Didier Rulliere : Citation Profile

Are you Didier Rulliere?

Université Claude Bernard (Lyon 1)

5

H index

2

i10 index

72

Citations

RESEARCH PRODUCTION:

14

Articles

44

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 3
   Journals where Didier Rulliere has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 17 (19.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pru63
   Updated: 2019-09-14    RAS profile: 2019-08-10    
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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:

Loisel, Stéphane (14)

Durante, Fabrizio (2)

Privault, Nicolas (2)

gourieroux, christian (2)

Gagliardini, Patrick (2)

Li, Shuanming (2)

Venel, Xavier (1)

Ratanov, Nikita (1)

Iacus, Stefano (1)

Faleh, Alaeddine (1)

Cites to:

Loisel, Stéphane (12)

Valdez, Emiliano (9)

Campbell, John (6)

Viceira, Luis (6)

Dhaene, Jan (6)

Charpentier, Arthur (6)

Kaishev, Vladimir (5)

Perna, Cira (4)

Corazza, Marco (4)

Jouini, Elyès (4)

Sibillo, Marilena (4)

Main data

Where Didier Rulliere has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics6
Dependence Modeling3

Working Papers Series with more than one paper published# docs
Post-Print / HAL29
Working Papers / HAL9
Papers / arXiv.org6

Recent works citing Didier Rulliere (2018 and 2017)

YearTitle of citing document
2018.

Full description at Econpapers || Download paper

2017Distributional study of finite-time ruin related problems for the classical risk model. (2017). Li, Shuanming ; Lu, YI. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:319-330.

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2017On the dual risk model with Parisian implementation delays in dividend payments. (2017). , Jeff. In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:1:p:159-173.

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2017On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. (2017). Wong, Bernard ; Avanzi, Benjamin ; Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:148-162.

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2017Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model. (2017). Touazi, A ; Adjabi, S ; Aissani, D ; Benouaret, Z. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:78-83.

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2018Duality in ruin problems for ordered risk models. (2018). Goffard, Pierre-Olivier ; Lefevre, Claude. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:44-52.

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2018Ruin probability via Quantum Mechanics Approach. (2018). Tamturk, Muhsin ; Utev, Sergey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:69-74.

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2019Asymptotics of multivariate conditional risk measures for Gaussian risks. (2019). Ling, Chengxiu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:205-215.

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2018On the length of copula level curves. (2018). Coblenz, Maximilian ; Trutschnig, Wolfgang ; Schreyer, Manuela ; Grothe, Oliver . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:347-365.

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2019Approximation of some multivariate risk measures for Gaussian risks. (2019). Hashorva, Enkelejd . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:330-340.

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2017Price co-movement and the crack spread in the US futures markets. (2017). Grigoriadis, Vasilis ; Fousekis, Panos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:57-71.

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2019On a construction of multivariate distributions given some multidimensional marginals. (2019). Kazi-Tani, Nabil ; Rulliere, Didier . In: Post-Print. RePEc:hal:journl:hal-01575169.

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2017Two-sided exit problems in the ordered risk model. (2017). Goffard, Pierre-Olivier . In: Working Papers. RePEc:hal:wpaper:hal-01528204.

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2019Fraud risk assessment within blockchain transactions. (2018). Goffard, Pierre-Olivier . In: Working Papers. RePEc:hal:wpaper:hal-01716687.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Garcin, Matthieu ; Hassani, Bertrand ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008r.

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2018Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. (2018). Consigli, Giorgio ; Mercuri, Lorenzo ; Vitali, Sebastiano ; Moriggia, Vittorio. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:3:d:10.1007_s10287-018-0328-7.

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Works by Didier Rulliere:

YearTitleTypeCited
2010An extension of Davis and Los contagion model In: Papers.
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2013An extension of Davis and Los contagion model.(2013) In: Post-Print.
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2013An extension of Davis and Los contagion model.(2013) In: Quantitative Finance.
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2009Les G\en\erateurs de Sc\enarios \Economiques : quelle utilisation en assurance? In: Papers.
[Full Text][Citation analysis]		paper0
2015A risk management approach to capital allocation In: Papers.
[Full Text][Citation analysis]		paper3
2015A risk management approach to capital allocation.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 3		paper
2015Impact of dependence on some multivariate risk indicators In: Papers.
[Full Text][Citation analysis]		paper0
2017Impact of dependence on some multivariate risk indicators.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 0		paper
2016Kriging of financial term-structures In: Papers.
[Full Text][Citation analysis]		paper2
2016Kriging of financial term-structures.(2016) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 2		article
2016Kriging of financial term-structures.(2016) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2018Asymptotic multivariate expectiles In: Papers.
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2018ASYMPTOTIC MULTIVARIATE EXPECTILES.(2018) In: Working Papers.
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2018Extremes for multivariate expectiles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article0
2018Extremes for multivariate expectiles.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 0		paper
2004Another look at the Picard-Lefevre formula for finite-time ruin probabilities In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article17
2004Another 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
2004A link between wave governed random motions and ruin processes In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2004A link between wave governed random motions and ruin processes.(2004) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 13		paper
2005The win-first probability under interest force In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2005The win-first probability under interest force.(2005) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2008Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article5
2008Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin..(2008) In: Post-Print.
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This paper has another version. Agregated cites: 5		paper
2009Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes In: Insurance: Mathematics and Economics.
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2009Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes..(2009) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2013Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
2013Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 6		paper
2017Quantile predictions for elliptical random fields In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article0
1997Généralisation 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]		paper0
1998Estimation de probabilités de changement détat en présence de données incomplètes et applications actuarielles In: Post-Print.
[Citation analysis]		paper0
2010Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ? In: Post-Print.
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2010Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité In: Post-Print.
[Full Text][Citation analysis]		paper1
2013The density of the ruin time for a renewal-reward process perturbed by a diffusion In: Post-Print.
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2011Valuation of Portfolio Loss Derivatives in An Infectious Model In: Post-Print.
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2011On hyperbolic iterated distortions for the adjustment of survival functions In: Post-Print.
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2012Iterative Adjustment of Survival Functions by Composed Probability Distortions In: Post-Print.
[Full Text][Citation analysis]		paper4
2012Iterative Adjustment of Survival Functions by Composed Probability Distortions.(2012) In: The Geneva Risk and Insurance Review.
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2013Exploring or reducing noise? A global optimization algorithm in the presence of noise In: Post-Print.
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2013On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators In: Post-Print.
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2013On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators.(2013) In: Dependence Modeling.
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2015Estimation of multivariate critical layers: Applications to rainfall data In: Post-Print.
[Full Text][Citation analysis]		paper1
2016On tail dependence coefficients of transformed multivariate Archimedean copulas In: Post-Print.
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2016On a capital allocation by minimizing multivariate risk indicators In: Post-Print.
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2016On an asymmetric extension of multivariate Archimedean copulas based on quadratic form In: Post-Print.
[Full Text][Citation analysis]		paper1
2016On an asymmetric extension of multivariate Archimedean copulas based on quadratic form.(2016) In: Dependence Modeling.
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2016On a capital allocation by minimization of some risk indicators In: Post-Print.
[Citation analysis]		paper0
2017A note on upper-patched generators for Archimedean copulas In: Post-Print.
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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES In: Post-Print.
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2017Multivariate extensions of expectiles risk measures.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2017Multivariate extensions of expectiles risk measures.(2017) In: Dependence Modeling.
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2017Gaussian processes for computer experiments In: Post-Print.
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2009Sur une classe de transformations itérées pour lajustement et la simulation stochastique In: Working Papers.
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2009Un algorithme doptimisation par exploration sélective In: Working Papers.
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2011A note on the computation of an actuarial Waring formula in the finite-exchangeable case In: Working Papers.
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2011Agrégation dinformations et alternative au krigeage en environnement aléatoire In: Working Papers.
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2012Distortions of multivariate risk measures: a level-sets based approach In: Working Papers.
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2016Estimation de la courbe dactualisation par krigeage sous contraintes In: Working Papers.
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2017On a construction of multivariate distributions given some multidimensional marginals In: Working Papers.
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