Details about Didier Rulliere

Access statistics for papers by Didier Rulliere.

Last updated 2022-10-14. Update your information in the RePEc Author Service.

Short-id: pru63

Working Papers

2020

1. Asymptotic Domination of Sample Maxima
   Post-Print, HAL
   See also Journal Article Asymptotic domination of sample maxima, Statistics & Probability Letters, Elsevier (2020) (2020)

2019

2. On a construction of multivariate distributions given some multidimensional marginals
   Post-Print, HAL

2018

3. ASYMPTOTIC MULTIVARIATE EXPECTILES
   Working Papers, HAL
   Also in Papers, arXiv.org (2018) View citations (1)
4. Extremes for multivariate expectiles
   Post-Print, HAL View citations (2)
   See also Journal Article Extremes for multivariate expectiles, Statistics & Risk Modeling, De Gruyter (2018) (2018)

2017

5. A note on upper-patched generators for Archimedean copulas
   Post-Print, HAL View citations (4)
6. Gaussian processes for computer experiments
   Post-Print, HAL
7. Impact of dependence on some multivariate risk indicators
   Post-Print, HAL View citations (1)
   Also in Papers, arXiv.org (2015)
   See also Journal Article Impact of Dependence on Some Multivariate Risk Indicators, Methodology and Computing in Applied Probability, Springer (2017) View citations (1) (2017)
8. Multivariate extensions of expectiles risk measures
   Post-Print, HAL View citations (11)
   See also Journal Article Multivariate extensions of expectiles risk measures, Dependence Modeling, De Gruyter (2017) View citations (1) (2017)

2016

9. Estimation de la courbe d'actualisation par krigeage sous contraintes
   Working Papers, HAL
10. Kriging of financial term-structures
    Papers, arXiv.org View citations (13)
    Also in Post-Print, HAL (2016) View citations (13)
    See also Journal Article Kriging of financial term-structures, European Journal of Operational Research, Elsevier (2016) View citations (13) (2016)
11. On a capital allocation by minimizing multivariate risk indicators
    Post-Print, HAL
12. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
    Post-Print, HAL View citations (2)
    See also Journal Article On an asymmetric extension of multivariate Archimedean copulas based on quadratic form, Dependence Modeling, De Gruyter (2016) View citations (4) (2016)
13. On tail dependence coefficients of transformed multivariate Archimedean copulas
    Post-Print, HAL View citations (3)

2015

14. A risk management approach to capital allocation
    Working Papers, HAL View citations (7)
    Also in Papers, arXiv.org (2015) View citations (7)
15. Estimation of multivariate critical layers: Applications to rainfall data
    Post-Print, HAL View citations (2)

2013

16. An extension of Davis and Lo's contagion model
    Post-Print, HAL View citations (1)
    Also in Papers, arXiv.org (2010)
    See also Journal Article An extension of Davis and Lo's contagion model, Quantitative Finance, Taylor & Francis Journals (2013) View citations (3) (2013)
17. Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
    Post-Print, HAL View citations (9)
    See also Journal Article Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory, Insurance: Mathematics and Economics, Elsevier (2013) View citations (12) (2013)
18. Exploring or reducing noise? A global optimization algorithm in the presence of noise
    Post-Print, HAL View citations (1)
19. On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators
    Post-Print, HAL View citations (15)
    See also Journal Article On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators, Dependence Modeling, De Gruyter (2013) View citations (4) (2013)
20. The density of the ruin time for a renewal-reward process perturbed by a diffusion
    Post-Print, HAL

2012

21. Distortions of multivariate risk measures: a level-sets based approach
    Working Papers, HAL
22. Iterative Adjustment of Survival Functions by Composed Probability Distortions
    Post-Print, HAL
    See also Journal Article Iterative Adjustment of Survival Functions by Composed Probability Distortions, The Geneva Risk and Insurance Review, Palgrave Macmillan (2012) View citations (7) (2012)

2011

23. A note on the computation of an actuarial Waring formula in the finite-exchangeable case
    Working Papers, HAL
24. Agrégation d'informations et alternative au krigeage en environnement aléatoire
    Working Papers, HAL
25. On hyperbolic iterated distortions for the adjustment of survival functions
    Post-Print, HAL View citations (3)
26. Valuation of Portfolio Loss Derivatives in An Infectious Model
    Post-Print, HAL

2010

27. Les Générateurs de Scénarios Économiques: quelle utilisation en assurance ?
    Post-Print, HAL
28. Les générateurs de Scénarios Économiques: de la conception à la mesure de la qualité
    Post-Print, HAL View citations (1)

2009

29. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Post-Print, HAL View citations (4)
    See also Journal Article Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes, Insurance: Mathematics and Economics, Elsevier (2009) View citations (3) (2009)
30. Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?
    Papers, arXiv.org
31. Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique
    Working Papers, HAL
32. Un algorithme d'optimisation par exploration sélective
    Working Papers, HAL

2008

33. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Post-Print, HAL View citations (8)
    See also Journal Article Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin, Insurance: Mathematics and Economics, Elsevier (2008) View citations (8) (2008)

2005

34. The win-first probability under interest force
    Post-Print, HAL View citations (3)
    See also Journal Article The win-first probability under interest force, Insurance: Mathematics and Economics, Elsevier (2005) View citations (2) (2005)

2004

35. A link between wave governed random motions and ruin processes
    Post-Print, HAL View citations (15)
    See also Journal Article A link between wave governed random motions and ruin processes, Insurance: Mathematics and Economics, Elsevier (2004) View citations (24) (2004)
36. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
    Post-Print, HAL View citations (9)
    See also Journal Article Another look at the Picard-Lefevre formula for finite-time ruin probabilities, Insurance: Mathematics and Economics, Elsevier (2004) View citations (23) (2004)

1998

37. Estimation de probabilités de changement d'état en présence de données incomplètes et applications actuarielles
    Post-Print, HAL

1997

38. Généralisation de l'estimateur de Kaplan-Meier d'une loi de durée de maintien en présence d'observations tronquées à gauche. Extension à l'étude conjointe de deux durées de maintien
    Post-Print, HAL

Journal Articles

2021

1. Dependence structure estimation using Copula Recursive Trees
   Journal of Multivariate Analysis, 2021, 185, (C) View citations (1)

2020

2. Asymptotic domination of sample maxima
   Statistics & Probability Letters, 2020, 160, (C)
   See also Working Paper Asymptotic Domination of Sample Maxima, Post-Print (2020) (2020)

2018

3. Extremes for multivariate expectiles
   Statistics & Risk Modeling, 2018, 35, (3-4), 111-140
   See also Working Paper Extremes for multivariate expectiles, Post-Print (2018) View citations (2) (2018)
4. Spatial Expectile Predictions for Elliptical Random Fields
   Methodology and Computing in Applied Probability, 2018, 20, (2), 643-671

2017

5. Impact of Dependence on Some Multivariate Risk Indicators
   Methodology and Computing in Applied Probability, 2017, 19, (2), 395-427 View citations (1)
   See also Working Paper Impact of dependence on some multivariate risk indicators, Post-Print (2017) View citations (1) (2017)
6. Multivariate extensions of expectiles risk measures
   Dependence Modeling, 2017, 5, (1), 20-44 View citations (1)
   See also Working Paper Multivariate extensions of expectiles risk measures, Post-Print (2017) View citations (11) (2017)
7. Quantile predictions for elliptical random fields
   Journal of Multivariate Analysis, 2017, 159, (C), 1-17 View citations (1)

2016

8. Kriging of financial term-structures
   European Journal of Operational Research, 2016, 255, (2), 631-648 View citations (13)
   See also Working Paper Kriging of financial term-structures, Papers (2016) View citations (13) (2016)
9. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
   Dependence Modeling, 2016, 4, (1), 20 View citations (4)
   See also Working Paper On an asymmetric extension of multivariate Archimedean copulas based on quadratic form, Post-Print (2016) View citations (2) (2016)

2013

10. An extension of Davis and Lo's contagion model
    Quantitative Finance, 2013, 13, (3), 407-420 View citations (3)
    See also Working Paper An extension of Davis and Lo's contagion model, Post-Print (2013) View citations (1) (2013)
11. Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory
    Insurance: Mathematics and Economics, 2013, 53, (1), 190-205 View citations (12)
    See also Working Paper Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory, Post-Print (2013) View citations (9) (2013)
12. On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
    Dependence Modeling, 2013, 1, (2013), 1-36 View citations (4)
    See also Working Paper On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators, Post-Print (2013) View citations (15) (2013)

2012

13. Iterative Adjustment of Survival Functions by Composed Probability Distortions
    The Geneva Risk and Insurance Review, 2012, 37, (2), 156-179 View citations (7)
    See also Working Paper Iterative Adjustment of Survival Functions by Composed Probability Distortions, Post-Print (2012) (2012)

2009

14. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Insurance: Mathematics and Economics, 2009, 45, (3), 374-381 View citations (3)
    See also Working Paper Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes, Post-Print (2009) View citations (4) (2009)

2008

15. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Insurance: Mathematics and Economics, 2008, 42, (2), 746-762 View citations (8)
    See also Working Paper Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin, Post-Print (2008) View citations (8) (2008)

2005

16. The win-first probability under interest force
    Insurance: Mathematics and Economics, 2005, 37, (3), 421-442 View citations (2)
    See also Working Paper The win-first probability under interest force, Post-Print (2005) View citations (3) (2005)

2004

17. A link between wave governed random motions and ruin processes
    Insurance: Mathematics and Economics, 2004, 35, (2), 205-222 View citations (24)
    See also Working Paper A link between wave governed random motions and ruin processes, Post-Print (2004) View citations (15) (2004)
18. Another look at the Picard-Lefevre formula for finite-time ruin probabilities
    Insurance: Mathematics and Economics, 2004, 35, (2), 187-203 View citations (23)
    See also Working Paper Another look at the Picard-Lefèvre formula for finite-time ruin probabilities, Post-Print (2004) View citations (9) (2004)