Items where Author is "Barrieu, Pauline"

Article

Makariou, Despoina ORCID: 0000-0002-9001-2122, Barrieu, Pauline ORCID: 0000-0001-9473-263X and Chen, Yining ORCID: 0000-0003-1697-1920 (2021) A random forest based approach for predicting spreads in the primary catastrophe bond market. Insurance: Mathematics and Economics, 101. 140 - 162. ISSN 0167-6687

Makariou, Despoina ORCID: 0000-0002-9001-2122, Barrieu, Pauline ORCID: 0000-0001-9473-263X and Tzougas, George (2021) A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures. Risks, 9 (6). ISSN 2227-9091

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Bellamy, Nadine and Sinclair-Desgagné, Bernard (2017) Assessing contaminated land cleanup costs and strategies. Applied Mathematical Modelling, 42. pp. 478-492. ISSN 0307-904X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2016) Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal, 2016 (2). pp. 146-166. ISSN 0346-1238

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Scandolo, Giacomo (2014) Assessing financial model risk. European Journal of Operational Research, 242 (2). pp. 546-556. ISSN 0377-2217

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Fehr, Max (2014) Market-consistent modeling for cap-and-trade schemes and application to option pricing. Operations Research, 62 (2). pp. 234-249. ISSN 0030-364X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2013) Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs. Annals of Probability, 41 (3B). pp. 1831-1863. ISSN 0091-1798

Barrieu, Pauline and Louberge, Henri (2013) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: Mathematics and Economics, 52 (2). pp. 135-144. ISSN 0167-6687 (Submitted)

Giammarino, Flavia and Barrieu, Pauline ORCID: 0000-0001-9473-263X (2013) Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49 (1). pp. 2-15. ISSN 0304-4068

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Bensusan, Harry, El Karoui, Nicole, Hillairet, Caroline, Loisel, Stephane, Ravanelli, Claudia and Salhi, Yahia (2012) Understanding, modelling and managing longevity risk: key issues and main challenges. Scandinavian Actuarial Journal, 3. pp. 203-231. ISSN 0346-1238

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Bellamy, Nadine and Sahut, Jean-Michel (2012) Assessing the costs of protection in a context of switching stochastic regimes. Applied Mathematical Finance, 19 (6). pp. 495-511. ISSN 1350-486X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Louberge, Henri (2009) Hybrid cat bonds. Journal of Risk and Insurance, 76 (3). pp. 547-578. ISSN 0022-4367

Giammarino, Flavia and Barrieu, Pauline ORCID: 0000-0001-9473-263X (2009) A semiparametric model for the systematic factors of portfolio credit risk premia. Journal of Empirical Finance, 16 (4). pp. 655-670. ISSN 0927-5398

Tobelem-Foldvari, Sandrine and Barrieu, Pauline ORCID: 0000-0001-9473-263X (2009) Robust asset allocation under model risk. Risk Magazine, 76. pp. 91-95. ISSN 0952-8776

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Cazanave, Nicolas and El Karoui, Nicole (2008) Closedness results for BMO semi-martingales and application to quadratic BSDE's. Comptes Rendus Mathématique, 346 (15-16). pp. 881-886. ISSN 1631-073X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Jongejan, Ruben (2008) Insuring large-scale floods in the Netherlands. Geneva Papers on Risk and Insurance: Issues and Practice, 33. pp. 250-268. ISSN 1018-5895

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Scandolo, Giacomo (2008) General pareto optimal allocations and applications to multi-period risks. Astin Bulletin, 38 (1). pp. 105-136. ISSN 0515-0361

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Bellamy, N. (2007) Optimal hitting time and perpetual option in a non-Lévy model: application to real options. Advances in Applied Probability, 39 (2). pp. 510-530. ISSN 0001-8678

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Schoutens, Wim (2006) Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Journal of Computational and Applied Mathematics, 186 (1). pp. 300-323. ISSN 0377-0427

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Sinclair-Desgagne, Bernard (2006) On precautionary policies. Management Science, 52 (8). pp. 1145-1154. ISSN 0025-1909

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Inf-convolution of risk measures and optimal risk transfer. Finance and Stochastics, 9 (2). pp. 269-298. ISSN 0949-2984

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2004) Optimal risk transfer. Finance, 25. pp. 31-47. ISSN 0752-6180

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Rouault, A. and Yor, M. (2004) A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options. Journal of Applied Probability, 41 (4). pp. 1049-1058. ISSN 0021-9002

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Chesney, Marc (2003) Optimal timing to adopt an environmental policy in a strategic framework. Environmental Modeling and Assessment, 8 (3). pp. 149-163. ISSN 1420-2026

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2003) Structuration optimale de produits dérivés et diversification en présence de sources de risque non-négociables. Comptes Rendus Mathematiques, 336 (6). pp. 493-498. ISSN 1631-073X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Reinsuring climatic risk using optimally designed weather bonds. The Geneva Papers on Risk and Insurance Theory, 27 (2). pp. 87-113. ISSN 0926-4957

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Optimal design of derivatives in illiquid markets. Quantitative Finance, 2 (3). pp. 181-188. ISSN 1469-7688

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Optimal design of weather derivatives. Algo research quarterly, 5. pp. 79-92. ISSN 1488-0539

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Dischel, Robert S. (2001) Weather hedging at the hot air gas company. Erivativesreview.com.

Book Section

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Scaillet, Olivier (2010) A primer on weather derivatives. In: Filar, Jerzy A. and Haurie, Alain, (eds.) Uncertainty and Environmental Decision Making: a Handbook of Research and Best Practice. International series in operations research & management science (138). Springer Berlin / Heidelberg, pp. 155-176. ISBN 9781441911285

Barrieu, Pauline ORCID: 0000-0001-9473-263X (2008) Micro-assurance et derives climatiques. In: L'Art du Management. Les Echos, Paris, France. ISBN 9782842111816

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2008) Pricing, hedging and optimally designing derivatives via minimization of risk measures. In: Carmona, René, (ed.) Indifference Pricing: Theory and Applications. Princeton University Press, Princeton, USA.

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Dynamic financial risk management. In: Aspects des Mathématiques Financières. Technique et documentation (Firm). ISBN 2743008873

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Bellamy, N. (2005) Impact of a market crisis on real options. In: Kyprianou, Andreas E., Schoutens, Wim and Wilmott, Paul, (eds.) Exotic Option Pricing and Advanced Lévy Models. John Wiley & Sons, London, UK. ISBN 9780470016848

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2004) Optimal derivatives design under dynamic risk measures. In: Yin, George and Zhang, Qing, (eds.) Mathematics of Finance. Contemporary mathematics (351). American Mathematical Society, Providence, USA, pp. 13-26. ISBN 9780821834121

Barrieu, Pauline ORCID: 0000-0001-9473-263X (2003) Gestion du risque climatique à l'aide de contrats financiers: l'expérience Américaine. In: Blondeau, Jacques and Partrat, Christian, (eds.) La Réassurance: Approche Technique. Assurance audit atuariat. Economica, Paris. ISBN 9782717845334

Dischel, Robert S. and Barrieu, Pauline ORCID: 0000-0001-9473-263X (2002) Financial weather contracts and their application in risk management. In: Dischel, Robert S., (ed.) Climate Risk and the Weather Market: Financial Risk Management With Weather Hedges. Risk Books, London, UK, pp. 25-42. ISBN 9781899332526

Monograph

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Fehr, Max (2011) Integrated EUA and CER price modeling and application for spread option pricing. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment working papers (40). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Desgagne, Bernard Sinclair (2009) Economic policy when models disagree. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment (4). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

Conference or Workshop Item

Giammarino, Flavia and Barrieu, Pauline (2011) Indifference pricing with uncertainty averse preferences. In: LSE Research Day 2011: The Early Career Researcher, 2011-05-26, London, United Kingdom, GBR. (Submitted)