55 citations · 168 across the 11 of their papers we have counts for
12 papers
FunQuant: A R package to perform quantization in the context of rare events and time-consuming simulations
Charlie Sire, Yann Richet, Rodolphe Le Riche +3
Quantization summarizes continuous distributions by calculating a discrete approximation. Among the widely adopted methods for data quantization is Lloyd's algorithm, which partiti…
Quantizing rare random maps: application to flooding visualization
Charlie Sire, Rodolphe Le Riche, Didier Rullière +3
Visualization is an essential operation when assessing the risk of rare events such as coastal or river floodings. The goal is to display a few prototype events that best represent…
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although…
Dependence structure estimation using Copula Recursive Trees
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various p…
Properties and comparison of some Kriging sub-model aggregation methods
François Bachoc, Nicolas Durrande, Didier Rullière +1
Kriging is a widely employed technique, in particular for computer experiments, in machine learning or in geostatistics. An important challenge for Kriging is the computational bur…
Asymptotic multivariate expectiles
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multiva…
Multivariate extensions of expectiles risk measures
Véronique Maume-Deschamps, Didier Rullière, Khalil Saïd
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. W…
Nested Kriging predictions for datasets with large number of observations
Didier Rullière, Nicolas Durrande, François Bachoc +1
This work falls within the context of predicting the value of a real function at some input locations given a limited number of observations of this function. The Kriging interpola…
Kriging of financial term-structures
Areski Cousin, Hassan Maatouk, Didier Rullière
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-…
Impact of dependence on some multivariate risk indicators
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. [6]. The aim of capital allocation is to choose a point in a…
A risk management approach to capital allocation
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach o…
An extension of Davis and Lo's contagion model
Didier Rullière, Diana Dorobantu, Areski Cousin
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of…