Publications and Research Papers
- Weather hedging at the Hot Air Gas Company
(with R. Dischel). Erivativesreview.com . Electronic Journal, July 2001.
- Optimal design of derivatives in illiquid framework (with N. El Karoui). Quantitative Finance. 2, 1-8, 2002.
- Optimal design of weather derivatives (with N. El Karoui). Algo Research Quaterly. 5, 79-92, Spring 2002.
- Financial weather contracts and their application in risk management (with R. Dischel). Chapter in Climatic Risk and the Weather Market , Risk Book, Risk Waters Group, 2002.
- Gestion du risque climatique a l'aide de contrats financiers: l'experience americaine (with R. Dischel). Chapter in La Reassurance: Approche technique , Economica, 2003.
- Reinsuring climatic risk using optimally designed weather bonds (with N. El Karoui). Geneva Papers Risk and Insurance Theory. Vol. 27, 87-113, 2002.
- Optimal Timing for an environmental policy in a strategic framework (with M. Chesney). Environmental Modeling and Assessment, Special Issue on Economic Response to Climate Change. Vol. 8, 149-163, 2003.
- Structuration optimale de produits derives et diversification en presence de sources de risque non-negociables (with N. El Karoui). Comptes Rendus de l'Academie des Sciences. Vol. 336, nb. 6, 493-498, 2003. (Paper available)
- Introduction aux produits derives climatiques. Journal de la Societe Francaise de Statistiques. Vol. 144, nb. 3, 53-68, 2003.
- Optimal derivatives design under dynamic risk measures (with N. El Karoui). Article in Mathematics of Finance , Contemporary Mathematics (A.M.S. Proceedings), 13-26, 2004. (Paper available).
- A study of the Hartman-Watson distribution motivated by numerical problems related to Asian options
pricing (with A. Rouault and M. Yor). Journal of Applied Probability. Vol. 41, nb. 4, 1049-1058, 2004. (Paper available).
- Optimal risk transfer (with N. El Karoui). Finance . Vol. 25, 31-47, 2004. (Paper available).
- Inf-convolution of risk measures and optimal risk transfer (with N. El Karoui). Finance and Stochastics. Vol. 9, nb. 2, 269-298, 2005. (Paper available).
- Impact of a market crisis on real options (with N. Bellamy). In: Exotic Option Pricing and Advanced Levy Models (eds: Andreas Kyprianou, Wim Schoutens and Paul Wilmott), Wiley Finance, 2005. (Paper available).
- Iterates of the infinitesimal generators and generalized Stirling numbers associated with certain subordinators (with W. Schoutens). Journal of Computational and Applied Mathematics. Vol. 186, 300-323, 2006. (Paper available).
- Pricing, hedging and optimally designing derivatives via minimization of risk measures (with N. El Karoui). In: Volume on Indifference Pricing (ed: Rene Carmona), Princeton University Press, 2009. (Paper available).
- On precautionary policies (with B. Sinclair Desgagne). Management Science. Vol. 52, Nb 8,1145-1154, 2006. (Paper available).
- Dynamic Financial Risk Management (with N. El Karoui). In: Aspects des mathematiques financieres, Institut de France, Academie des Sciences, Editions TEC \& Doc, 2006. (Paper available).
- Optimal hitting time and perpetual option in a non-Levy model: Application to real options (with N. Bellamy). Advances in Applied Probability. Vol. 39, 1-20, 2007. (Paper available).
- On Pareto-optimal allocations for multi-period risks (with G. Scandolo). ASTIN Bulletin . Vol. 38, 105-136, 2008.
- Flood insurance in the Netherlands (with R. Jongejan). Geneva Papers on Risk and Insurance . Vol. 33, 250-268, 2008.
- Dynamic Financial Risk Management (with N. El Karoui). In: Aspects of mathematical Finance (ed: Marc Yor), Springer Verlag, 2008..
- Micro-assurance et derives climatiques. L'Art du Management, Les Echos, May 2008.
- Closedness results for BMO semi-martingales and application to quadratic BSDEs (with N. Cazanave and El Karoui). Comptes Rendus de l'Academie des Sciences. Vol. 346, 881-886, 2008. (Paper available).
- A primer on weather derivatives (with O. Scaillet). Handbook on Uncertainty and Environmental Decision Making (eds: Jerzy Filar and Alain Haurie). Springer International Series in Operations Research and Management science, 2009.
- Hybrid cat-bonds (with H. Louberge). Journal of Risk and Insurance . Vol. 76, 547-578, 2009. (Available at SSRN)
- Robust asset allocation under model risk (with S. Tobelem). Risk Magazine. 91-95, February 2009, republished in Life and Pensions . 36-40, May 2009. (Paper available).
- An adaptive nonparametric model for the systematic factors of portfolio credit risk premia (with F. Giammarino). Journal of Empirical Finance. Vol. 16, 655-670, 2009. (Paper available)
- Robust asset allocation under model risk (with S. Tobelem). In: Alternative Investments and Strategies (eds: Rudiger Kiesel, Matthias Scherer and Rudi Zagst). World Scientific, 2010.
- Asset allocation under model risk (with S. Tobelem). In: The Risk Modeling Evaluation Handbook (eds: Greg N. Gregoriou, Christian Hoppe and Carsten S. When) MacGraw-Hill, 2010.
- Understanding, modeling and managing longevity risk: aims and scope (with H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli and Y. Sahli). Scandinavian Actuarial Journal . Vol. 2012, 203-231, 2012.
- Assessing of the costs of protection in a context of switching stochastic regimes stochastic regimes (with N. Bellamy and J.M. Sahut). Applied Mathematical Finance. Vol. 19, 495-511, 2012.
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (with N. El Karoui). Annals of Probability . Vol. 41, 1831-1853, 2013. (Available at Arxiv).
- Indifference pricing with uncertainty averse preferences (with F. Giammarino). Journal of Mathematical Economics. Vol. 49, 22-27, 2013. (Available at SSRN).
- Reinsurance and securitisation in life insurance risk: the impact of regulatory constraints (with H. Louberge). Insurance: Mathematics and Economics Vol. 52, 135-144 2013. (Available at SSRN) .
- Innovations in insurance markets: hybrid and securitized risk-transfer solutions (with D. Cummins). Handbook of Insurance, second edition (Chapter (XX)) (ed: Georges Dionne). Springer Verlag, 2013.
- Market-consistent modelling for cap-and-trade schemes and application to option pricing (with M. Fehr). Operations Research . Vol. 62, 234-249, 2014 (Available at SSRN under a different title).
- Robust capital requirements with model risk (with C. Ravanelli). Economic Notes . Vol. 44, 1-28, 2015. (Available at SSRN).
- Assessing financial model risk (with G. Scandolo). European Journal of Operational Research. Vol. 242, 546-556, 2015. (Available at Arxiv).
- Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models (with L. Veraart). Scandinavian Actuarial Journal. Vol. 2, 146-166, 2016. (Preprint)
- Assessing contaminated land cleanup costs and strategies (with N. Bellamy and B. Sinclair Desgagne). Applied Mathematical Modelling . Vol. 42, 4778-492, 2017 (Available for download)
- Some Remarks on Policy Making under Model Uncertainty (with B. Sinclair Desgagne). (Available at SSRN).
- A new methodology for asset allocation under model risk (with S. Tobelem). (Available at SSRN).
- Sensitivity of Stochastic Delay Differential Equations with respect to the time lag (with N. Bellamy and E. Buckwar).
- Flood insurance and its implications for flood protection: the Dutch case (with R. Jongejan).
- Optimal boat repair (with T. Schmidt).
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