Nombre de documents

45

CV de Didier Rullière


Pré-publication, Document de travail12 documents

  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. 2017. <hal-01367277v2>
  • Véronique Maume-Deschamps, Didier Rullière, Antoine Usseglio-Carleve. Spatial Quantile Predictions for Elliptical Random Fields. 2016. <hal-01339520v4>
  • Areski Cousin, Hassan Maatouk, Didier Rullière. Estimation de la courbe d'actualisation par krigeage sous contraintes. 2016. <hal-01422365>
  • Véronique Maume-Deschamps, Didier Rullière, Antoine Usseglio-Carleve. Spatial Expectile Predictions for Elliptical Random Fields. 2016. <hal-01399093v2>
  • Didier Rullière, Nicolas Durrande, François Bachoc, Clément Chevalier. Nested Kriging estimations for datasets with large number of observations. 2016. <hal-01345959v2>
  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. A risk management approach to capital allocation. 2015. <hal-01163180>
  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. On capital allocation by minimizing multivariate risk indicators. 2014. <hal-01082559>
  • Elena Di Bernardino, Didier Rullière. Distortions of multivariate risk measures: a level-sets based approach. 2012. <hal-00756387>
  • Areski Cousin, Diana Dorobantu, Didier Rullière. A note on the computation of an actuarial Waring formula in the finite-exchangeable case. 2011. <hal-00557751v2>
  • Pierre Ribereau, Didier Rullière. Agrégation d'informations et alternative au krigeage en environnement aléatoire. 2011. <hal-00575604>
  • Didier Rullière, Alaeddine Faleh, Frédéric Planchet. Un algorithme d'optimisation par exploration sélective. 2009. <hal-00411406v2>
  • Alexis Bienvenüe, Didier Rullière. Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique. Cahier de recherche numéro 2108. 2009. <hal-00395495>

Article dans une revue25 documents

  • Elena Di Bernardino, Didier Rullière. A note on upper-patched generators for Archimedean copulas. ESAIM: Probability and Statistics, EDP Sciences, 2017, <https://doi.org/10.1051/ps/2017003>. <10.1051/ps/2017003>. <hal-01347869v2>
  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. Multivariate extensions of expectiles risk measures. Dependence Modeling, 2017, Special Issue: Recent Developments in Quantitative Risk Management, 5, https://doi.org/10.1515/demo-2017-0002. <10.1515/demo-2017-0002>. <hal-01478930>
  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. On a capital allocation by minimization of some risk indicators. European Actuarial Journal, 2016, 6 (1), pp.177--196. <http://dx.doi.org/10.1007/s13385-016-0123-1>. <10.1007/s13385-016-0123-1>. <hal-01282679>
  • Areski Cousin, Hassan Maatouk, Didier Rullière. Kriging of financial term-structures. European Journal of Operational Research, Elsevier, 2016, 255 (2), pp.631 - 648. <10.1016/j.ejor.2016.05.057>. <emse-01438318>
  • Areski Cousin, Hassan Maatouk, Didier Rullière. Kriging of financial term-structures. European Journal of Operational Research, Elsevier, 2016, 255 (2), pp.18. <hal-01206388v2>
  • Elena Di Bernardino, Didier Rullière. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Dependence Modeling, 2016, Special Issue: Recent Developments in Quantitative Risk Management, 4 (1), pp.328-347. <http://dx.doi.org/10.1515/demo-2016-0019>. <10.1515/demo-2016-0019>. <hal-01147778v2>
  • Elena Di Bernardino, Didier Rullière. On tail dependence coefficients of transformed multivariate Archimedean copulas. Fuzzy Sets and Systems, Elsevier, 2016, 284, pp.89--112. <http://dx.doi.org/10.1016/j.fss.2015.08.030>. <10.1016/j.fss.2015.08.030>. <hal-00992707v2>
  • Véronique Maume-Deschamps, Didier Rullière, Khalil Said. Impact of dependence on some multivariate risk indicators. Methodology and Computing in Applied Probability, Springer Verlag, 2016, <10.1007/s11009-016-9489-4>. <hal-01171395>
  • Mickaël Binois, Didier Rullière, Olivier Roustant. On the estimation of Pareto fronts from the point of view of copula theory. Information Sciences, Elsevier, 2015, 324, pp.270 - 285. <http://www.sciencedirect.com/science/article/pii/S0020025515004697>. <10.1016/j.ins.2015.06.037>. <hal-01097403v2>
  • Elena Di Bernardino, Didier Rullière. Estimation of multivariate critical layers: Applications to rainfall data. Journal de la Société Française de Statistiques, SFdS, 2015, 156 (1), pp. 11-50. <http://journal-sfds.fr/index.php/J-SFdS/article/view/413/392>. <hal-00940089v3>
  • Elena Di Bernardino, Didier Rullière. Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory. Insurance: Mathematics and Economics, Elsevier, 2013, 53, pp.190-205. <10.1016/j.insmatheco.2013.05.001>. <hal-00750873v4>
  • Didier Rullière, Alaeddine Faleh, Frédéric Planchet, Wassim Youssef. Exploring or reducing noise? A global optimization algorithm in the presence of noise. Structural and Multidisciplinary Optimization, Springer Verlag (Germany), 2013, 47 (6), pp.921-936. <10.1007/s00158-012-0874-5>. <hal-00759677>
  • Didier Rullière, Diana Dorobantu, Areski Cousin. An extension of Davis and Lo's contagion model. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (3), pp.407-420. <10.1080/14697688.2012.727015>. <hal-00374367v2>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of the ruin time for a renewal-reward process perturbed by a diffusion. Applied Mathematics Letters, Elsevier, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. <10.1016/j.aml.2012.04.003>. <hal-00625099v3>
  • Elena Di Bernardino, Didier Rullière. On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators. Dependence Modeling, 2013, 1, pp.Pages 1-36, ISSN (Online) 2300-2298. <10.2478/demo-2013-0001>. <hal-00834000v3>
  • Alexis Bienvenüe, Didier Rullière. Iterative Adjustment of Survival Functions by Composed Probability Distortions. The Geneva Risk and Insurance Review, 2012, 37 (2), pp.156-179. <10.1057/grir.2011.7>. <hal-00665890>
  • Alaeddine Faleh, Frédéric Planchet, Didier Rullière. Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. Assurances et gestion des risques, 2010, 78 (1), pp.1-30. <hal-00530868>
  • Alaeddine Faleh, Frédéric Planchet, Didier Rullière. Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?. Assurance et Gestion des Risques, 2010, 78 (1-2), pp.31. <hal-00433037>
  • Stéphane Loisel, Christian Mazza, Didier Rullière. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes.. Insurance Mathematics and Economics, 2009, 45 (3), pp.374-381. <10.1016/j.insmatheco.2009.08.003>. <hal-00168716>
  • Stéphane Loisel, Christian Mazza, Didier Rullière. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.. Insurance Mathematics and Economics, 2008, 42 (2), pp.746-762. <10.1016/j.insmatheco.2007.08.007>. <hal-00168714>
  • Didier Rullière, Stéphane Loisel. The win-first probability under interest force. Insurance Mathematics and Economics, 2005, 37 (3), pp.421-442. <10.1016/j.insmatheco.2005.06.004>. <hal-00165791>
  • Didier Rullière, Stéphane Loisel. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities. Insurance Mathematics and Economics, 2004, 35 (2), pp.187-203. <hal-00379412>
  • Christian Mazza, Didier Rullière. A link between wave governed random motions and ruin processes. Insurance Mathematics and Economics, 2004, 35 (2), pp.205-222. <10.1016/j.insmatheco.2004.07.014>. <hal-00412977>
  • Didier Rullière, Daniel Serant. Estimation de probabilités de changement d'état en présence de données incomplètes et applications actuarielles. Bulletin Français d'Actuariat, Institut des Actuaires, 1998, 2 (3), pp.71-88. <hal-00412983>
  • Didier Rullière, Daniel Serant. 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.. Bulletin Français d'Actuariat, Institut des Actuaires, 1997, 1 (2), pp.97-114. <hal-00412981>

Poster2 documents

  • Véronique Maume-Deschamps, Didier Rullière, Antoine Usseglio-Carleve. Expectile prediction through asymmetric kriging. MASCOT NUM 2017 meeting, Mar 2017, Paris, France. <hal-01492754>
  • Véronique Maume-Deschamps, Didier Rullière, Antoine Usseglio-Carleve. Spatial quantile predictions for elliptical random fields. Journées MAS 2016, Aug 2016, Grenoble, France. <hal-01356081>

Communication dans un congrès3 documents

  • Mickaël Binois, Didier Rullière, Olivier Roustant. Application des copules à l'estimation de fronts de Pareto. 47èmes Journées de Statistique de la SFdS, Jun 2015, Lille, France. 2015. <emse-01152513>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of a passage time for a renewal-reward process perturbed by a diffusion. the 8th world congress in Probability and Statistics, Jul 2012, Istanbul, Turkey. <hal-00727690>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of the ruin time for a mixed process (Brownian motion and renewal-reward process). Les journées de Probabilités 2011, Jun 2011, Nancy, France. <hal-00603651>

Chapitre d'ouvrage2 documents

  • Alexis Bienvenüe, Didier Rullière. On hyperbolic iterated distortions for the adjustment of survival functions. Perna, Cira; Sibillo, Marilena. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp.35-42, 2011, <10.1007/978-88-470-2342-0_5>. <hal-00665349>
  • Areski Cousin, Diana Dorobantu, Didier Rullière. Valuation of Portfolio Loss Derivatives in An Infectious Model. Perna, Cira; Sibillo, Marilena. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp.139-147, 2011, <10.1007/978-88-470-2342-0_17>. <hal-00665027>

Document associé à des manifestations scientifiques1 document

  • Diana Dorobantu, Areski Cousin, Didier Rullière. Modèle multi-périodique de contamination des entreprises. Journées MAS et Journée en l'honneur de Jacques Neveu, Aug 2010, Talence, France. <inria-00509873>