H. Albrecher, C. Hipp, and D. Kortschak, Higher-order expansions for compound distributions and ruin probabilities with subexponential claims, Scandinavian Actuarial Journal, vol.41, issue.2, pp.105-135, 2010.
DOI : 10.1007/BF01193324

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.576.8063

M. Alink, M. V. Löwe, and . Wüthrich, Diversification of aggregate dependent risks, Insurance: Mathematics and Economics, vol.35, issue.1, pp.77-95, 2004.
DOI : 10.1016/j.insmatheco.2004.05.001

A. Barbe, C. Fougères, and . Genest, On the Tail Behavior of Sums of Dependent Risks, ASTIN Bulletin, vol.2, issue.02, pp.361-373, 2006.
DOI : 10.1016/0167-7152(89)90123-5

URL : https://hal.archives-ouvertes.fr/hal-00097051

B. Basrak, R. Davis, and T. Mikosch, A characterization of multivariate regular variation, The Annals of Applied Probability, vol.12, issue.3, pp.908-920, 2002.
DOI : 10.1214/aoap/1031863174

N. H. Bingham, C. M. Goldie, and J. L. Teugels, Regular variation, volume 27 of Encyclopedia of Mathematics and its Applications, 1989.

J. Boman and F. Lindskog, Support Theorems for the Radon Transform and Cram??r-Wold Theorems, Journal of Theoretical Probability, vol.18, issue.3, pp.683-710, 2009.
DOI : 10.1007/s10959-008-0151-0

URL : http://arxiv.org/abs/0802.4373

R. Bürgi, M. Dacorogna, and R. Iles, Risk Aggregation, Dependence Structure and Diversification Benefit, Stress testing for financial institutions, pp.265-306, 2008.
DOI : 10.2139/ssrn.1468526

M. Dacorogna, L. Elbahtouri, and M. Kratz, Explicit Diversification Benefit for Dependent Risks, SSRN Electronic Journal
DOI : 10.2139/ssrn.2716093

URL : https://hal.archives-ouvertes.fr/hal-01256869

B. Das and S. I. Resnick, Models with hidden regular variation: Generation and detection, Stochastic Systems, vol.5, issue.2, pp.195-238
DOI : 10.1214/14-SSY141

URL : https://doaj.org/article/c2a3417e805b42f98ca663a65f2dd443

L. De-haan, On regular variation and its applications to the weak convergence of sample extremes, Mathematical Centre Tracts, vol.32, 1970.

L. De-haan and A. Ferreira, Extreme Value Theory: An Introduction, 2006.
DOI : 10.1007/0-387-34471-3

L. De-haan and S. I. Resnick, Estimating the limit distribution of multivariate extremes, Communications in Statistics. Stochastic Models, vol.23, issue.2, pp.275-309, 1993.
DOI : 10.1016/0047-259X(79)90079-4

M. Degen and P. Embrechts, Scaling of High-Quantile Estimators, Journal of Applied Probability, vol.2, issue.04, pp.968-983, 2011.
DOI : 10.1007/s00362-008-0128-1

M. Degen, D. Lambrigger, and J. Segers, Risk concentration and diversification: Second-order properties, Insurance: Mathematics and Economics, vol.46, issue.3, pp.541-546, 2010.
DOI : 10.1016/j.insmatheco.2010.01.011

URL : http://arxiv.org/abs/0910.2367

P. Embrechts, C. Klüppelberg, and T. Mikosch, Modelling Extreme Events for Insurance and Finance, 1997.

P. Embrechts, A. Mcneil, and D. Straumann, Correlation and dependence in risk management: B. Das and M. Kratz properties and pitfalls, Risk Management: Value at Risk and Beyond, pp.176-223, 2002.

P. Embrechts, D. Lambrigger, and M. Wüthrich, Multivariate extremes and the aggregation of dependent risks: examples and counter-examples, Extremes, vol.42, issue.1, pp.107-127, 2009.
DOI : 10.1007/s10687-008-0071-5

S. Emmer, M. Kratz, and D. Tasche, What is the best risk measure in practice? A comparison of standard measures, The Journal of Risk, vol.18, issue.2, pp.31-60, 2015.
DOI : 10.21314/JOR.2015.318

URL : https://hal.archives-ouvertes.fr/hal-00921283

L. Hua and H. Joe, Second order regular variation and conditional tail expectation of multiple risks, Insurance: Mathematics and Economics, vol.49, issue.3, pp.537-546, 2011.
DOI : 10.1016/j.insmatheco.2011.08.013

H. Hult and F. Lindskog, On Kesten's counterexample to the Cramér-Wold device for regular variation, Bernoulli, vol.12, issue.1, pp.133-142, 2006.

R. Ibragimov, D. Jaffee, and J. Walden, Diversification disasters, Journal of Financial Economics, vol.99, issue.2, pp.333-348, 2011.
DOI : 10.1016/j.jfineco.2010.08.015

D. Kortschak, Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks, Extremes, vol.5, issue.4, pp.353-388, 2012.
DOI : 10.1007/s10687-011-0142-x

M. Kratz, Normex, a new method for evaluating the distribution of aggregated heavy tailed risks. application to risk measures, Extremes. Special issue on Extremes and Finance, vol.17, issue.4, pp.661-691, 2014.

T. Mao and T. Hu, Second-order properties of risk concentrations without the condition of asymptotic smoothness, Extremes, vol.46, issue.4, pp.383-405, 2013.
DOI : 10.1007/s10687-012-0164-z

E. Omey and E. Willekens, Second order behaviour of the tail of a subordinated probability distribution, Stochastic Processes and their Applications, pp.339-353, 1986.
DOI : 10.1016/0304-4149(86)90105-5

L. Peng, R. Wang, and J. Yang, Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities, Finance and Stochastics, vol.17, issue.2, pp.395-417, 2013.

G. Puccetti and L. Rüschendorf, Sharp bounds for sums of dependent risks, Journal of Applied Probability, vol.50, issue.1, pp.42-53, 2013.
DOI : 10.1239/jap/1363784423

S. I. Resnick, Hidden regular variation, second order regular variation and asymptotic independence, Extremes, vol.5, issue.4, pp.303-336, 2002.
DOI : 10.1023/A:1025148622954

S. I. Resnick, Heavy Tail Phenomena: Probabilistic and Statistical Modeling, Series in Operations Research and Financial Engineering, 2007.

S. I. Resnick, Extreme Values, Regular Variation and Point Processes. Springer Series in Operations Research and Financial Engineering, 2008.
DOI : 10.1007/978-0-387-75953-1

Y. Sun and H. Li, Tail approximation of value-at-risk under multivariate regular variation, Int. J. Oper. Res. (Taichung), vol.7, issue.4, pp.34-44, 2010.

D. Tasche, Capital allocation to business units and sub-portfolios: the Euler principle Pillar II in the New Basel Accord: The Challenge of Economic Capital, pp.423-453, 2008.

B. Tong, C. Wu, and W. Xu, Risk concentration of aggregated dependent risks: The second-order properties, Insurance: Mathematics and Economics, vol.50, issue.1, pp.139-149, 2012.
DOI : 10.1016/j.insmatheco.2011.11.002

W. Vervaat, Functional central limit theorems for processes with positive drift and their inverses, Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete, pp.245-253, 1971.
DOI : 10.1007/BF00532510

G. B. Weller and D. Cooley, A sum characterization of hidden regular variation with likelihood inference via expectation-maximization, Biometrika, vol.101, issue.1, pp.17-36, 2014.
DOI : 10.1093/biomet/ast046