Didier Rulliere : Citation Profile


Are you Didier Rulliere?

Université Claude Bernard (Lyon 1)

6

H index

5

i10 index

119

Citations

RESEARCH PRODUCTION:

18

Articles

44

Papers

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 4
   Journals where Didier Rulliere has often published
   Relations with other researchers
   Recent citing documents: 2.    Total self citations: 20 (14.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pru63
   Updated: 2024-01-16    RAS profile: 2022-10-14    
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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 (15)

Privault, Nicolas (2)

Durante, Fabrizio (2)

Gagliardini, Patrick (2)

Li, Shuanming (2)

gourieroux, christian (2)

Okhrin, Ostap (1)

Ratanov, Nikita (1)

Faleh, Alaeddine (1)

Venel, Xavier (1)

Oosterlee, Cornelis (1)

Cites to:

Loisel, Stéphane (13)

Valdez, Emiliano (9)

Charpentier, Arthur (7)

Viceira, Luis (6)

Campbell, John (6)

Dhaene, Jan (6)

Jouini, Elyès (6)

Svensson, Lars (5)

Kaishev, Vladimir (5)

Durante, Fabrizio (4)

Perna, Cira (4)

Main data


Where Didier Rulliere has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics6
Dependence Modeling3
Methodology and Computing in Applied Probability2
Journal of Multivariate Analysis2

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

Recent works citing Didier Rulliere (2024 and 2023)


YearTitle of citing document
2023A 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

2023Solvency 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:


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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This paper has nother version. Agregated cites: 3
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2013An extension of Davis and Los contagion model.(2013) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 3
article
2009Les G\en\erateurs de Sc\enarios \Economiques : quelle utilisation en assurance? In: Papers.
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2015A risk management approach to capital allocation In: Papers.
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paper4
2015A risk management approach to capital allocation.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2015Impact of dependence on some multivariate risk indicators In: Papers.
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paper1
2017Impact of dependence on some multivariate risk indicators.(2017) In: Post-Print.
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This paper has nother version. Agregated cites: 1
paper
2017Impact of Dependence on Some Multivariate Risk Indicators.(2017) In: Methodology and Computing in Applied Probability.
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This paper has nother version. Agregated cites: 1
article
2016Kriging of financial term-structures In: Papers.
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2016Kriging of financial term-structures.(2016) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 11
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2016Kriging of financial term-structures.(2016) In: Post-Print.
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This paper has nother version. Agregated cites: 11
paper
2018Asymptotic multivariate expectiles In: Papers.
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2018ASYMPTOTIC MULTIVARIATE EXPECTILES.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2018Extremes for multivariate expectiles In: Statistics & Risk Modeling.
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article2
2018Extremes for multivariate expectiles.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 2
paper
2004Another look at the Picard-Lefevre formula for finite-time ruin probabilities In: Insurance: Mathematics and Economics.
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article20
2004Another look at the Picard-Lefèvre formula for finite-time ruin probabilities.(2004) In: Post-Print.
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This paper has nother version. Agregated cites: 20
paper
2004A link between wave governed random motions and ruin processes In: Insurance: Mathematics and Economics.
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article20
2004A link between wave governed random motions and ruin processes.(2004) In: Post-Print.
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This paper has nother version. Agregated cites: 20
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2005The win-first probability under interest force In: Insurance: Mathematics and Economics.
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article3
2005The win-first probability under interest force.(2005) In: Post-Print.
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This paper has nother version. Agregated cites: 3
paper
2008Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin In: Insurance: Mathematics and Economics.
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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 nother version. Agregated cites: 7
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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article4
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 nother version. Agregated cites: 4
paper
2013Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory In: Insurance: Mathematics and Economics.
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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 nother version. Agregated cites: 6
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2017Quantile predictions for elliptical random fields In: Journal of Multivariate Analysis.
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2021Dependence structure estimation using Copula Recursive Trees In: Journal of Multivariate Analysis.
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2020Asymptotic domination of sample maxima In: Statistics & Probability Letters.
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2020Asymptotic Domination of Sample Maxima.(2020) In: Post-Print.
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This paper has nother version. Agregated cites: 0
paper
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.
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paper0
1998Estimation de probabilités de changement détat en présence de données incomplètes et applications actuarielles In: Post-Print.
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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.
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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.
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2012Iterative Adjustment of Survival Functions by Composed Probability Distortions.(2012) In: The Geneva Risk and Insurance Review.
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This paper has nother version. Agregated cites: 4
article
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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This paper has nother version. Agregated cites: 11
article
2015Estimation of multivariate critical layers: Applications to rainfall data In: Post-Print.
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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.
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2016On an asymmetric extension of multivariate Archimedean copulas based on quadratic form.(2016) In: Dependence Modeling.
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This paper has nother version. Agregated cites: 3
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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: Dependence Modeling.
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This paper has nother version. Agregated cites: 10
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2019On a construction of multivariate distributions given some multidimensional marginals In: Post-Print.
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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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2022Mixture Kriging on granular data In: Working Papers.
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2018Spatial Expectile Predictions for Elliptical Random Fields In: Methodology and Computing in Applied Probability.
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