Items where Author is "Barrieu, Pauline"

Number of items: 41.
Article
  • Assessing contaminated land cleanup costs and strategies. Barrieu, Pauline; Bellamy, Nadine; Sinclair-Desgagné, Bernard
  • Assessing financial model risk. Barrieu, Pauline; Scandolo, Giacomo
  • Assessing the costs of protection in a context of switching stochastic regimes. Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel
  • Closedness results for BMO semi-martingales and application to quadratic BSDE's. Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
  • General pareto optimal allocations and applications to multi-period risks. Barrieu, Pauline; Scandolo, Giacomo
  • Hybrid cat bonds. Barrieu, Pauline; Louberge, Henri
  • Indifference pricing with uncertainty averse preferences. Giammarino, Flavia; Barrieu, Pauline
  • Inf-convolution of risk measures and optimal risk transfer. Barrieu, Pauline; El Karoui, Nicole
  • Insuring large-scale floods in the Netherlands. Barrieu, Pauline; Jongejan, Ruben
  • Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Barrieu, Pauline; Schoutens, Wim
  • Market-consistent modeling for cap-and-trade schemes and application to option pricing. Barrieu, Pauline; Fehr, Max
  • Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs. Barrieu, Pauline; El Karoui, Nicole
  • On precautionary policies. Barrieu, Pauline; Sinclair-Desgagne, Bernard
  • Optimal design of derivatives in illiquid markets. Barrieu, Pauline; El Karoui, Nicole
  • Optimal design of weather derivatives. Barrieu, Pauline; El Karoui, Nicole
  • Optimal hitting time and perpetual option in a non-Lévy model: application to real options. Barrieu, Pauline; Bellamy, N.
  • Optimal risk transfer. Barrieu, Pauline; El Karoui, Nicole
  • Optimal timing to adopt an environmental policy in a strategic framework. Barrieu, Pauline; Chesney, Marc
  • Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Barrieu, Pauline; Veraart, Luitgard A. M.
  • Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Barrieu, Pauline; Louberge, Henri
  • Reinsuring climatic risk using optimally designed weather bonds. Barrieu, Pauline; El Karoui, Nicole
  • Robust asset allocation under model risk. Tobelem-Foldvari, Sandrine; Barrieu, Pauline
  • Structuration optimale de produits dérivés et diversification en présence de sources de risque non-négociables. Barrieu, Pauline; El Karoui, Nicole
  • Understanding, modelling and managing longevity risk: key issues and main challenges. Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stephane; Ravanelli, Claudia; Salhi, Yahia
  • Weather hedging at the hot air gas company. Barrieu, Pauline; Dischel, Robert S.
  • A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures. Makariou, Despoina; Barrieu, Pauline; Tzougas, George picture_as_pdf
  • A random forest based approach for predicting spreads in the primary catastrophe bond market. Makariou, Despoina; Barrieu, Pauline; Chen, Yining picture_as_pdf
  • A semiparametric model for the systematic factors of portfolio credit risk premia. Giammarino, Flavia; Barrieu, Pauline
  • A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options. Barrieu, Pauline; Rouault, A.; Yor, M.
    • Chapter
  • Catastrophe bonds. (2024) Barrieu, Pauline; Braun, Alexander; Makariou, Despoina picture_as_pdf
  • Dynamic financial risk management. Barrieu, Pauline; El Karoui, Nicole
  • Financial weather contracts and their application in risk management. Dischel, Robert S.; Barrieu, Pauline
  • Gestion du risque climatique à l'aide de contrats financiers: l'expérience Américaine. Barrieu, Pauline
  • Impact of a market crisis on real options. Barrieu, Pauline; Bellamy, N.
  • Micro-assurance et derives climatiques. Barrieu, Pauline
  • Optimal derivatives design under dynamic risk measures. Barrieu, Pauline; El Karoui, Nicole
  • Pricing, hedging and optimally designing derivatives via minimization of risk measures. Barrieu, Pauline; El Karoui, Nicole
  • A primer on weather derivatives. Barrieu, Pauline; Scaillet, Olivier
    • Conference or Workshop Item
  • Indifference pricing with uncertainty averse preferences. Giammarino, Flavia; Barrieu, Pauline
    • Working paper
  • Economic policy when models disagree. Barrieu, Pauline; Desgagne, Bernard Sinclair
  • Integrated EUA and CER price modeling and application for spread option pricing. Barrieu, Pauline; Fehr, Max