# Didier Rulliere

## Personal Details

First Name: | Didier |

Middle Name: | |

Last Name: | Rulliere |

Suffix: | |

RePEc Short-ID: | pru63 |

https://www.researchgate.net/profile/Didier_Rulliere | |

## Affiliation

### Institut de Science Financière et d'Assurances (École ISFA)

Université Claude Bernard (Lyon 1)

Lyon, Francehttp://isfa.univ-lyon1.fr/

: + 33 4 37 28 74 30

+33 4 37 28 76 32

50 avenue Tony Garnier, F-69700 Lyon

RePEc:edi:isly1fr (more details at EDIRC)

## Research output

Jump to: Working papers Articles### Working papers

- François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017.
"
**Gaussian processes for computer experiments**," Post-Print hal-01665936, HAL. - Nabil Kazi-Tani & Didier Rullière, 2017.
"
**On a construction of multivariate distributions given some multidimensional marginals**," Working Papers hal-01575169, HAL. - Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017.
"
**Multivariate extensions of expectiles risk measures**," Post-Print hal-01478930, HAL.- Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017.
"
**Multivariate extensions of expectiles risk measures**," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017.
"
**Multivariate Extensions Of Expectiles Risk Measures**," Post-Print hal-01367277, HAL.

- Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017.
"
- Elena Di Bernardino & Didier Rullière, 2017.
"
**A note on upper-patched generators for Archimedean copulas**," Post-Print hal-01347869, HAL. - V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2017.
"
**Asymptotic multivariate expectiles**," Papers 1704.07152, arXiv.org, revised Jan 2018.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018.
"
**Asymptotic Multivariate Expectiles**," Working Papers hal-01509963, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018.
"
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**On a capital allocation by minimization of some risk indicators**," Post-Print hal-01282679, HAL. - Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.- Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.

- Di Bernardino Elena & Rullière Didier, 2016.
"
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**On capital allocation by minimizing multivariate risk indicators**," Post-Print hal-01082559, HAL. - Elena Di Bernardino & Didier Rullière, 2016.
"
**On tail dependence coefficients of transformed multivariate Archimedean copulas**," Post-Print hal-00992707, HAL. - Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
**Kriging of financial term-structures**," Papers 1604.02237, arXiv.org.- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
**Kriging of financial term-structures**," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.

- Areski Cousin & Hassan Maatouk & Didier Rullière, 2016.
"
**Kriging of financial term-structures**," Post-Print hal-01206388, HAL.

- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
- Areski Cousin & Hassan Maatouk & Didier Rullière, 2016.
"
**Estimation de la courbe d'actualisation par krigeage sous contraintes**," Working Papers hal-01422365, HAL. - V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Papers 1506.04125, arXiv.org.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Working Papers hal-01163180, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**Impact of dependence on some multivariate risk indicators**," Papers 1507.01175, arXiv.org.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**Impact of dependence on some multivariate risk indicators**," Post-Print hal-01171395, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
- Elena Di Bernardino & Didier Rullière, 2015.
"
**Estimation of multivariate critical layers: Applications to rainfall data**," Post-Print hal-00940089, HAL. - Didier Rullière & Alaeddine Faleh & Frédéric Planchet & Wassim Youssef, 2013.
"
**Exploring or reducing noise? A global optimization algorithm in the presence of noise**," Post-Print hal-00759677, HAL. - Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013.
"
**The density of the ruin time for a renewal-reward process perturbed by a diffusion**," Post-Print hal-00625099, HAL. - Elena Di Bernardino & Didier Rullière, 2013.
"
**On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators**," Post-Print hal-00834000, HAL.- Di Bernardino Elena & Rullière Didier, 2013.
"
**On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators**," Dependence Modeling, De Gruyter, vol. 1, pages 1-36, October.

- Di Bernardino Elena & Rullière Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory**," Post-Print hal-00750873, HAL.- Di Bernardino, Elena & Rullière, Didier, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.

- Di Bernardino, Elena & Rullière, Didier, 2013.
"
- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," Post-Print hal-00665890, HAL.- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.

- Alexis Bienvenüe & Didier Rullière, 2012.
"
- Elena Di Bernardino & Didier Rullière, 2012.
"
**Distortions of multivariate risk measures: a level-sets based approach**," Working Papers hal-00756387, HAL. - Pierre Ribereau & Didier Rullière, 2011.
"
**Agrégation d'informations et alternative au krigeage en environnement aléatoire**," Working Papers hal-00575604, HAL. - Areski Cousin & Diana Dorobantu & Didier Rullière, 2011.
"
**Valuation of Portfolio Loss Derivatives in An Infectious Model**," Post-Print hal-00665027, HAL. - Areski Cousin & Diana Dorobantu & Didier Rullière, 2011.
"
**A note on the computation of an actuarial Waring formula in the finite-exchangeable case**," Working Papers hal-00557751, HAL. - Alexis Bienvenüe & Didier Rullière, 2011.
"
**On hyperbolic iterated distortions for the adjustment of survival functions**," Post-Print hal-00665349, HAL. - Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010.
"
**Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité**," Post-Print hal-00530868, HAL. - Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010.
"
**Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?**," Post-Print hal-00433037, HAL. - Didier Rullière & Alaeddine Faleh & Frédéric Planchet, 2009.
"
**Un algorithme d'optimisation par exploration sélective**," Working Papers hal-00411406, HAL. - Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
**An extension of Davis and Lo's contagion model**," Papers 0904.1653, arXiv.org, revised Feb 2010.- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
**An extension of Davis and Lo's contagion model**," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.

- Didier Rullière & Diana Dorobantu & Areski Cousin, 2013.
"
**An extension of Davis and Lo's contagion model**," Post-Print hal-00374367, HAL.

- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
- Alexis Bienvenüe & Didier Rullière, 2009.
"
**Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique**," Working Papers hal-00395495, HAL. - Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere, 2009.
"
**Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?**," Papers 0911.3472, arXiv.org. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00168716, HAL.- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.

- Stéphane Loisel, 2007.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00397269, HAL.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Post-Print hal-00168714, HAL.- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

- Rulliere, Didier & Loisel, Stephane, 2005.
"
- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.- Rulliere, Didier & Loisel, Stephane, 2004.
"
**Another look at the Picard-Lefevre formula for finite-time ruin probabilities**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.

- Rulliere, Didier & Loisel, Stephane, 2004.
"
- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.- Mazza, Christian & Rulliere, Didier, 2004.
"
**A link between wave governed random motions and ruin processes**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.

- Mazza, Christian & Rulliere, Didier, 2004.
"
- Didier Rullière & Daniel Serant, 1998.
"
**Estimation de probabilités de changement d'état en présence de données incomplètes et applications actuarielles**," Post-Print hal-00412983, HAL. - Didier Rullière & Daniel Serant, 1997.
"
**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-00412981, HAL.

### Articles

- Maume-Deschamps, V. & Rullière, D. & Usseglio-Carleve, A., 2017.
"
**Quantile predictions for elliptical random fields**," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 1-17. - Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017.
"
**Multivariate extensions of expectiles risk measures**," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017.
"
**Multivariate extensions of expectiles risk measures**," Post-Print hal-01478930, HAL. - Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017.
"
**Multivariate Extensions Of Expectiles Risk Measures**," Post-Print hal-01367277, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017.
"
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
**Kriging of financial term-structures**," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
**Kriging of financial term-structures**," Papers 1604.02237, arXiv.org. - Areski Cousin & Hassan Maatouk & Didier Rullière, 2016.
"
**Kriging of financial term-structures**," Post-Print hal-01206388, HAL.

- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
- Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.- Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.

- Elena Di Bernardino & Didier Rullière, 2016.
"
- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
**An extension of Davis and Lo's contagion model**," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
**An extension of Davis and Lo's contagion model**," Papers 0904.1653, arXiv.org, revised Feb 2010. - Didier Rullière & Diana Dorobantu & Areski Cousin, 2013.
"
**An extension of Davis and Lo's contagion model**," Post-Print hal-00374367, HAL.

- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
- Di Bernardino Elena & Rullière Didier, 2013.
"
**On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators**," Dependence Modeling, De Gruyter, vol. 1, pages 1-36, October.- Elena Di Bernardino & Didier Rullière, 2013.
"
**On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators**," Post-Print hal-00834000, HAL.

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Di Bernardino, Elena & Rullière, Didier, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.- Elena Di Bernardino & Didier Rullière, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory**," Post-Print hal-00750873, HAL.

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," Post-Print hal-00665890, HAL.

- Alexis Bienvenüe & Didier Rullière, 2012.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel, 2007.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"

- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.

- Didier Rullière & Stéphane Loisel, 2005.
"
- Rulliere, Didier & Loisel, Stephane, 2004.
"
**Another look at the Picard-Lefevre formula for finite-time ruin probabilities**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.

- Didier Rullière & Stéphane Loisel, 2004.
"
- Mazza, Christian & Rulliere, Didier, 2004.
"
**A link between wave governed random motions and ruin processes**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.

- Christian Mazza & Didier Rullière, 2004.
"

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Working papers

- Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.- Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.

Cited by:

- Nabil Kazi-Tani & Didier Rullière, 2017.
"
**On a construction of multivariate distributions given some multidimensional marginals**," Working Papers hal-01575169, HAL.

- Di Bernardino Elena & Rullière Didier, 2016.
"
- Elena Di Bernardino & Didier Rullière, 2016.
"
**On tail dependence coefficients of transformed multivariate Archimedean copulas**," Post-Print hal-00992707, HAL.Cited by:

- Elena Di Bernardino & Didier Rullière, 2017.
"
**A note on upper-patched generators for Archimedean copulas**," Post-Print hal-01347869, HAL. - Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017.
"
**A novel multivariate risk measure: the Kendall VaR**," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.

- Elena Di Bernardino & Didier Rullière, 2017.
"
- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
**Kriging of financial term-structures**," Papers 1604.02237, arXiv.org.- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
**Kriging of financial term-structures**," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.

- Areski Cousin & Hassan Maatouk & Didier Rullière, 2016.
"
**Kriging of financial term-structures**," Post-Print hal-01206388, HAL.

Cited by:

- François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017.
"
**Gaussian processes for computer experiments**," Post-Print hal-01665936, HAL.

- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Papers 1506.04125, arXiv.org.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Working Papers hal-01163180, HAL.

Cited by:

- Ivan Granito & Paolo De Angelis, 2015.
"
**Capital allocation and risk appetite under Solvency II framework**," Papers 1511.02934, arXiv.org. - V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**Impact of dependence on some multivariate risk indicators**," Papers 1507.01175, arXiv.org.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**Impact of dependence on some multivariate risk indicators**," Post-Print hal-01171395, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
- Elena Di Bernardino & Didier Rullière, 2015.
"
**Estimation of multivariate critical layers: Applications to rainfall data**," Post-Print hal-00940089, HAL.Cited by:

- Elena Di Bernardino & Didier Rullière, 2017.
"
**A note on upper-patched generators for Archimedean copulas**," Post-Print hal-01347869, HAL.

- Elena Di Bernardino & Didier Rullière, 2017.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"
**On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators**," Post-Print hal-00834000, HAL.- Di Bernardino Elena & Rullière Didier, 2013.
"
**On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators**," Dependence Modeling, De Gruyter, vol. 1, pages 1-36, October.

Cited by:

- Elena Di Bernardino & Didier Rullière, 2017.
"
**A note on upper-patched generators for Archimedean copulas**," Post-Print hal-01347869, HAL. - Fabrizio Durante & Ostap Okhrin, 2014.
"
**Estimation procedures for exchangeable Marshall copulas with hydrological application**," SFB 649 Discussion Papers SFB649DP2014-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.- Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.

- Elena Di Bernardino & Didier Rullière, 2016.
"
- Elena Di Bernardino & Didier Rullière, 2015.
"
**Estimation of multivariate critical layers: Applications to rainfall data**," Post-Print hal-00940089, HAL. - Elena Di Bernardino & Didier Rullière, 2016.
"
**On tail dependence coefficients of transformed multivariate Archimedean copulas**," Post-Print hal-00992707, HAL. - Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014.
"
**Solution to an open problem about a transformation on the space of copulas**," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.

- Di Bernardino Elena & Rullière Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory**," Post-Print hal-00750873, HAL.- Di Bernardino, Elena & Rullière, Didier, 2013.
"
**Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.

Cited by:

- Elena Di Bernardino & Didier Rullière, 2017.
"
**A note on upper-patched generators for Archimedean copulas**," Post-Print hal-01347869, HAL. - Di Bernardino Elena & Rullière Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.- Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.

- Elena Di Bernardino & Didier Rullière, 2016.
"
- Elena Di Bernardino & Didier Rullière, 2015.
"
**Estimation of multivariate critical layers: Applications to rainfall data**," Post-Print hal-00940089, HAL. - Elena Di Bernardino & Didier Rullière, 2016.
"
**On tail dependence coefficients of transformed multivariate Archimedean copulas**," Post-Print hal-00992707, HAL.

- Di Bernardino, Elena & Rullière, Didier, 2013.
"
- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," Post-Print hal-00665890, HAL.- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.

Cited by:

- Di Bernardino Elena & Rullière Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Di Bernardino, Elena & Rullière, Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2012.
"
**Distortions of multivariate risk measures: a level-sets based approach**," Working Papers hal-00756387, HAL.

- Alexis Bienvenüe & Didier Rullière, 2012.
"
- Alexis Bienvenüe & Didier Rullière, 2011.
"
**On hyperbolic iterated distortions for the adjustment of survival functions**," Post-Print hal-00665349, HAL.Cited by:

- Di Bernardino Elena & Rullière Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Di Bernardino, Elena & Rullière, Didier, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Elena Di Bernardino & Didier Rullière, 2012.
"
**Distortions of multivariate risk measures: a level-sets based approach**," Working Papers hal-00756387, HAL.

- Di Bernardino Elena & Rullière Didier, 2013.
"
- Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010.
"
**Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité**," Post-Print hal-00530868, HAL.Cited by:

- Alaeddine Faleh, 2011.
"
**Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné**," Working Papers hal-00561965, HAL.

- Alaeddine Faleh, 2011.
"
- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
**An extension of Davis and Lo's contagion model**," Papers 0904.1653, arXiv.org, revised Feb 2010.- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
**An extension of Davis and Lo's contagion model**," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.

- Didier Rullière & Diana Dorobantu & Areski Cousin, 2013.
"
**An extension of Davis and Lo's contagion model**," Post-Print hal-00374367, HAL.

Cited by:

- Patrick Gagliardini & Christian Gouriéroux, 2012.
"
**Correlated Risks vs Contagion in Stochastic Transition Models**," Working Papers 2012-07, Center for Research in Economics and Statistics.- Gagliardini, Patrick & Gouriéroux, Christian, 2013.
"
**Correlated risks vs contagion in stochastic transition models**," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.

- Gagliardini, Patrick & Gouriéroux, Christian, 2013.
"
- Stéphane Loisel & Pierre Arnal & Romain Durand, 2010.
"
**Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA**," Working Papers hal-00502848, HAL.

- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"

Cited by:

- Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
**Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation**," Post-Print hal-00372525, HAL.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"

Cited by:

- Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Touazi, A. & Benouaret, Z. & Aissani, D. & Adjabi, S., 2017.
"
**Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 78-83. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013.
"
**Optimal risk transfer under quantile-based risk measurers**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
**Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation**," Post-Print hal-00372525, HAL. - Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

Cited by:

- Yuan, Haili & Hu, Yijun, 2008.
"
**Absolute ruin in the compound Poisson risk model with constant dividend barrier**," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.

- Rulliere, Didier & Loisel, Stephane, 2005.
"
- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.- Rulliere, Didier & Loisel, Stephane, 2004.
"
**Another look at the Picard-Lefevre formula for finite-time ruin probabilities**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.

Cited by:

- Goffard, Pierre-Olivier & Lefèvre, Claude, 2018.
"
**Duality in ruin problems for ordered risk models**," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52. - Claude Lefèvre & Philippe Picard, 2013.
"
**Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach**," Risks, MDPI, Open Access Journal, vol. 1(3), pages 1-21, December. - Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013.
"
**The density of the ruin time for a renewal-reward process perturbed by a diffusion**," Post-Print hal-00625099, HAL. - Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Stéphane Loisel & Hans-U. Gerber, 2012.
"
**Why ruin theory should be of interest for insurance practitioners and risk managers nowadays**," Post-Print hal-00746231, HAL. - Julien Trufin & Stéphane Loisel, 2013.
"
**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL. - Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011.
"
**On finite-time ruin probabilities with reinsurance cycles influenced by large claims**," Post-Print hal-00430178, HAL. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
**Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation**," Post-Print hal-00372525, HAL. - Tamturk, Muhsin & Utev, Sergey, 2018.
"
**Ruin probability via Quantum Mechanics Approach**," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74. - Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Working Papers hal-00744351, HAL. - Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL. - Zhang, Huiming & Liu, Yunxiao & Li, Bo, 2014.
"
**Notes on discrete compound Poisson model with applications to risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 325-336. - Li, Shuanming & Lu, Yi, 2017.
"
**Distributional study of finite-time ruin related problems for the classical risk model**," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330. - Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014.
"
**A survey of some recent results on Risk Theory**," Post-Print hal-01616178, HAL. - Mazza, Christian & Rulliere, Didier, 2004.
"
**A link between wave governed random motions and ruin processes**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.

- Christian Mazza & Didier Rullière, 2004.
"
- Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Papers 1210.6000, arXiv.org, revised Oct 2012. - Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

- Rulliere, Didier & Loisel, Stephane, 2005.
"

- Rulliere, Didier & Loisel, Stephane, 2004.
"
- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.- Mazza, Christian & Rulliere, Didier, 2004.
"
**A link between wave governed random motions and ruin processes**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.

Cited by:

- Goffard, Pierre-Olivier & Lefèvre, Claude, 2018.
"
**Duality in ruin problems for ordered risk models**," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52. - Nikita Ratanov, 2008.
"
**Option Pricing Model Based on a Markov-modulated Diffusion with Jumps**," Papers 0812.0761, arXiv.org. - Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013.
"
**The density of the ruin time for a renewal-reward process perturbed by a diffusion**," Post-Print hal-00625099, HAL. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013.
"
**On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency**," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113. - Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Pierre-Olivier Goffard, 2018.
"
**Fraud risk assessment within blockchain transactions**," Working Papers hal-01716687, HAL. - Dickson, David C.M. & Li, Shuanming, 2010.
"
**Finite time ruin problems for the Erlang(2) risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 12-18, February. - Alessandro De Gregorio & Stefano M. Iacus, 2007.
"
**Change point estimation for the telegraph process observed at discrete times**," Papers 0705.0503, arXiv.org.- Alessandro De Gregorio & Stefano Iacus, 2007.
"
**Change point estimation for the telegraph process observed at discrete times**," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1053, Universitá degli Studi di Milano.

- Alessandro De Gregorio & Stefano Iacus, 2007.
"
- Borovkov, Konstantin A. & Dickson, David C.M., 2008.
"
**On the ruin time distribution for a Sparre Andersen process with exponential claim sizes**," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June. - Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016.
"
**On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models**," Papers 1607.01902, arXiv.org, revised Nov 2016. - Wong, Jeff T.Y. & Cheung, Eric C.K., 2015.
"
**On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps**," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290. - Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi, 2017.
"
**On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 148-162. - Cheung, Eric C.K. & Wong, Jeff T.Y., 2017.
"
**On the dual risk model with Parisian implementation delays in dividend payments**," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173. - Macci, Claudio, 2009.
"
**Convergence of large deviation rates based on a link between wave governed random motions and ruin processes**," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 255-263, January. - Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015.
"
**On finite-time ruin probabilities in a generalized dual risk model with dependence**," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.

- Mazza, Christian & Rulliere, Didier, 2004.
"

### Articles

- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"
**Kriging of financial term-structures**," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.See citations under working paper version above.- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
**Kriging of financial term-structures**," Papers 1604.02237, arXiv.org. - Areski Cousin & Hassan Maatouk & Didier Rullière, 2016.
"
**Kriging of financial term-structures**," Post-Print hal-01206388, HAL.

- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"
- Di Bernardino Elena & Rullière Didier, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.See citations under working paper version above.- Elena Di Bernardino & Didier Rullière, 2016.
"
**On an asymmetric extension of multivariate Archimedean copulas based on quadratic form**," Post-Print hal-01147778, HAL.

- Elena Di Bernardino & Didier Rullière, 2016.
"
- Areski Cousin & Diana Dorobantu & Didier Rullière, 2013.
"
**An extension of Davis and Lo's contagion model**," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.See citations under working paper version above.- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
**An extension of Davis and Lo's contagion model**," Papers 0904.1653, arXiv.org, revised Feb 2010. - Didier Rullière & Diana Dorobantu & Areski Cousin, 2013.
"
**An extension of Davis and Lo's contagion model**," Post-Print hal-00374367, HAL.

- Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009.
"
- Di Bernardino Elena & Rullière Didier, 2013.
"See citations under working paper version above.
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Di Bernardino, Elena & Rullière, Didier, 2013.
"See citations under working paper version above.
- Elena Di Bernardino & Didier Rullière, 2013.
"

- Elena Di Bernardino & Didier Rullière, 2013.
"
- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.See citations under working paper version above.- Alexis Bienvenüe & Didier Rullière, 2012.
"
**Iterative Adjustment of Survival Functions by Composed Probability Distortions**," Post-Print hal-00665890, HAL.

- Alexis Bienvenüe & Didier Rullière, 2012.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"See citations under working paper version above.
- Stéphane Loisel, 2007.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"

- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"See citations under working paper version above.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.See citations under working paper version above.- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.

- Didier Rullière & Stéphane Loisel, 2005.
"
- Rulliere, Didier & Loisel, Stephane, 2004.
"
**Another look at the Picard-Lefevre formula for finite-time ruin probabilities**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.See citations under working paper version above.- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.

- Didier Rullière & Stéphane Loisel, 2004.
"
- Mazza, Christian & Rulliere, Didier, 2004.
"
**A link between wave governed random motions and ruin processes**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.See citations under working paper version above.Sorry, no citations of articles recorded.- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.

- Christian Mazza & Didier Rullière, 2004.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### Co-authorship network on CollEc

### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 27 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM:
**Econometrics**(13) 2007-09-16 2007-09-16 2008-08-06 2013-06-30 2013-06-30 2013-11-02 2015-08-19 2016-03-23 2017-01-08 2017-04-02 2017-05-28 2017-09-03 2017-09-10. Author is listed - NEP-RMG:
**Risk Management**(13) 2007-09-16 2009-08-22 2009-09-26 2011-01-30 2013-06-30 2013-06-30 2015-06-20 2015-07-11 2015-08-25 2016-03-23 2017-01-08 2017-05-28 2018-01-08. Author is listed - NEP-CMP: Computational Economics (3) 2009-09-26 2011-01-30 2013-06-30
- NEP-BAN: Banking (2) 2011-01-30 2013-06-30
- NEP-IAS: Insurance Economics (1) 2007-08-08
- NEP-ORE: Operations Research (1) 2013-06-30
- NEP-UPT: Utility Models & Prospect Theory (1) 2017-05-28

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