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1

Inf-convolution of risk measures and optimal risk transfer

Pauline Barrieu, Nicole El Karoui

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 259 KB

english, 2005

2

Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing

Barrieu, Pauline, Fehr, Max

Journal:

Operations Research

Year:

2014

Language:

english

File:

PDF, 417 KB

english, 2014

3

Assessing financial model risk

Barrieu, Pauline, Scandolo, Giacomo

Journal:

European Journal of Operational Research

Year:

2015

Language:

english

File:

PDF, 748 KB

english, 2015

4

Understanding, modelling and managing longevity risk: key issues and main challenges

Barrieu, Pauline, Bensusan, Harry, El Karoui, Nicole, Hillairet, Caroline, Loisel, Stéphane, Ravanelli, Claudia, Salhi, Yahia

Journal:

Scandinavian Actuarial Journal

Year:

2012

Language:

english

File:

PDF, 293 KB

english, 2012

5

Reinsuring Climatic Risk Using Optimally Designed Weather Bonds

PAULINE BARRIEU and NICOLE EL KAROUI

Journal:

The GENEVA Papers on Risk and Insurance - Theory

Year:

2002

Language:

english

File:

PDF, 1.74 MB

english, 2002

6

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Regulatory Issues and Solvency Capital Requirements

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 131 KB

english, 2012

7

Reinsuring Climatic Risk Using Optimally Designed Weather Bonds

Pauline Barrieu, Nicole El Karoui

Journal:

The GENEVA Risk and Insurance Review

Year:

2002

Language:

english

File:

PDF, 173 KB

english, 2002

8

Optimal design of derivatives in illiquid markets*

Barrieu, Pauline, El Karoui, Nicole

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 142 KB

english, 2002

9

Assessing the Costs of Protection in a Context of Switching Stochastic Regimes

Barrieu, Pauline, Bellamy, Nadine, Sahut, Jean-Michel

Journal:

Applied Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 184 KB

english, 2012

10

On Precautionary Policies

Barrieu, Pauline, Sinclair-Desgagné, Bernard

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 189 KB

english, 2006

11

On Precautionary Policies

Pauline Barrieu and Bernard Sinclair-Desgagné

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 2.32 MB

english, 2006

12

Assessing Financial Model Risk

Barrieu, Pauline M., Scandolo, Giacomo

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 413 KB

english, 2013

13

Robust Capital Requirements with Model Risk

Ravanelli, Claudia, Barrieu, Pauline M.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 403 KB

english, 2013

14

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Case Study: Some Embedded Value and XXX Securitisations

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 370 KB

english, 2012

15

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || The Evolution and Future of Reinsurance Sidecars

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 110 KB

english, 2012

16

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Case Study: A Cat Mortality Bond by AXA (OSIRIS)

Barrieu, Pauline, Albertini, Luca

Year:

2012

File:

PDF, 141 KB

2012

17

Iterates of the infinitesimal generator and space–time harmonic polynomials of a Markov process

Pauline Barrieu, Wim Schoutens

Journal:

Journal of Computational and Applied Mathematics

Year:

2006

Language:

english

File:

PDF, 283 KB

english, 2006

18

Closedness results for BMO semi-martingales and application to quadratic BSDEs

Pauline Barrieu, Nicolas Cazanave, Nicole El Karoui

Journal:

Comptes Rendus Mathematique

Year:

2008

File:

PDF, 135 KB

2008

19

Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables

Pauline Barrieu, Nicole El Karoui

Journal:

Comptes Rendus Mathematique

Year:

2003

File:

PDF, 104 KB

2003

20

Hybrid Cat Bonds

Pauline Barrieu, Henri Loubergé

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 354 KB

english, 2009

21

A semiparametric model for the systematic factors of portfolio credit risk premia

Flavia Giammarino, Pauline Barrieu

Journal:

Journal of Empirical Finance

Year:

2009

Language:

english

File:

PDF, 1.10 MB

english, 2009

22

Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints

Barrieu, Pauline, Loubergé, Henri

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 258 KB

english, 2013

23

Indifference pricing with uncertainty averse preferences

Giammarino, Flavia, Barrieu, Pauline

Journal:

Journal of Mathematical Economics

Year:

2013

Language:

english

File:

PDF, 239 KB

english, 2013

24

SCOR-JRI Special Issue on New Forms of Risk Financing and Risk Engineering || Hybrid Cat Bonds

Pauline Barrieu and Henri Loubergé

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 3.62 MB

english, 2009

25

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

Barrieu, Pauline, El Karoui, Nicole

Journal:

The Annals of Probability

Year:

2013

Language:

english

File:

PDF, 329 KB

english, 2013

26

Pricing q -forward contracts: an evaluation of estimation window and pricing method under different mortality models

Barrieu, Pauline M., Veraart, Luitgard A.M.

Journal:

Scandinavian Actuarial Journal

Year:

2014

Language:

english

File:

PDF, 408 KB

english, 2014

27

Robust Capital Requirements with Model Risk

Barrieu, Pauline, Ravanelli, Claudia

Journal:

Year:

2015

Language:

english

File:

PDF, 560 KB

english, 2015

28

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Longevity Risk Transfer: Indices and Capital Market Solutions

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 332 KB

english, 2012

29

Insuring Large-Scale Floods in the Netherlands

Jongejan, Ruben, Barrieu, Pauline

Journal:

Geneva Papers on Risk and Insurance - Issues and Practice

Year:

2008

Language:

english

File:

PDF, 570 KB

english, 2008

30

Assessing contaminated land cleanup costs and strategies

Barrieu, Pauline, Bellamy, Nadine, Sinclair-Desgagné, Bernard

Journal:

Applied Mathematical Modelling

Year:

2017

Language:

english

File:

PDF, 545 KB

english, 2017

31

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Choice of Triggers

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 250 KB

english, 2012

32

General Pareto Optimal Allocations and Applications to Multi-Period Risks

Barrieu, Pauline, Scandolo, Giacomo

Journal:

Year:

2008

Language:

english

File:

PDF, 588 KB

english, 2008

33

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Non-life Insurance Securitization: Market Overview, Background and Evolution

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 155 KB

english, 2012

34

Reinsurance and Securitisation of Life Insurance Risk: The Impact of Regulatory Constraints

Barrieu, Pauline M., Louberge, Henri

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 341 KB

english, 2011

35

Robust Asset Allocation Under Model Risk

Barrieu, Pauline M., Tobelem, Sandrine

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 491 KB

english, 2008

36

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Basis Risk from the Cedant's Perspective

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 165 KB

english, 2012

37

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || ILS Portfolio Monitoring Systems

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 45 KB

english, 2012

38

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Risk Modelling and the Role and Benefits of Cat Indices

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 962 KB

english, 2012

39

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) ||

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 4.23 MB

english, 2012

40

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Front Matter

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 89 KB

english, 2012

41

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Index

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 38 KB

english, 2012

42

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega)

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 25 KB

english, 2012

43

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || The Investor Perspective (Life)

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 63 KB

english, 2012

44

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Introduction

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 32 KB

english, 2012

45

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Life Insurance Securitisation: Legal Issues

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 128 KB

english, 2012

46

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Cedants’ Perspectives on Non-life Securitization

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 186 KB

english, 2012

47

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || The US Federal Income Taxation Treatment of Insurance-Linked Securities

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 86 KB

english, 2012

48

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || The Investor Perspective (Non-Life)

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 60 KB

english, 2012

49

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Life Securitization: Risk Modelling

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 53 KB

english, 2012

50

The Handbook of Insurance-Linked Securities (Barrieu/Handbook) || Case Study: A Cat Bond Transaction by SCOR (Atlas)

Barrieu, Pauline, Albertini, Luca

Year:

2012

Language:

english

File:

PDF, 186 KB

english, 2012