55 citations · 168 across the 11 of their papers we have counts for
3 papers · 1 filter
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-…