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Barrieu, Pauline, 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, 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 and El Karoui, Nicole (2012) Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs and unbound existence result. Annals of probability . ISSN 0091-1798 (Submitted)
Barrieu, Pauline and Louberge, Henri (2012) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: mathematics and economics . ISSN 0167-6687 (In Press)
Baurdoux, Erik J. (2009) Last exit before an exponential time for spectrally negative Lévy processes. Journal of applied probability, 46 (2). pp. 542-588. ISSN 0021-9002
Baurdoux, Erik J. (2009) Some excursion calculations for reflected Lévy processes. ALEA: Latin American journal of probability and mathematical statistics, 6 . pp. 149-162. ISSN 1980-0436
Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process. Electronic journal of probability, 13 . pp. 173-197. ISSN 1083-6489
Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Teoriya Veroyatnostei i ee Primeneniya, 53 (3). pp. 588-609. ISSN 0040-361X
Baurdoux, Erik J. and Kyprianou, Andreas E. (2009) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Theory of probability and its applications, 53 (3). pp. 481-499. ISSN 0040-585X
Giammarino, Flavia and Barrieu, Pauline (2013) Indifference pricing with uncertainty averse preferences. Journal of mathematical economics, 49 (1). pp. 2-15. ISSN 0304-4068
Giammarino, Flavia and Barrieu, Pauline (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
Barrieu, P. and El Karoui, N. (2008) Dynamic financial risk management. In: Yor, Marc, (ed.) Aspects of mathematical finance. Springer-Verlag, Paris, France, pp. 23-36. ISBN 9783540752585
Barrieu, Pauline 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. Wiley Finance, London, UK. ISBN 9780470016848
Barrieu, Pauline 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 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, pp. 155-176. ISBN 9781441911285
Dischel, Robert S. and Barrieu, Pauline (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
Barrieu, Pauline 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.
Barrieu, Pauline 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 and Albertini, Luca, eds. (2009) The handbook of insurance-linked securities. Wiley-Blackwell, London, UK. ISBN 9780470743836
Rheinlander, Thorsten and Sexton , Jenny (2011) Hedging derivatives. Advanced Series on Statistical Science and Applied Probability , 15 . World Scientific Publishing, London, UK. ISBN 9789814338790
Baurdoux, Erik J. (2007) Fluctuation theory and stochastic games for spectrally negative Lévy processes. PhD thesis, Universiteit Utrecht.
