Pauline Barrieu

Publications and Research Papers

Publications

  1. Weather hedging at the Hot Air Gas Company (with R. Dischel). Erivativesreview.com . Electronic Journal, July 2001.
  2. Optimal design of derivatives in illiquid framework (with N. El Karoui). Quantitative Finance. 2, 1-8, 2002.
  3. Optimal design of weather derivatives (with N. El Karoui). Algo Research Quaterly. 5, 79-92, Spring 2002.
  4. 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.
  5. Gestion du risque climatique a l'aide de contrats financiers: l'experience americaine (with R. Dischel). Chapter in La Reassurance: Approche technique , Economica, 2003.
  6. Reinsuring climatic risk using optimally designed weather bonds (with N. El Karoui). Geneva Papers Risk and Insurance Theory. Vol. 27, 87-113, 2002.
  7. 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.
  8. 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)
  9. Introduction aux produits derives climatiques. Journal de la Societe Francaise de Statistiques. Vol. 144, nb. 3, 53-68, 2003.
  10. 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).
  11. 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).
  12. Optimal risk transfer (with N. El Karoui). Finance . Vol. 25, 31-47, 2004. (Paper available).
  13. 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).
  14. 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).
  15. 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).
  16. 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).
  17. On precautionary policies (with B. Sinclair Desgagne). Management Science. Vol. 52, Nb 8,1145-1154, 2006. (Paper available).
  18. 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).
  19. 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).
  20. On Pareto-optimal allocations for multi-period risks (with G. Scandolo). ASTIN Bulletin . Vol. 38, 105-136, 2008.
  21. Flood insurance in the Netherlands (with R. Jongejan). Geneva Papers on Risk and Insurance . Vol. 33, 250-268, 2008.
  22. Dynamic Financial Risk Management (with N. El Karoui). In: Aspects of mathematical Finance (ed: Marc Yor), Springer Verlag, 2008..
  23. Micro-assurance et derives climatiques. L'Art du Management, Les Echos, May 2008.
  24. 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).
  25. 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.
  26. Hybrid cat-bonds (with H. Louberge). Journal of Risk and Insurance . Vol. 76, 547-578, 2009. (Available at SSRN)
  27. 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).
  28. 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)
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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).
  34. Indifference pricing with uncertainty averse preferences (with F. Giammarino). Journal of Mathematical Economics. Vol. 49, 22-27, 2013. (Available at SSRN).
  35. 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) .
  36. 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.
  37. 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).
  38. Robust capital requirements with model risk (with C. Ravanelli). Economic Notes . Vol. 44, 1-28, 2015. (Available at SSRN).
  39. Assessing financial model risk (with G. Scandolo). European Journal of Operational Research. Vol. 242, 546-556, 2015. (Available at Arxiv).
  40. 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)
  41. 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)

Research Papers

  1. Some Remarks on Policy Making under Model Uncertainty (with B. Sinclair Desgagne). (Available at SSRN).
  2. A new methodology for asset allocation under model risk (with S. Tobelem). (Available at SSRN).
  3. Sensitivity of Stochastic Delay Differential Equations with respect to the time lag (with N. Bellamy and E. Buckwar).
  4. Flood insurance and its implications for flood protection: the Dutch case (with R. Jongejan).
  5. Optimal boat repair (with T. Schmidt).

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