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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, France
http://isfa.univ-lyon1.fr/
RePEc:edi:isly1fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marc Grossouvre & Didier Rullière, 2022. "Mixture Kriging on granular data [Krigeage de distributions de mélanges pour des données granulaires]," Working Papers hal-03276127, HAL.
  2. Enkelejd Hashorva & Didier Rullière, 2020. "Asymptotic Domination of Sample Maxima," Post-Print hal-02277020, HAL.
  3. Nabil Kazi-Tani & Didier Rullière, 2019. "On a construction of multivariate distributions given some multidimensional marginals," Post-Print hal-01575169, HAL.
  4. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018. "Extremes for multivariate expectiles," Post-Print hal-01923798, HAL.
  5. François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017. "Gaussian processes for computer experiments," Post-Print hal-01665936, HAL.
  6. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2017. "Asymptotic multivariate expectiles," Papers 1704.07152, arXiv.org, revised Jan 2018.
  7. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Post-Print hal-01367277, HAL.
  8. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
  9. Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
  10. Areski Cousin & Hassan Maatouk & Didier Rullière, 2016. "Estimation de la courbe d'actualisation par krigeage sous contraintes," Working Papers hal-01422365, HAL.
  11. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Post-Print hal-01147778, HAL.
  12. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "On a capital allocation by minimizing multivariate risk indicators," Post-Print hal-01082559, HAL.
  13. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  14. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "Impact of dependence on some multivariate risk indicators," Papers 1507.01175, arXiv.org.
  15. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "A risk management approach to capital allocation," Papers 1506.04125, arXiv.org.
  16. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," Post-Print hal-00665890, HAL.
  22. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
  23. Pierre Ribereau & Didier Rullière, 2011. "Agrégation d'informations et alternative au krigeage en environnement aléatoire," Working Papers hal-00575604, HAL.
  24. Areski Cousin & Diana Dorobantu & Didier Rullière, 2011. "Valuation of Portfolio Loss Derivatives in An Infectious Model," Post-Print hal-00665027, HAL.
  25. 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.
  26. Alexis Bienvenüe & Didier Rullière, 2011. "On hyperbolic iterated distortions for the adjustment of survival functions," Post-Print hal-00665349, HAL.
  27. 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.
  28. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
  29. 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.
  30. Alexis Bienvenüe & Didier Rullière, 2009. "Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique," Working Papers hal-00395495, HAL.
  31. Didier Rullière & Alaeddine Faleh & Frédéric Planchet, 2009. "Un algorithme d'optimisation par exploration sélective," Working Papers hal-00411406, HAL.
  32. 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.
  33. 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.
  34. 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.
  35. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.
  36. Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.
  37. Christian Mazza & Didier Rullière, 2004. "A link between wave governed random motions and ruin processes," Post-Print hal-00412977, HAL.
  38. 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.
  39. 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

  1. Laverny, Oskar & Masiello, Esterina & Maume-Deschamps, Véronique & Rullière, Didier, 2021. "Dependence structure estimation using Copula Recursive Trees," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
  2. Hashorva, Enkelejd & Rullière, Didier, 2020. "Asymptotic domination of sample maxima," Statistics & Probability Letters, Elsevier, vol. 160(C).
  3. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2018. "Extremes for multivariate expectiles," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 111-140, July.
  4. V. Maume-Deschamps & D. Rullière & A. Usseglio-Carleve, 2018. "Spatial Expectile Predictions for Elliptical Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 643-671, June.
  5. 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.
  6. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
  7. 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.
  8. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
  17. 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.
  18. 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.

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

  1. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018. "Extremes for multivariate expectiles," Post-Print hal-01923798, HAL.

    Cited by:

    1. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
    2. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).

  2. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2017. "Asymptotic multivariate expectiles," Papers 1704.07152, arXiv.org, revised Jan 2018.

    Cited by:

    1. Mustapha Rachdi & Ali Laksaci & Noriah M. Al-Kandari, 2022. "Expectile regression for spatial functional data analysis (sFDA)," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(5), pages 627-655, July.

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

    Cited by:

    1. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    2. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
    3. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    4. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018. "Asymptotic Multivariate Expectiles," Working Papers hal-01509963, HAL.
    5. Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    6. Hashorva, Enkelejd, 2019. "Approximation of some multivariate risk measures for Gaussian risks," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 330-340.
    7. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
    8. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
    9. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
    10. Ling, Chengxiu, 2019. "Asymptotics of multivariate conditional risk measures for Gaussian risks," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 205-215.
    11. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).

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

    Cited by:

    1. Fousekis, Panos & Grigoriadis, Vasilis, 2017. "Price co-movement and the crack spread in the US futures markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 57-71.
    2. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
    3. Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2021. "Compound Archimedean Copulas," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 126-126, June.

  5. Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.

    Cited by:

    1. François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017. "Gaussian processes for computer experiments," Post-Print hal-01665936, HAL.
    2. Blomvall, Jörgen & Hagenbjörk, Johan, 2019. "A generic framework for monetary performance attribution," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 121-133.
    3. Hainaut, Donatien, 2021. "Lévy interest rate models with a long memory," LIDAM Discussion Papers ISBA 2021020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
    5. St'ephane Cr'epey & Matthew Dixon, 2019. "Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations," Papers 1901.11081, arXiv.org, revised Oct 2019.
    6. Kapusuzoglu, Berkcan & Mahadevan, Sankaran, 2021. "Information fusion and machine learning for sensitivity analysis using physics knowledge and experimental data," Reliability Engineering and System Safety, Elsevier, vol. 214(C).
    7. Rabitti, Giovanni & Borgonovo, Emanuele, 2020. "Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 48-58.
    8. Damir Filipovi'c & Puneet Pasricha, 2022. "Empirical Asset Pricing via Ensemble Gaussian Process Regression," Papers 2212.01048, arXiv.org.
    9. Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.

  6. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Post-Print hal-01147778, HAL.

    Cited by:

    1. Šeliga Adam & Kauers Manuel & Saminger-Platz Susanne & Mesiar Radko & Kolesárová Anna & Klement Erich Peter, 2021. "Polynomial bivariate copulas of degree five: characterization and some particular inequalities," Dependence Modeling, De Gruyter, vol. 9(1), pages 13-42, January.
    2. Arbel, Julyan & Crispino, Marta & Girard, Stéphane, 2019. "Dependence properties and Bayesian inference for asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    3. Nabil Kazi-Tani & Didier Rullière, 2019. "On a construction of multivariate distributions given some multidimensional marginals," Post-Print hal-01575169, HAL.

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

    Cited by:

    1. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    2. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
    3. 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.

  8. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "Impact of dependence on some multivariate risk indicators," Papers 1507.01175, arXiv.org.

    Cited by:

    1. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).

  9. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "A risk management approach to capital allocation," Papers 1506.04125, arXiv.org.

    Cited by:

    1. Mao Hong & Carson James M. & Ostaszewski Krzysztof M., 2018. "Optimal Price Setting and Insurer Capital Management in a Multiple Line Context," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(1), pages 1-22, January.
    2. Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
    3. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
    4. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri, 2018. "Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming," Computational Management Science, Springer, vol. 15(3), pages 599-632, October.

  10. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.

    Cited by:

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

  11. 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.

    Cited by:

    1. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    2. 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.
    3. 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.
    4. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    5. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    6. 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.
    7. Fadal A.A. Aldhufairi & Jungsywan H. Sepanski, 2020. "New families of bivariate copulas via unit weibull distortion," Journal of Statistical Distributions and Applications, Springer, vol. 7(1), pages 1-20, December.
    8. Fadal Abdullah-A Aldhufairi & Ranadeera G.M. Samanthi & Jungsywan H. Sepanski, 2020. "New Families of Bivariate Copulas via Unit Lomax Distortion," Risks, MDPI, vol. 8(4), pages 1-19, October.
    9. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
    10. Girard Stéphane, 2018. "Transformation Of A Copula Using The Associated Co-Copula," Dependence Modeling, De Gruyter, vol. 6(1), pages 298-308, December.

  12. 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.

    Cited by:

    1. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    2. 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.
    3. 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.
    4. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    5. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    6. Coblenz, Maximilian & Grothe, Oliver & Schreyer, Manuela & Trutschnig, Wolfgang, 2018. "On the length of copula level curves," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 347-365.

  13. Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," Post-Print hal-00665890, HAL.

    Cited by:

    1. 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.
    2. 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.
    3. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.

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

    Cited by:

    1. 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.
    2. 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.
    3. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.

  15. 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:

    1. 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.

  16. 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.

    Cited by:

    1. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    2. 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.

  17. 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.

    Cited by:

    1. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
    2. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    3. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    4. 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.

  18. 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.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    2. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
    3. 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.
    4. 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.
    5. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    6. 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.
    7. 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.
    8. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.

  19. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.

    Cited by:

    1. Pierre-Olivier Goffard, 2019. "Two-Sided Exit Problems in the Ordered Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 539-549, June.
    2. 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.
    3. Pierre-Olivier Goffard, 2017. "Two-sided exit problems in the ordered risk model," Working Papers hal-01528204, HAL.

  20. Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.

    Cited by:

    1. 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.
    2. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    3. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
    4. 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.
    5. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    6. 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.
    7. 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.
    8. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
    9. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    10. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
    11. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    12. 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.
    13. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    14. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
    15. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
    21. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.

  21. Christian Mazza & Didier Rullière, 2004. "A link between wave governed random motions and ruin processes," Post-Print hal-00412977, HAL.

    Cited by:

    1. 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.
    2. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.
    3. Avanzi, Benjamin & Lau, Hayden & Wong, Bernard, 2020. "Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 315-332.
    4. Benjamin Avanzi & Hayden Lau & Bernard Wong, 2020. "Optimal periodic dividend strategies for spectrally positive L\'evy risk processes with fixed transaction costs," Papers 2003.13275, arXiv.org, revised May 2020.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Pierre-Olivier Goffard, 2019. "Fraud risk assessment within blockchain transactions," Working Papers hal-01716687, HAL.
    10. Benjamin Avanzi & Debbie Kusch Falden & Mogens Steffensen, 2022. "Stable Dividends under Linear-Quadratic Optimization," Papers 2210.03494, arXiv.org.
    11. 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.
    12. Alessandro De Gregorio & Stefano M. Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," Papers 0705.0503, arXiv.org.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. Antonio Di Crescenzo & Barbara Martinucci, 2013. "On the Generalized Telegraph Process with Deterministic Jumps," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 215-235, March.
    19. 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.
    20. 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.
    21. Hansjörg Albrecher & Dina Finger & Pierre-Olivier Goffard, 2022. "Blockchain mining in pools: Analyzing the trade-off between profitability and ruin," Working Papers hal-03336851, HAL.

Articles

  1. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2018. "Extremes for multivariate expectiles," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 111-140, July.
    See citations under working paper version above.
  2. 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.

    Cited by:

    1. V. Maume-Deschamps & D. Rullière & A. Usseglio-Carleve, 2018. "Spatial Expectile Predictions for Elliptical Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 643-671, June.

  3. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
    See citations under working paper version above.
  4. 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.
    See citations under working paper version above.
  5. 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.
  6. 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.
  7. 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. See citations under working paper version above.
  8. 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.
  9. 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. See citations under working paper version above.
  10. 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.
  11. 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. See citations under working paper version above.
  12. 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.
    See citations under working paper version above.
  13. 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.
  14. 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.
  15. 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.

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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 21 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.
  1. NEP-ECM: Econometrics (13) 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 2017-09-10 2019-08-26 2021-08-16. Author is listed
  2. 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
  3. NEP-CMP: Computational Economics (3) 2009-09-26 2011-01-30 2013-06-30
  4. NEP-BAN: Banking (2) 2011-01-30 2013-06-30
  5. NEP-ISF: Islamic Finance (1) 2021-08-16
  6. NEP-ORE: Operations Research (1) 2013-06-30
  7. NEP-UPT: Utility Models & Prospect Theory (1) 2017-05-28

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