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Details about Didier Rulliere

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Homepage:https://www.researchgate.net/profile/Didier_Rulliere
Workplace:Institut de Science Financière et d'Assurances (École ISFA) (French School of Actuarial and Management Studies), Université Claude Bernard (Lyon 1) (Claude Bernanrd University of Lyon), (more information at EDIRC)

Access statistics for papers by Didier Rulliere.

Last updated 2019-09-18. Update your information in the RePEc Author Service.

Short-id: pru63


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Working Papers

2019

  1. ASYMPTOTIC DOMINATION OF SAMPLE MAXIMA
    Working Papers, HAL Downloads
  2. On a construction of multivariate distributions given some multidimensional marginals
    Post-Print, HAL Downloads

2018

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

2017

  1. A note on upper-patched generators for Archimedean copulas
    Post-Print, HAL Downloads View citations (1)
  2. Gaussian processes for computer experiments
    Post-Print, HAL Downloads
  3. Impact of dependence on some multivariate risk indicators
    Post-Print, HAL Downloads
    Also in Papers, arXiv.org (2015) Downloads
  4. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES
    Post-Print, HAL Downloads View citations (2)
    Also in Post-Print, HAL (2017) View citations (2)

    See also Journal Article in Dependence Modeling (2017)

2016

  1. Estimation de la courbe d'actualisation par krigeage sous contraintes
    Working Papers, HAL Downloads
  2. Kriging of financial term-structures
    Post-Print, HAL Downloads View citations (3)
    Also in Papers, arXiv.org (2016) Downloads View citations (3)

    See also Journal Article in European Journal of Operational Research (2016)
  3. On a capital allocation by minimization of some risk indicators
    Post-Print, HAL
  4. On a capital allocation by minimizing multivariate risk indicators
    Post-Print, HAL Downloads
  5. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Dependence Modeling (2016)
  6. On tail dependence coefficients of transformed multivariate Archimedean copulas
    Post-Print, HAL Downloads View citations (2)

2015

  1. A risk management approach to capital allocation
    Working Papers, HAL Downloads View citations (2)
    Also in Papers, arXiv.org (2015) Downloads View citations (5)
  2. Estimation of multivariate critical layers: Applications to rainfall data
    Post-Print, HAL Downloads View citations (2)

2013

  1. An extension of Davis and Lo's contagion model
    Post-Print, HAL Downloads View citations (1)
    Also in Papers, arXiv.org (2010) Downloads

    See also Journal Article in Quantitative Finance (2013)
  2. Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
    Post-Print, HAL Downloads View citations (9)
    See also Journal Article in Insurance: Mathematics and Economics (2013)
  3. Exploring or reducing noise? A global optimization algorithm in the presence of noise
    Post-Print, HAL Downloads
  4. On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators
    Post-Print, HAL Downloads View citations (12)
    See also Journal Article in Dependence Modeling (2013)
  5. The density of the ruin time for a renewal-reward process perturbed by a diffusion
    Post-Print, HAL Downloads

2012

  1. Distortions of multivariate risk measures: a level-sets based approach
    Working Papers, HAL Downloads
  2. Iterative Adjustment of Survival Functions by Composed Probability Distortions
    Post-Print, HAL Downloads
    See also Journal Article in The Geneva Risk and Insurance Review (2012)

2011

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

2010

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

2009

  1. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2009)
  2. Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?
    Papers, arXiv.org Downloads
  3. Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique
    Working Papers, HAL Downloads
  4. Un algorithme d'optimisation par exploration sélective
    Working Papers, HAL Downloads

2008

  1. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article in Insurance: Mathematics and Economics (2008)

2005

  1. The win-first probability under interest force
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2005)

2004

  1. A link between wave governed random motions and ruin processes
    Post-Print, HAL View citations (7)
    See also Journal Article in Insurance: Mathematics and Economics (2004)
  2. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
    Post-Print, HAL View citations (5)
    See also Journal Article in Insurance: Mathematics and Economics (2004)

1998

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

1997

  1. 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

2018

  1. Extremes for multivariate expectiles
    Statistics & Risk Modeling, 2018, 35, (3-4), 111-140 Downloads
    See also Working Paper (2018)

2017

  1. Multivariate extensions of expectiles risk measures
    Dependence Modeling, 2017, 5, (1), 20-44 Downloads
    See also Working Paper (2017)
  2. Quantile predictions for elliptical random fields
    Journal of Multivariate Analysis, 2017, 159, (C), 1-17 Downloads

2016

  1. Kriging of financial term-structures
    European Journal of Operational Research, 2016, 255, (2), 631-648 Downloads View citations (3)
    See also Working Paper (2016)
  2. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
    Dependence Modeling, 2016, 4, (1), 20 Downloads View citations (2)
    See also Working Paper (2016)

2013

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

2012

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

2009

  1. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Insurance: Mathematics and Economics, 2009, 45, (3), 374-381 Downloads View citations (1)
    See also Working Paper (2009)

2008

  1. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Insurance: Mathematics and Economics, 2008, 42, (2), 746-762 Downloads View citations (5)
    See also Working Paper (2008)

2005

  1. The win-first probability under interest force
    Insurance: Mathematics and Economics, 2005, 37, (3), 421-442 Downloads View citations (1)
    See also Working Paper (2005)

2004

  1. A link between wave governed random motions and ruin processes
    Insurance: Mathematics and Economics, 2004, 35, (2), 205-222 Downloads View citations (17)
    See also Working Paper (2004)
  2. Another look at the Picard-Lefevre formula for finite-time ruin probabilities
    Insurance: Mathematics and Economics, 2004, 35, (2), 187-203 Downloads View citations (19)
    See also Working Paper (2004)
 
Page updated 2019-10-10