5
H index
3
i10 index
84
Citations
Didier Rulliere : Citation Profile
Université Claude Bernard (Lyon 1) | RESEARCH PRODUCTION: 15 Articles 43 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1997 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Didier Rulliere. | Is cited by:
| Cites to:
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Main data
Where Didier Rulliere has published?
| Journals with more than one article published | # docs |
|---|---|
| Insurance: Mathematics and Economics | 6 |
| Dependence Modeling | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 29 |
| Working Papers / HAL | 8 |
| Papers / arXiv.org | 6 |
Recent works citing Didier Rulliere (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Optimal periodic dividend strategies for spectrally positive L\evy risk processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2003.13275. Full description at Econpapers || Download paper |
| 2020 | Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397. Full description at Econpapers || Download paper |
| 2020 | Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:315-332. Full description at Econpapers || Download paper |
| 2020 | Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods. (2020). Borgonovo, Emanuele ; Rabitti, Giovanni. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:48-58. Full description at Econpapers || Download paper |
| 2020 | Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631. Full description at Econpapers || Download paper |
| 2021 | The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542. Full description at Econpapers || Download paper |
| 2020 | New Families of Bivariate Copulas via Unit Lomax Distortion. (2020). Sepanski, Jungsywan H ; Abdullah, Fadal. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:106-:d:427624. Full description at Econpapers || Download paper |
| 2020 | Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches. (2020). Bruzda, Joanna. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:1:d:10.1007_s10100-018-0591-2. Full description at Econpapers || Download paper |
| 2020 | New families of bivariate copulas via unit weibull distortion. (2020). Sepanski, Jungsywan H. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:7:y:2020:i:1:d:10.1186_s40488-020-00110-z. Full description at Econpapers || Download paper |
Works by Didier Rulliere:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | An extension of Davis and Los contagion model In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | An extension of Davis and Los contagion model.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2013 | An extension of Davis and Los contagion model.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2009 | Les G\en\erateurs de Sc\enarios \Economiques : quelle utilisation en assurance? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A risk management approach to capital allocation In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | A risk management approach to capital allocation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2015 | Impact of dependence on some multivariate risk indicators In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Impact of dependence on some multivariate risk indicators.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Kriging of financial term-structures In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Kriging of financial term-structures.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2016 | Kriging of financial term-structures.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2018 | Asymptotic multivariate expectiles In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | ASYMPTOTIC MULTIVARIATE EXPECTILES.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Extremes for multivariate expectiles In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2018 | Extremes for multivariate expectiles.(2018) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | Another look at the Picard-Lefevre formula for finite-time ruin probabilities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 17 |
| 2004 | Another look at the Picard-Lefèvre formula for finite-time ruin probabilities.(2004) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2004 | A link between wave governed random motions and ruin processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 15 |
| 2004 | A link between wave governed random motions and ruin processes.(2004) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2005 | The win-first probability under interest force In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2005 | The win-first probability under interest force.(2005) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2008 | Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
| 2008 | Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin..(2008) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2009 | Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes..(2009) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2013 | Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2013 | Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2017 | Quantile predictions for elliptical random fields In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
| 2020 | Asymptotic domination of sample maxima In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | Asymptotic Domination of Sample Maxima.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1997 | Généralisation de lestimateur de Kaplan-Meier dune loi de durée de maintien en présence dobservations tronquées à gauche. Extension à létude conjointe de deux durées de maintien. In: Post-Print. [Citation analysis] | paper | 0 |
| 1998 | Estimation de probabilités de changement détat en présence de données incomplètes et applications actuarielles In: Post-Print. [Citation analysis] | paper | 0 |
| 2010 | Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ? In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2013 | The density of the ruin time for a renewal-reward process perturbed by a diffusion In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Valuation of Portfolio Loss Derivatives in An Infectious Model In: Post-Print. [Citation analysis] | paper | 0 |
| 2011 | On hyperbolic iterated distortions for the adjustment of survival functions In: Post-Print. [Citation analysis] | paper | 0 |
| 2012 | Iterative Adjustment of Survival Functions by Composed Probability Distortions In: Post-Print. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Iterative Adjustment of Survival Functions by Composed Probability Distortions.(2012) In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2013 | Exploring or reducing noise? A global optimization algorithm in the presence of noise In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2013 | On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators In: Post-Print. [Full Text][Citation analysis] | paper | 10 |
| 2013 | On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators.(2013) In: Dependence Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2015 | Estimation of multivariate critical layers: Applications to rainfall data In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2016 | On tail dependence coefficients of transformed multivariate Archimedean copulas In: Post-Print. [Full Text][Citation analysis] | paper | 2 |
| 2016 | On a capital allocation by minimizing multivariate risk indicators In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2016 | On an asymmetric extension of multivariate Archimedean copulas based on quadratic form In: Post-Print. [Full Text][Citation analysis] | paper | 2 |
| 2016 | On an asymmetric extension of multivariate Archimedean copulas based on quadratic form.(2016) In: Dependence Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | A note on upper-patched generators for Archimedean copulas In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2017 | MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES In: Post-Print. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Multivariate extensions of expectiles risk measures.(2017) In: Dependence Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2019 | On a construction of multivariate distributions given some multidimensional marginals In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Gaussian processes for computer experiments In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Sur une classe de transformations itérées pour lajustement et la simulation stochastique In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Un algorithme doptimisation par exploration sélective In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | A note on the computation of an actuarial Waring formula in the finite-exchangeable case In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Agrégation dinformations et alternative au krigeage en environnement aléatoire In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Distortions of multivariate risk measures: a level-sets based approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Estimation de la courbe dactualisation par krigeage sous contraintes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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