante Weighted Spread: An empirical analysis G. Dionne
X. Zhou
16-05 Asymmetric Effects of the Limit Order Book on Price Dynamics T. Cenesizoglu
G. Dionne
X. Zhou

2015

© Canada Research Chair in Risk Management, 2015

Number Title Authors
15-01 Étude des comportements de sécurité routière des propriétaires, exploitants et conducteurs des véhicules lourds au Québec G. Dionne
J.F. Angers
D. Desjardins
15-02 Modelling and Estimating Individual and Firm Effects with Count Panel Data J.F. Angers
D. Desjardins
G. Dionne
J.F. Guertin
15-03 Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis (Journal of Operational Risk 12, 1, 23-51, March 2017) G. Dionne
S. Saissi Hassani
15-04 Optimal form of retention for securitized loans under moral hazard G. Dionne
S. Malekan
15-05 The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis G. Dionne
X. Zhou

2014

© Canada Research Chair in Risk Management, 2014

Number Title Authors
14-01 Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse (Journal of Banking & Finance, 59, 202-219, June 2015) G. Dionne
M. Pacurar
Xiaozhou Zhou
14-02 Health care workers’ risk perceptions of personal and work activities and willingness to report for work during an influenza pandemic G. Dionne
D. Desjardins
M. Lebeau
S. Messier
A. Dascal
14-03 Production Flexibility and Hedging (Risks 3, 543-552, 2015) G. Dionne
M. Santugini
14-04 Economic Effects of Risk Classification Bans (The Geneva Risk and Insurance Review 39, 184-221, 2014) G. Dionne
C.S. Rothschild
14-05 Effects of the Limit Order Book on Price Dynamics T. Cenesizoglu
G. Dionne
X. Zhou

2013

© Canada Research Chair in Risk Management, 2013

Number Title Authors
13-01 Gestion des risques: histoire, définition et critique (Assurances et gestion des risques/Insurance and Risk Management 81, 1-2, 19-46, March-April 2013) G. Dionne
13-02 Risk Management: History, Definition and Critique (Risk Management and Insurance Review 16, 2, 147-166, Fall 2013) G. Dionne
13-03 How do firms hedge risks? Empirical evidence from U.S. oil and gas producers (Energy Economics 63, 348-364, March2017) M. Mnasri
G. Dionne
J.P. Gueyie
13-04 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period (Canadian Journal of Economics 46, 4, 1160-1195, November 2013) G. Dionne
Olfa Maalaoui Chun
13-05 The Maturity Structure of Corporate Hedging: The Case of the U.S. Oil and Gas Industry M. Mnasri
G. Dionne
J.P. Gueyie

2012

© Canada Research Chair in Risk Management, 2012

Number Title Authors
12-01 A Review of Recent Theoretical and Empirical Analyses of Asymmetric Information in Road Safety and Automobile Insurance (Research in Transportation Economics 43, 85-97, July 2013) G. Dionne
P.C. Michaud
J. Pinquet
12-02 Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks (Journal of Mathematical Economics 51, 128-135, March 2014) G. Dionne
J. Li
12-03 Structural Credit Risk Models: A Review (Assurances et gestion des risques 80, 1, 53-93, April 2012) S. Laajimi
12-04 An Extension of the Consumption-based CAPM Model G. Dionne
J. Li
C. Okou
12-05 Entry, Imperfect Competition, and Futures Market for the Input (International Journal of Industrial Organization, 35, 70-83, July 2014) G. Dionne
M. Santugini
12-06 Securitization and Optimal Retention under Moral Hazard (Journal of Mathematical Economics, 55, 74-85, December 2014) S. Malekan
G. Dionne
12-07 Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks G. Dionne
J. Li
12-08 Adverse Selection in Insurance Contracting (in G. Dionne Ed., Handbook of Insurance, Second Edition, 231-280, 2014) G. Dionne
N. Fombaron
N. Doherty
12-09 Risk Classification and Health Insurance (in A.J. Culyer Ed., Encyclopedia of Health Economics vol 3, 272-280, 2014) G. Dionne
C.G. Rothschild
12-10 The Empirical Measure of Information Problems with Emphasis on Insurance Fraud and Dynamic Data (in G. Dionne Ed., Handbook of Insurance, Second Edition, 423-448, 2014) G. Dionne

2011

© Canada Research Chair in Risk Management, 2011

Number Title Authors
11-01 When Can Expected Utility Handle First-order Risk Aversion? (Journal of Economic Theory, 154, 403-422, 2014) G. Dionne
J. Li
11-02 Book review of The Theory of Corporate Finance (Journal of Risk and Insurance 78, 3, 791-793, September 2011) G. Dionne
11-03 Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-level data (Journal of Empirical Finance 33, 276-286, September 2015) A.S. Bergerès
P. D’Astous
G. Dionne
11-04 Does opportunistic fraud in automobile theft insurance fluctuate with the business cycle? (Journal of Risk and Uncertainty 47, 67-92, August 2013) G. Dionne
K. Wang
11-05 Risk Classification in Insurance Contracting G. Dionne
C.G. Rothschild

2010

© Canada Research Chair in Risk Management, 2010

Number Title Authors
10-01 Corporate risk management and dividend signaling theory (Finance Research Letters 8, 188-195, December 2011) G. Dionne
K. Ouederni
10-02 Extremal Events in a Bank Operational Losses (Journal of Operational Risk, 5, 2, 63-78, été 2010, under the title: “A practical application of extreme value theory to operational risk in banks”) H. Dahen
G. Dionne
D. Zajdenweber
10-03 Does Asymmetric Information Affect the Premium in Mergers and Acquisitions? (Canadian Journal of Economics 48, 3, 819-852, August 2015 ) G. Dionne
M. La Haye
A.S. Bergerès
10-04 The Impact of Prudence on Optimal Prevention Revisited (Economics Letters 113, 147-149, November 2011) J. Li
G. Dionne
10-05 Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France. (Journal of the European Economic Association 11, 4, 897-917, August 2013) G. Dionne
P.C. Michaud
M. Dahchour
10-06 A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors (Journal of Banking and Finance 35, 8, 1984-2000, 2011) G. Dionne
G. Gauthier
K. Hammami
M. Maurice
J.G. Simonato
10-07 Le calcul de la valeur statistique d’une vie humaine (L’Actualité économique 86, 4, 487-530, December 2010) G. Dionne
M. Lebeau
10-08 A Theoretical Extension of the Consumption-based CAPM Model J. Li
G. Dionne

2009

© Canada Research Chair in Risk Management, 2009

Number Title Authors
09-01 Credit Spread Changes Within Switching Regimes (Journal of Banking and Finance 49, 41-55, December 2014) O. Maalaoui Chun
G. Dionne
P. François
09-02 On the Determinants of the Implied Default Barrier (Journal of Empirical Finance 19, 395-408, June 2012) G. Dionne
S. Laajimi
09-03 Basket Options on Heterogeneous Underlying Assets (Journal of Futures Markets 33, 4, 299-326, 2013; under the title: “Risk management of non-standard basket options with different underlying assets”) G. Dionne
G. Gauthier
N. Ouertani
09-04 Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche (The European Journal of Finance 19, 6, 518-553) S. Aboul-Enein
G. Dionne
N. Papageorgiou
09-05 Analyse empirique des historiques d’infractions au code de la route (Pour une économie de la sécurité routière, L. Carnis et D. Mignot, Economica, p. 123-139, 2012) G. Dionne
J. Pinquet
09-06 Structured Finance, Risk Management, and the Recent Financial Crisis (Ivey Business Journal, November-December 2009) G. Dionne
09-07 Finance structurée, gestion des risques et récente crise financière (Risques 80, 122-127, December 2009) G. Dionne

2008

© Canada Research Chair in Risk Management, 2008

Number Title Authors
08-01 The Costs and Benefits of Reinsurance J.D. Cummins
G. Dionne
R. Gagné
A. Nouira
08-02 Detecting Regime Shifts in Credit Spreads (Journal of Financial and Quantitative Analysis, 49, 5/6, 1339-1364, October/December 2014.) G. Dionne
P. François
O. Maalaoui
08-03 Correlated Poisson Processes with Unobserved Heterogeneity: Estimating the Determinants of Paid and Unpaid Leave G. Dionne
B. Dostie

2007

© Canada Research Chair in Risk Management, 2007

Number Title Authors
07-01 Scaling Models for the Severity and Frequency of External Operational Loss Data (Journal of Banking and Finance 34, 1484-1496, 2010). H. Dahen
G. Dionne
07-02 Environmental Risks, the Judgment-Proof Problem and Financial Responsibility (European Journal of Law and Economics 30, 77-87, 2010) B. Kambia-Chopin
07-03 Poisson Models with Employer-Employee Unobserved Heterogeneity: An Application to Absence Data J.F. Angers
D. Desjardins
G. Dionne
B. Dostie
F. Guertin
07-04 Determinants of Insurers’ Performance in Risk Pooling, Risk Management, and Financial Intermediation Activities G. Dionne
R. Gagné
A. Nouira
07-05 What about Underevaluating Operational Value at Risk in the Banking Sector? H. Dahen
G. Dionne
07-06 Estimating the Effect of a Change in Insurance Pricing Regime on Accidents with Endogenous Mobility G. Dionne
B. Dostie
07-07 On Debt Service and Renegotiation when Debt-holders Are More Strategic (Journal of Financial Intermediation 22, 353-372, July 2013) J.M. Bourgeon
G. Dionne
07-08 A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors G. Dionne
G. Gauthier
K. Hammami
M. Maurice
J.G. Simonato

2006

© Canada Research Chair in Risk Management, 2006

Number Title Authors
06-01 Heterogeneous Basket Options Pricing Using Analytical Approximations (Multinational Finance Journal 15, no. 1/2, 47-85, March/June 2011) G. Dionne
G. Gauthier
N. Ouertani
N. Tahani
06-02 Adverse Selection in the Market for Slaves in Mauritius, 1825-1835 (Review of Economic Studies 76, 1269-1295, 2009) G. Dionne
P. St-Amour
D. Vencatachellum
06-03 Les méthodes de tarification des options paniers N. Ouertani
06-04 Predicted Risk Perception and Risk-taking Behavior: The Case of Impaired Driving (Journal of Risk and Uncertainty 35, 3, 237-264, 2007) G. Dionne
C. Fluet
D. Desjardins
06-05 Estimation of the Default Risk of Publicly Traded Canadian Companies (Canadian Journal of Administrative Sciences 25, 2, 134-152, 2008) G. Dionne
S. Laajimi
S. Mejri
M. Petrescu
06-06 Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities (Journal of Productivity Analysis 32, 2, 145-159, 2009) J.D. Cummins
G. Dionne
R. Gagné
A. Nouira
06-07 Lottery Qualities (Journal of Risk and Uncertainty 32, 195-216, 2006) Y. Alarie
G. Dionne
06-08 Consolidation and Value Creation in the Insurance Industry: The role of Governance (Journal of Banking and Finance 32, 56-68, 2008) N. Boubakri
G. Dionne
T. Triki
06-09 Book review of Foundations of Economic Analysis of Law, Shavell, S., The Belknap Press of Harvard University Press, 2004 (Journal of Risk and Insurance 73, 4, 737-743, 2006) G. Dionne
06-10 Autoregressive Conditional Duration (ACD) Models in Finance: A Survey of the Theoretical and Empirical Literature (Journal of Economic Surveys 22, 4, 711-751) M. Pacurar
06-11 Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle (Economics Letters 100, 304-307, 2008) O. Chakroun
G. Dionne
A. Dugas-Sampara
06-12 The Value of a Statistical Life: A Meta-Analysis with a Mixed Effects Regression Model (Journal of Health Economics 28, 2, 444-464, 2009) F. Bellavance
G. Dionne
M. Lebeau

2005

© Canada Research Chair in Risk Management, 2005

Number Title Authors
05-01 Exotic Options Pricing under Stochastic Volatility N. Tahani
05-02 Testing Explanations of Preference Reversal: A Model Y. Alarie
G. Dionne
05-03 Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge for the Board and the Audit Committee G. Dionne
T. Triki
05-04 Research on Corporate Hedging Theories: A Critical Review of the Evidence to Date (ICFAI Journal of Financial Economics IV, 14-40, 2006) T. Triki
05-05 New Evidence on the Determinants of Absenteeism Using Linked Employer-Employee Data (Industrial and Labor Relations Review 61, 1, 108-120.) G. Dionne
B. Dostie
05-06 Mesure des effets incitatifs à la prudence au volant créés par les sanctions et évaluation du pouvoir prédictif des infractions sur le risque routier G. Dionne
J. Pinquet
05-07 Modélisation et estimation des effets individuels et d’entreprise avec des données de panel: une application aux flottes de véhicules (Assurances et gestion des risques 73, 4, 457-497, 2006) J.F. Angers
D. Desjardins
G. Dionne
F. Guertin
05-08 Default Risk in Corporate Yield Spreads (Financial Management 39, 2, 707-731, 2010) G. Dionne
G. Gauthier
K. Hammami
M. Maurice
J.G. Simonato
05-09 Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange (Journal of Empirical Finance 16, 5, 777-792, 2009) G. Dionne
P. Duchesne
M. Pacurar

2004

© Canada Research Chair in Risk Management, 2004

Number Title Authors
04-01 Conditions Ensuring the Separability of Asset Demand for All Risk Averse Investors (The European Journal of Finance 13, 397-404, 2007) K. Dachraoui
G. Dionne
04-02 La perception des risques d’accident et d’arrestation lors de conduite avec facultés affaiblies (Assurances et gestion des risques 72, 3, 491-553, 2004) G. Dionne
C. Fluet
D. Desjardins
S. Messier
04-03 On the Necessity of Using Lottery Qualities Y. Alarie
G. Dionne
04-04 On Risk Management Determinants: What Really Matters? (European Journal of Finance 19, 2, 145-164, 2013) G. Dionne
T. Triki
04-05 Separating Moral Hazard from Adverse Selection in Automobile Insurance: Longitudinal Evidence from France G. Dionne
P.C. Michaud
M. Dahchour
04-06 Book Review of Credit Risk: Pricing, Measurement, and Management (Journal of Risk and Insurance 72, 1, 177-182, 2005) G. Dionne
04-07 Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles (Astin Bulletin, 36, 1, 25-77) J.F. Angers
D. Desjardins
G. Dionne
F. Guertin

2003

© Canada Research Chair in Risk Management, 2003

Number Title Authors

03-01

Banks’ Capital, Securitization and Credit Risk: An Empirical Evidence for Canada (Assurances et gestion des risques 75, 4, 459-485, 2008) G. Dionne
T. Harchaoui

03-02

Comparative Mixed Risk Aversion: Definition and Application to Self-Protection and Willingness to Pay (Journal of Risk and Uncertainty 29, 3, 261-276, 2004) K. Dachraoui
G. Dionne
L. Eeckhoudt
P. Godfroid

03-03

Valuing Credit Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework (Journal of Futures Markets 24, 1, 3-35, 2004)Matlab codes for pricing options on mean-reverting assets N. Tahani

03-04

Risk Management and Corporate Governance (Risk 17, 5, S19-S21, 2004) D. Blanchard
G. Dionne

03-05

Corporate Risk Management: A Model Based on Forward and Volatility Risk Premia (The Quarterly Review of Economics and Finance 44, 710-726, 2004) S. Lalancette
F. Leclerc
D. Turcotte

03-06

Modèle bayésien de tarification de l’assurance des flottes de véhicules (L’Actualité économique 80, 2-3, 253-303, 2004) J.F. Angers
D. Desjardins
G. Dionne

03-07

The (1992) Bonus-Malus System in Tunisia: An Empirical Evaluation (The Journal of Risk and Insurance 72, 4, 609-633, 2005) G. Dionne
O. Ghali

03-08

The Foundations of Banks’ Risk Regulation: A Review of the Literature (In: The Evolving Financial System and Public Policy, Actes de conférence, Banque du Canada, 177-215, December 2003) G. Dionne

2002

© Canada Research Chair in Risk Management, 2002

Number Title Authors

02-01

Statistical Analysis of Value-of-Life Estimates Using Hedonic Wage Method G. Dionne
P.C. Michaud

02-02

How to Make a Public Choice About the Value of a Statistical Life: The Case of Road Safety (Journal of Transport Economics and Policy 38, 2, 247-274, 2004) G. Dionne
P. Lanoie

02-03

Book Review of Risk Management (Journal of Risk and Insurance 69, 4, 605-610, 2002) H. Dahen
G. Dionne

02-04

Les déterminants du comportement des banques canadiennes en matière de titrisation (Assurances 70, 4, 649-676, 2003) R. Aqdim
G. Dionne
T. Harchaoui

02-05

Optimal Auditing for Insurance Fraud (Management Science 55, 58-70, 2009) G. Dionne
F. Giuliano
P. Picard

02-06

Traffic Safety Diagnostic and Application of Countermeasures for Rural Roads in Burkina Faso (Transportation Research Record 1846, 2003, 39-43) D. Lord
H.M. Abdou
A. N’Zué
G. Dionne
C. Laberge-Nadeau

2001

© Canada Research Chair in Risk Management, 2001

Number Title Authors

01-01

Stochastic Dominance and Optimal Portfolio (Economics Letters 71, 347-354, 2001) K. Dachraoui
G. Dionne

01-02

Optimal Cognitive Processes for Lotteries Y. Alarie
G. Dionne

01-03

La perception du risque d’être arrêté chez les camionneurs et transporteurs routiers (Assurances 69, 1, 61-104, 2001) G. Dionne
D. Desjardins
M-G. Ingabire
R. Aqdim

01-04

Commitment and Automobile Insurance Regulation in France, Quebec and Japan (Deregulating Property-Liability Insurance, J.D. Cummins, Éd., AEI-Brookings, Washington, 362-390, 2001) G. Dionne

01-05

The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance (Une extension de cette version publiée dans The Review of Economics and Statistics 93, 1, 218-227) G. Dionne
M. Maurice
J. Pinquet
C. Vanasse

01-06

Pricing of automobile insurance in presence of asymmetric information : a study on panel data M. Dahchour
G. Dionne

01-07

Dynamics of Realized Volatility and Correlations : An Empirical Study Using Interest Rate Spread Options (Journal of Banking and Finance 30, 2109-2130, 2006) R. Ferland
S. Lalancette

01-08

Les assureurs français ont-ils intérêt à utiliser les points de permis pour tarifer l’assurance automobile? (Assurances 69, 3, 423-462, 2001) M. Dahchour

01-09

Un modèle de tarification optimal pour l’assurance automobile dans le cadre d’un marché réglementé: application à la Tunisie (Assurances 69, 4, 589-601, 2002) O. Ghali

01-10

Appariement de l’actif et du passif d’un assureur vie par l’utilisation de produits dérivés (Assurances 69, 4, 565-588, 2002) N. Laporte

2000

© Canada Research Chair in Risk Management, 2000

Number Title Authors

00-01

Replacement Cost Endorsement and Opportunistic Fraud in Automobile Insurance (Journal of Risk and Uncertainty, 213-230, 2002) G. Dionne
R. Gagné

00-02

Les déterminants de la gestion des risques par les entreprises non financières: une revue de la littérature (Assurances 67, 4, 596-636, 2000) J-A. Cliche

00-03

Experience Rating Schemes for Fleets of Vehicles (Astin Bulletin 31, 1, 81-106, 2001) D. Desjardins
G. Dionne
J. Pinquet

00-04

The Empirical Measure of Information Problems with Emphasis on Insurance Fraud (Handbook of Insurance, G. Dionne, Éd., Kluwer Academic Publishers, Boston, 395-419, 2000) G. Dionne

00-05

Adverse Selection in Insurance Markets (Handbook of Insurance, G. Dionne, Éd., Kluwer Academic Publishers, Boston, 185-243, 2000) G. Dionne
N. Doherty
N. Fombaron

00-06

L’importance de la procédure dans les choix de loterie (L’Actualité économique 76, 3, 321-340, 2000) Y. Alarie

00-07

Credit Spread Option Valuation under GARCH (Journal of Derivatives, 14, 1, 27-39, 2006) N. Tahani

00-08

Dynamic Financial Contract under Extended Liability B. Coestier

00-09

Une mesure empirique des déterminants qui affectent la gestion des risques des entreprises non financières (Assurances 68, 4, 475-492, 2001) G. Dionne
M. Garand

00-10

Comparative Mixed Risk Aversion K. Dachraoui
G. Dionne
L. Eeckhoudt
P. Godfroid

00-11

Risk Management Determinants Affecting Firms’ Values in the Gold Mining Industry: New Empirical Results (Economics Letters 79, 1, 43-52, 2003) G. Dionne
M. Garand

00-12

Optimal Financial Portfolio and Dependence of Risky Assets K. Dachraoui
G. Dionne

1999

© Canada Research Chair in Risk Management, 1999

Number Title Authors

99-01

Proper Risk Behavior K. Dachraoui
G. Dionne
L. Eeckhoudt
P. Godfroid

99-02

L’évaluation des risques d’accidents des transporteurs routiers: des résultats préliminaires (Assurances 67, 3, 449-477, 1999) G. Dionne
D. Desjardins
J. Pinquet

99-03

Capital Structures and Compensation Policies K. Dachraoui
G. Dionne

99-04

Full Pooling in Multi-Period Contracting with Adverse Selection and Noncommitment (Review of Economic Design, 5, 1, 1-21, 2000) G. Dionne
C. Fluet

99-05

Media Attention, Insurance Regulation and Liability Insurance Pricing (Journal of Risk and Insurance 67, 1, 39-74, 2000) M. M. Boyer

1998

© Canada Research Chair in Risk Management, 1998

Number Title Authors

98-01

Offre d’assurance non vie : une revue de la littérature récente (Encyclopédie de l’assurance, F. Ewald, J.H. Lorenzi, Éd., Economica, France, 1997, 1 533-1 558) G. Dionne

98-02

The Informational Content of Household Decisions with Applications to Insurance Under Adverse Selection (Journal of Political Economy 109, 2001, 444-453; version enrichie dans: Competitive Failures in Insurance Markets, P.A. Chiappori et C. Gollier, Eds, MIT Press Book, 159-184, 2006.) G. Dionne
C. Gouriéroux
C. Vanasse

98-03

Information Structure, Labour Contracts and the Strategic Use of Debt K. Dachraoui
G. Dionne

98-04

Over-Compensation as a Partial Solution to Commitment and Renegotiation Problems : the Case of Ex-Post Moral Hazard (Journal of Risk and Insurance 71, 559-582, 2004) M.M. Boyer

98-05

A Rationale for Borrowing More than Needed M.M. Boyer

98-06

Analysis of the Economic Impact of Medical and Optometric Driving Standards on Costs Incurred by Trucking Firms and on the Social Costs of Traffic Accidents (Automobile Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation, G. Dionne and C. Laberge-Nadeau, Éd., 323-351, 1999) G. Dionne
C. Laberge-Nadeau
D. Desjardins
S. Messier
U. Maag

98-07

The Estimation of Deposit Insurance with Interest Rate Risk (Journal of Empirical Finance 9, 109-132, 2002) J.C. Duan
J.G. Simonato

98-08

Portfolio Response to a Shift in a Return Distribution: Comment (Economic Letters 71, 347-354, 2001) K. Dachraoui
G. Dionne

98-09

Evidence of Adverse Selection in Automobile Insurance Markets (Automobile Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation, G. Dionne and C. Laberge-Nadeau, Éd., 13-46, 1999) G. Dionne
C. Gouriéroux
C. Vanasse

98-10

Réflexion sur l’optimalité des contrats d’assurance S. Spaeter

98-11

The Principal-Agent Relationship: Two Distributions Satisfying MLRP and CDFC (Economic Theory 21, 167-173, 2003 – avec M. LiCalzi) S. Spaeter

98-12

Environmental Risk and Extended Liability: The Case of Green Technologies (Journal of Public Economics 87, 5-6, 1025-1060, 2003) G. Dionne
S. Spaeter

98-13

Poll Subsidy and Excise Tax M.M. Boyer

98-14

An Analysis of the Title Insurance Industry (Journal of Insurance Regulation 17, 213-255, 1998) C. Nyce
M.M. Boyer

98-15

Internal Control Systems and Risk Management in the Life and Health Insurance Industry: Current issues (Assurances 67, 1, 61-85, 1999) P. André
D. Côté
R. Morissette

98-16

La mesure empirique des problèmes d’information (L’Actualité économique 74, 4, 585-606, 1998) G. Dionne

98-17

Some Remarks About the Probability Weighting Function (Journal of Risk and Uncertainty 22, 1, 21-33, 2001) Y. Alarie
G. Dionne

98-18

Le non-respect du code de la sécurité par les conducteurs professionnels en fonction des caractéristiques des individus, des transporteurs et de l’environnement routier G. Dionne
C. Laberge-Nadeau
U. Maag
D. Desjardins
S. Messier

1997

© Canada Research Chair in Risk Management, 1997

Number Title Authors

97-01

Assurance valeur à neuf et vols d’automobiles: une étude statistique (Assurances 65, 1, 49-62, 1997) L. Bujold
G. Dionne
R. Gagné

97-02

Analyse de l’effet des règles d’obtention d’un permis de conduire au Québec (1991) sur la sécurité routière (L’Actualité économique 75, 269-232, 1999, reproduced in Économie publique, N. Marceau, P. Pestieau, F. Vaillancourt, Éd., Economica, France, 2000) G. Dionne
C. Laberge-Nadeau
U. Maag
D. Desjardins
S. Messier

97-03

Risque de santé, médecine préventive et médecine curative (Revue d’Economie Politique 108, 3, 321-337, 1998) L. Eeckhoudt
P. Godfroid
M. Marchand

97-04

Développement d’un système expert de détection automatique de la fraude à l’assurance automobile (Assurances 67, 2, 251-274, 1999) E.B. Belhadji
G. Dionne

97-05

The Non-Optimality of Deductible Contracts Against Fraudulent Claims: An Empirical Evidence in Automobile Insurance (Review of Economics and Statistics 83, 2, 290-301, 2001) G. Dionne
R. Gagné

97-06

Development of an Expert System for the Automatic Detection of Automobile Insurance Fraud (Geneva Papers on Risk and Insurance Issues and Practice 25, 4, 517-538, 2000) E.B. Belhadji
G. Dionne

97-07

Le consentement à payer et les méthodes de réduction du risque P. Godfroid

97-08

Détermination des prix et des quantités d’équilibre contingents : application à des fonctions d’utilités usuelles P. Godfroid

97-09

Diffidence Theorem and State Dependent Preferences (Geneva Papers on Risk and Insurance Theory 26, 2, 139-154, 2001) G. Dionne
M.G. Ingabire

97-10

Insurance Taxation and Insurance Fraud (Journal of Public Economic Theory 2, 1, 2000, 101-134) M.M. Boyer

97-11

Increases in Risk and Optimal Portfolio G. Dionne
F. Gagnon
K. Dachraoui

1996

© Canada Research Chair in Risk Management, 1996

Number Title Authors

96-01

Corporate Insurance with Optimal Financial Contracting (Economic Theory 16, 1, 77-105, 2000) B. Caillaud
G. Dionne
B. Jullien

96-02

Insurance Fraud Estimation : More Evidence from the Quebec Automobile Insurance Industry (Assurances 64, 4, 567-578, 1997) L. Caron
G. Dionne

96-03

Une évaluation empirique de la nouvelle tarification de l’assurance automobile (1992) au Québec (L’Actualité économique 73, 1-2-3, 47-80, reproduced in Économétrie appliquée, C. Montmarquette, C. Gouriéroux, Ed., Economica, France, 1997) G. Dionne
C. Vanasse