For these high voltages and low power, I found that a transformer (or the inductor, if you use a non isolated boost) was too expensive so I used a converter with an output voltge which could cope with standard wire and transformer insulation, say 400 V, and then a diode-capacitor multiplier network. I added a 10Mohm resistor in parallel with every diode, so the output voltage is shared with the same value for every diode, regardeless of the leakage current.  If you use controlled avalance diodes you may omit this resistor. As a converter I used a small full bridge.

Full-bridge + voltage multiplier, proposed by Francesc Casanellas,  is a good solution the for low current output. You can simulate this solution for example with LTC 1922 by means LT Spice (see http://www.linear.com/designtools/software/).

Thank you for your answers