A complete list of contributions is available in the curriculum vitae.
Articles
Desjardins, D., Dionne, G., Lu, Y., Hierarchical random-effects model for insurance pricing of vehicles belonging to a fleet, Journal of Applied Econometrics 38, 2, 242-259, March 2023.
Fortin, A.P., Simonato, J.G., Dionne, G., Forecasting expected shortfall: Should we use a multivariate model for stock market factors?, International Journal of Forecasting 39, 1, 314-331, January-March 2023.
Desjardins, D., Dionne, G., Koné, N., “Reinsurance demand and liquidity creation: A search for bicausality,” Journal of Empirical Finance 66, 137-154, January 2022.
Cenesizoglu, T., Dionne, G., Zhou, X., “Asymmetric effects of the limit order book on price dynamics,” Journal of Empirical Finance 65, 77-98, December 2021.
Dionne, G., Liu, Y., “Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China,” Scandinavian Journal of Economics 123, 2, 453–477, April 2021.
Akari, M.A., Ben-Abdallah, R., Breton, M., Dionne, G., “The Impact of Central Clearing on the Market for Single-Name Credit Default Swaps,” North American Journal of Economics and Finance 56, no 101346, April 2021.
Dionne, G., Zhou, X., “The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis,” Quantitative Finance 20, 4, 593-617, March 2020.
Angers, J.F., Desjardins, D., Dionne, G., Guertin, J.F., “Modelling and Estimating Individual and Firm Effects with Count Panel Data,” Astin Bulletin 48, 1049-1078, September 2018.
Dionne, G., Gueyie, J.P., Mnasri, M., “Dynamic Corporate Risk Management: Motivations and Real Implications,” Journal of Banking and Finance 95, 97-111, September 2018.
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., 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, July 2013.
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., 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., 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., “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.
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.
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., Corporate Risk Management: Theories and Applications, John Wiley & Sons, 384 pages, 2019.
Dionne, G., Gestion des risques : théories et applications, Economica, France, 432 pages, 2017.
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.
2023
© Canada Research Chair in Risk Management, 2023
| Number | Title | Authors |
| 23-01 | Consolidation of the US property and casualty insurance industry: Is climate risk a causal factor for mergers and acquisitions? | G. Dionne A. Fenou M. Mnasri |
| 23-02 | Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation (forthcoming in Journal of Risk) | S. Saissi Hassani G. Dionne |
| 23-03 | Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers | G. Dionne R. El Hraiki M. Mnasri |
2022
© Canada Research Chair in Risk Management, 2022
| Number | Title | Authors |
| 22-01 | Précisions importantes sur le backtesting comparatif de la VaR | S. Saissi-Hassani |
| 22-02 | A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses (Risk Management and Insurance Review 25, 4, 515-549, December 2022) | G. Dionne D. Desjardins |
| 22-03 | Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation | S. Saissi-Hassani G. Dionne |
| 22-04 | Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry | G. Dionne R. El Hraiki M. Mnasri |
| 22-05 | The Profitability of Lead-Lag Arbitrage at High-Frequency-05 | C. Poutré G. Dionne G. Yergeau |
2021
© Canada Research Chair in Risk Management, 2021
| Number | Title | Authors |
| 21-01 | The new international regulation of market risk: Roles of VaR and CVaR in model validation (French version published in Insurance and Risk Management 87, 3-4, 169-207, January 2021) | S. Saissi-Hassani G. Dionne |
| 21-02 | Hierarchical random-effects model for insurance pricing of vehicles belonging to a fleet (Journal of Applied Econometrics 38, 2, 242-259, March 2023) | D. Desjardins G. Dionne Y. Lu |
| 21-03 | Road safety for fleets of vehicles (International Journal of Banking, Finance and Insurance Technologies 1, 1, 31-59, October 2021) | G. Dionne D. Desjardins J.F. Angers |
| 21-04 | International High-Frequency Arbitrage for Cross-Listed Stocks | C. Poutré G. Dionne G. Yergeau |
2020
© Canada Research Chair in Risk Management, 2020
| Number | Title | Authors |
| 20-01 | Reinsurance demand and liquidity creation: A search for bicausality (Journal of Empirical Finance 66, 137-154, January 2022) | D. Desjardins G. Dionne N. Koné |
| 20-02 | Sécurité routière des flottes et des conducteurs de véhicules lourds (L’Actualité économique 96, 3, September 2020) | G. Dionne D. Desjardins J.F. Angers |
| 20-03 | The new international regulation of market risk: Roles of VaR and CVaR in model validation (Insurance and Risk Management 87, 3-4, 169-207, January 2021) | S. Saissi-Hassani G. Dionne |
| 20-04 | Deep limit order book events dynamics | Y. Bilodeau |
2019
© Canada Research Chair in Risk Management, 2019
| Number | Title | Authors |
| 19-01 | Nonparametric testing for information asymmetry in the mortgage servicing market | H. Jedidi G. Dionne |
| 19-02 | Coherent diversification measures in portfolio theory: An axiomatic foundation (Risks 10: 205) |
G.B. Koumou G. Dionne |
| 19-03 | Information environments and high price impact trades: Implication for volatility and price efficiency | G. Dionne X. Zhou |
| 19-04 | The CDS-bond basis: Negativity persistence and limits to arbitrage | S. Guesmi R. Ben-Abdallah M. Breton G. Dionne |
2018
© Canada Research Chair in Risk Management, 2018
| Number | Title | Authors |
| 18-01 |
The impact of central clearing on the market for single-name credit default swaps (North American Journal of Economics and Finance 56, no 101346, 2021)
|
M.A. Akari R. Ben-Abdallah M. Breton G. Dionne |
| 18-02 | Machine learning and high-frequency algorithms during batch auctions | G. Yergeau |
| 18-03 | C. Anténor-Habazac G. Dionne S. Guesmi |
| 18-04 |
Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors? (International Journal of Forecasting 39, 1, 314-331, January-March 2023)
|
A.P. Fortin J.G. Simonato G. Dionne |
| 18-05 | Real implications of corporate risk management: Review of main results and new evidence from a different methodology (L’actualité économique 94, 407-452, December 2018) | G. Dionne M. Mnasri |
| 18-06 | G. Dionne G.B. Koumou |
| 18-07 | The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge (Risk Management and Insurance Review 22, 247-277, October 2019) | G. Dionne O. Maalaoui Chun T. Triki |
2017
© Canada Research Chair in Risk Management, 2017
| Number | Title | Authors |
| 17-01 |
Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China
(Scandinavian Journal of Economics 123, 2, 453–477, April 2021) |
G. Dionne Y. Liu |
| 17-02 |
Insurance and Insurance Markets (in: Handbook of the Economics of Risk and Uncertainty, 1st Edition, W.K. Viscusi and M. Machina (Eds.), North Holland, Amsterdam, 203-261, 2014)
|
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 (Journal of Banking and Finance 95, 97-111, September 2018) | 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 (Quantitative Finance 20, 4, 593-617, March 2020) |
G. Dionne X. Zhou |
| 16-05 | Asymmetric Effects of the Limit Order Book on Price Dynamics (Journal of Empirical Finance 65, 77-98, 2022) | 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 (Astin Bulletin 48, 1049-1078, September 2018) | 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 (Risks, https://www.mdpi.com/2227-9091/5/4/55/pdf) | G. Dionne S. Malekan |
| 15-05 | The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis | G. Dionne X. Zhou |
| 15-06 | Policy Making and Climate Risk Insurability: How can (Re)Insurers Contribute to Economic Resilience in climate Risk Events? | G. Dionne |
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 (Risks 2018, 6, 8, doi:10.3390/risks6010008) | 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 (Forthcoming in The Geneva Risk and Insurance Review under the title: An Alternative Representation of the C-CAPM with Higher-Order Risks) | 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 (Geneva Papers on Risk and Insurance – Issues and Practice 46, 177-199, March 2021) | 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
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
2004
© Canada Research Chair in Risk Management, 2004
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
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 |