6
H index
5
i10 index
122
Citations
Didier Rulliere : Citation Profile
Université Claude Bernard (Lyon 1) | RESEARCH PRODUCTION: 18 Articles 44 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1997 - 2022). 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 |
| Methodology and Computing in Applied Probability | 2 |
| Journal of Multivariate Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 29 |
| Working Papers / HAL | 9 |
| Papers / arXiv.org | 6 |
Recent works citing Didier Rulliere (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Probabilistic Approach for Denoising Option Prices. (2023). Lawuobahsumo, Kokulo ; Gueye, Djibril. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-02-3. Full description at Econpapers || Download paper |
| 2024 | A branch-and-bound algorithm with growing datasets for large-scale parameter estimation. (2024). Tsoukalas, Angelos ; Nikolov, Nikolay I ; Bell, Ian H ; Bongartz, Dominik ; Mitsos, Alexander ; Sass, Susanne. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:36-45. Full description at Econpapers || Download paper |
| 2024 | The efficiency of the Estr overnight index swap market. (2024). Realdon, Marco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400009x. Full description at Econpapers || Download paper |
| 2023 | Solvency II and diversification effect for non-life premium and reserves risk: new results based on non-parametric copulas. (2023). Denkowska, Anna ; Wanat, Stanisaw ; Szczsny, Krystian. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00125-1. 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 nother 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 nother 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 | 4 |
| 2015 | A risk management approach to capital allocation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2015 | Impact of dependence on some multivariate risk indicators In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Impact of dependence on some multivariate risk indicators.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2017 | Impact of Dependence on Some Multivariate Risk Indicators.(2017) In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2016 | Kriging of financial term-structures In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Kriging of financial term-structures.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2016 | Kriging of financial term-structures.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotic multivariate expectiles In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | ASYMPTOTIC MULTIVARIATE EXPECTILES.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Extremes for multivariate expectiles In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 2 |
| 2018 | Extremes for multivariate expectiles.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2004 | Another look at the Picard-Lefevre formula for finite-time ruin probabilities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 20 |
| 2004 | Another look at the Picard-Lefèvre formula for finite-time ruin probabilities.(2004) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2004 | A link between wave governed random motions and ruin processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 20 |
| 2004 | A link between wave governed random motions and ruin processes.(2004) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2005 | The win-first probability under interest force In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2005 | The win-first probability under interest force.(2005) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 | 7 |
| 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 nother version. Agregated cites: 7 | 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 | 4 |
| 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 nother version. Agregated cites: 4 | 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 nother version. Agregated cites: 6 | paper | |
| 2017 | Quantile predictions for elliptical random fields In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
| 2021 | Dependence structure estimation using Copula Recursive Trees In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 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 nother 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 nother 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 | 1 |
| 2013 | On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators In: Post-Print. [Full Text][Citation analysis] | paper | 11 |
| 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 nother version. Agregated cites: 11 | 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 | 3 |
| 2016 | On an asymmetric extension of multivariate Archimedean copulas based on quadratic form.(2016) In: Dependence Modeling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | A note on upper-patched generators for Archimedean copulas In: Post-Print. [Full Text][Citation analysis] | paper | 4 |
| 2017 | MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES In: Post-Print. [Full Text][Citation analysis] | paper | 10 |
| 2017 | Multivariate extensions of expectiles risk measures.(2017) In: Dependence Modeling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | 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 |
| 2022 | Mixture Kriging on granular data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Spatial Expectile Predictions for Elliptical Random Fields In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 0 |
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