DIDIER RULLIERE

 POSITION


Maître de conférences, école ISFA, université Lyon 1, université de Lyon. PhD, Habilitation à diriger des recherches (HDR). Laboratoire de Sciences Actuarielles et Financières (EA2429) 50 avenue Tony Garnier, 69366 LYON, France,courriel: didier.rulliere@univ-lyon1.fr. Téléphone professionnel : (+33) 4 37 28 74 38.
Actuaire, inscrit au Tableau Unique des Actuaires, membre agrégé de l'Institut des Actuaires.

 PUBLICATIONS

Articles

  • Hashorva, E., Rullière, D. (2020),  Asymptotic domination of sample maxima, Statistics & Probability Letters, Volume 160, issue 108703, pages 1-9. preprintpapier.
    doi: 10.1016/j.spl.2020.108703, ISSN : 0167-7152 .

  • Kazi-Tani, N., Rullière, D. (2019),  On a construction of multivariate distributions given some multidimensional marginals, Advances in Applied Probability, Volume 51, issue 2, pages 487-513. preprintpapier.
    doi: 10.1017/apr.2019.14, ISSN : 0001-8678.

  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2018),  Extremes for multivariate expectiles, Statistics and Risk Modeling , Volume 35, issue 3-4, pages 111-140. preprint, papier.
    doi: 10.1515/strm-2017-0014, ESSN : 2196-7040.
  • Maume-Deschamps, V., Rullière, D., Usseglio-Carleve, A. (2018),  Spatial Expectile Predictions for Elliptical Random Fields, Methodology and Computing in Applied Probability, Volume 20, issue 2, pages 643-671. preprintpapier.
    doi: 10.1007/s11009-017-9583-2, ISSN: 1387-5841 (Print) 1573-7713 (Online) .

  • Rullière, D., Durrande, N., Bachoc, F., Chevalier, C. (2018),  Nested Kriging predictions for datasets with a large number of observations, Statistics and Computing, Volume 28, Issue 4, pages 849-867. preprintpapier.
    doi: 10.1007/s11222-017-9766-2, ISSN:  0960-3174 (Print) 1573-1375 (Online) .

  • Bachoc, F., Contal, E., Maatouk, H., Rullière, D. (2017),  Gaussian Processes for Computer Experiments, ESAIM: Proceedings and Surveys, Volume 60, Pages 163-179. preprintarticle.
    doi: 10.1051/proc/201760163. eISSN: 2267-3059.

  • Maume-Deschamps, V., Rullière, D., Usseglio-Carleve, A. (2017),  Quantile predictions for elliptical random fields, Journal of Multivariate Analysis, Volume 159, Pages 1-17. preprintpapier.
    doi: 10.1016/j.jmva.2017.04.007, ISSN: 0047-259X.

  • Di Bernardino, E., Rullière, D. (2017),  A note on upper-patched generators for Archimedean copulas, ESAIM : Probability and Statistics, Volume 21, Pages 183-200. preprintpapier.
    doi: 10.1051/ps/2017003, ISSN: 1292-8100 - eISSN: 1262-3318.

  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2017),  Multivariate extensions of expectiles risk measures, Dependence Modeling, Special Issue: Recent Developments in Quantitative Risk Management, vol. 5, issue 1, pp. 20-44. preprintpapier.
    doi: 10.1515/demo-2017-0002, ISSN (Online): 2300-2298.

  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2017),  Impact of dependence on some multivariate risk indicators, Methodology and Computing in Applied Probability, Volume 19, pages 395-427. preprintpapier.
    doi: 10.1007/s11009-016-9489-4, ISSN: 1387-5841 (Print) 1573-7713 (Online).

  • Di Bernardino, E., Rullière, D. (2016),  On an asymmetric extension of multivariate Archimedean copulas based on quadratic form, Dependence Modeling, Special Issue: Recent Developments in Quantitative Risk Management, vol. 4, issue 1, pp. 328-347. preprintpapier.
    doi: 10.1515/demo-2016-0019, ISSN (Online): 2300-2298.

  • Cousin, A., Maatouk, H., Rullière, D. (2016),  Kriging of financial term-structures, European Journal of Operational Research, vol. 255, issue 2, pp. 631-648. preprintpapier.
    doi: 10.1016/j.ejor.2016.05.057, ISSN: 0377-2217, SCIE, CC-ECT.

  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2016),  On a capital allocation by minimization of some risk indicators, European Actuarial Journal, vol. 6, issue 1, pp. 177-196. preprintpapier.
    doi: 10.1007/s13385-016-0123-1, ISSN: 2190-9733 (Print) 2190-9741 (Online).

  • Di Bernardino, E., Rullière, D. (2016),  On tail dependence coefficients of transformed multivariate Archimedean copulasFuzzy Sets and Systems, vol. 284, 89–112.  preprintpapier.
    doi: 10.1016/j.fss.2015.08.030, ISSN: 0165-0114, SCI, SCIE.

  • Binois, M., Rullière, D., Roustant, O. (2015),  On the estimation of Pareto fronts from the point of view of copula theoryInformation Sciences, vol. 324, pp 270–285.  preprintpapier.
    doi: 10.1016/j.ins.2015.06.037, ISSN: 0020-0255, SCI, SCIE.

  • Di Bernardino, E., Rullière, D. (2015),  Estimation of multivariate critical layers: Applications to rainfall dataJournal SFDS, vol. 156, no.1, pp 11–50.  preprintpapier.
    ISSN: 2102-6238, ESCI.

  • Di Bernardino, E., Rullière, D. (2013),  On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generatorsDependence Modeling, vol. 1, pp. 1-36.  preprintpapier.
    doi: 10.2478/demo-2013-0001, ISSN (Online): 2300-2298.

  • Di Bernardino, E., Rullière, D. (2013),  Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theoryInsurance: Mathematics and Economics, vol. 53(1), pp. 190-205.  preprintpapier
    doi: 10.1016/j.insmatheco.2013.05.001, ISSN: 0167-6687, SCIE, SSCI.

  • Rullière, D., Faleh, A., Planchet, F., Youssef, W. (2013),  Exploring or reducing noise ?, a global optimization algorithm in the presence of noiseStructural and Multidisciplinary Optimization, vol. 47, 6, pp. 921-936.  preprintpapier.
    doi: 10.1007/s00158-012-0874-5, ISSN (Print): 1615-147X, ISSN (Online): 1615-1488, SCIE.

  • Blanchet-Scalliet, C., Dorobantu, D., Rullière, D. (2013),  The density of the ruin time for a renewal-reward process perturbed by a diffusionApplied Mathematics Letters, vol. 26, pp. 108-112.   preprintpapier.
    doi: 10.1016/j.aml.2012.04.003, ISSN: 0893-9659, SCI, SCIE.

  • Cousin, A., Dorobantu, D., Rullière, D. (2013),  An extension of Davis and Lo's contagion modelQuantitative Finance, vol. 13, 3, pp. 407-420.  preprintpapier.
    doi: 10.1080/14697688.2012.727015, ISSN: 1469-7688, SCIE, SSCI.

  • Bienvenüe, A. Rullière, D. (2012),  Iterative adjustment of survival functions by compositions of probability distortionsThe Geneva Risk and Insurance Review, vol. 37, pp. 156-179.  papier.
    doi: 10.1057/grir.2011.7, ISSN: 1554-964X, SSCI.

  • Faleh, A., Planchet, F., Rullière, D. (2010), Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualitéAssurances et gestion des risques, Insurance and Risk Management Journal, Montreal, vol. 78 (1-2), pp. 31-70.  papier.
    ISSN: 1705-7299.

  • Loisel, S., Mazza, C., Rullière, D. (2009),  Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processesInsurance: Mathematics and Economics, vol. 45, 3, pp. 374-381.  preprintpapier.
    doi: 10.1016/j.insmatheco.2009.08.003, ISSN: 0167-6687, SCIE, SSCI.

  • Loisel, S., Mazza, C., Rullière, D. (2008),  Robustness analysis and convergence of empirical finite time ruin probabilities and estimation risk solvency marginInsurance: Mathematics and Economics, Elsevier, vol. 42, 2, pp. 746-762.  preprintpapier.
    doi: 10.1016/j.insmatheco.2007.08.007, ISSN: 0167-6687, SCIE, SSCI.

  • Rullière, D., Loisel, S. (2005),  The win-first probability under interest forceInsurance: Mathematics and Economics, vol. 37, 3, pp. 421-442.  preprintpapier.
    doi: 10.1016/j.insmatheco.2005.06.004, ISSN: 0167-6687, SCIE, SSCI.

  • Rullière, D., Loisel, S. (2004),  Another look at the Picard-Lefèvre formulaInsurance: Mathematics and Economics, vol. 35, pp. 187-203.  preprintpapier.
    doi: 10.1016/j.insmatheco.2004.07.001, ISSN: 0167-6687, SCIE, SSCI.

  • Mazza, C., Rullière, D. (2004),  A link between wave-governed random motions and risk processesInsurance: Mathematics and Economics, vol. 35, pp. 205-222.  preprintpapier.
    doi: 10.1016/j.insmatheco.2004.07.014, ISSN: 0167-6687, SCIE, SSCI.

  • Rullière, D., Serant, D.,  Estimation de probabilités de changement d'état en présence de données incomplètes et applications actuariellesBulletin Français d'Actuariat, vol. 2, no 3, pp. 71-88, 1998.  papier.
    ISSN: 1779-7160.

  • Rullière, D., Serant, D.,  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 maintienBulletin Français d'Actuariat, vol. 1, no 2, pp. 97-115, 1997.  papier.
    ISSN: 1779-7160.

Ouvrages
 

Faleh, A., Planchet, F., Rullière, D. (2012), De la génération des scénarios aux techniques d'allocation d'actifs - Applications aux assurances et aux fonds de pension, 288 pages, Economica. ISBN : 978-2-7178-6484-7. lien.

Chapitres d'ouvrages

  • Cousin, A. ; Dorobantu, D., Rullière, D. (2012), Valuation of portfolio loss derivatives in an infectious model. Book chapter, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, Corazza, Marco; Claudio, Pizzi (Eds.), ISBN-13: 978-8847023413, doi: 10.1007/978-88-470-2342-0_17. lien.
  • Bienvenüe, A. ; Rullière, D. (2012), On hyperbolic iterated distortions for the adjustment of survival functions. Book chapter, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, Corazza, Marco; Claudio, Pizzi (Eds.), ISBN-13: 978-8847023413, doi: 10.1007/978-88-470-2342-0_5. lien.

Autres articles disponibles en ligne

  • Cousin, A., Maatouk, H., Rullière, D. (2015), Kriging of financial term-structures, hal-01206388. preprint.
  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2015), Impact of dependence on some multivariate risk indicators, hal-01171395. preprint.
  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2015), A risk management approach to capital allocation, hal-01163180. preprint.
  • Di Bernardino, E., Rullière, D. (2015), On an asymmetric extension of multivariate Archimedean copulas, hal-01147778. Cahiers de recherche ISFA, 2015.2. preprint.
  • Maume-Deschamps, V., Rullière, D., Saïd, K. (2014), On capital allocation by minimizing multivariate risk indicators, hal-01082559. Cahiers de recherche ISFA, 2014.16. preprint.
  • Di Bernardino, E., Rullière, D. (2014), On tail dependence coefficients of transformed multivariate Archimedean copulas, hal-00992707. Cahiers de recherche ISFA, 2014.7. preprint.
  • Di Bernardino, E., Rullière, D. (2014), Estimation of multivariate critical layers: Applications to hydrological data, hal-00940089. Cahiers de recherche ISFA, 2014.4. preprint.
  • Cousin, A., Dorobantu, D., Rullière, D. (2011), A note on the computation of an actuarial Waring formula in the finite-exchangeable case, hal-00557751. Cahiers de recherche ISFA, 2011.18. preprint.
  • Ribereau, P., Rullière, D. (2011), Agrégation d'informations et alternative au krigeage en environnement aléatoire, hal-00575604. Cahiers de recherche ISFA, 2011.15. preprint.
  • Bienvenüe, A., Rullière, D. (2009), Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique, hal-00395495. Cahiers de recherche ISFA, 2009.8, WP 2108. preprint.
  • Rullière, D., Dorobantu, D. (2009), Etude d'un modèle multi-périodique de contamination intégrant des dépendances, Cahiers de recherche ISFA, 2009.3, WP2103. preprint.
  • Rullière, D., Faleh, A., Planchet, F. (2009), Un algorithme d'optimisation par exploration sélective, hal-00411406. Cahiers de recherche ISFA, 2009.11, WP2111. preprint.

ENSEIGNEMENTS RECENTS

 

Logiciel SAS (ISFA, master M1 SAF, master M1 IR - passé)


Logiciel Access, Bases de données SQL (ISFA, master M1 SAF, master M1 IR - actuel)
Mathématiques actuarielles (ISFA, master M1 SAF - actuel)

Introduction aux mathématiques actuarielles et durées de survie (ISFA, master M2IR - passé, master M2 GRAF - actuel)

Mathématiques Financières et modèles d'assurance (Ecole Nationale Supérieure des Mines de Saint-Etienne - passé)

Mathématiques Financières I (ISFA Hanoi - actuel)

 

LIENS

Ressources pédagogiques

Ressources pour étudiants: lien (accès restreint)

Articles et papiers en ligne

Articles archivés sur HAL
Articles Economie/Sciences de gestion sur IDEAS
Profil Researchgate: Didier Rullière sur ResearchGate