Pauline Barrieu
Pauline Barrieu
Statistics department, London School of Economics
Verified email at lse.ac.uk
Title
Cited by
Cited by
Year
Inf-convolution of risk measures and optimal risk transfer
P Barrieu, N El Karoui
Finance and stochastics 9 (2), 269-298, 2005
2852005
Pricing, hedging and optimally designing derivatives via minimization of risk measures
P Barrieu, NE Karoui
arXiv preprint arXiv:0708.0948, 2007
215*2007
Optimal derivatives design under dynamic risk measures
P Barrieu, N El Karoui
Contemporary Mathematics 351, 13-26, 2004
1482004
Understanding, modelling and managing longevity risk: key issues and main challenges
P Barrieu, H Bensusan, N El Karoui, C Hillairet, S Loisel, C Ravanelli, ...
Scandinavian actuarial journal 2012 (3), 203-231, 2012
1232012
The handbook of insurance-linked securities
IL Securities
1022009
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
P Barrieu, N El Karoui
The Annals of Probability 41 (3B), 1831-1863, 2013
902013
Hybrid cat bonds
P Barrieu, H Loubergé
Journal of Risk and Insurance 76 (3), 547-578, 2009
602009
On precautionary policies
P Barrieu, B Sinclair-Desgagné
Management science 52 (8), 1145-1154, 2006
602006
Assessing financial model risk
P Barrieu, G Scandolo
European Journal of Operational Research 242 (2), 546-556, 2015
582015
Optimal design of derivatives in illiquid markets*
P Barrieu, NE Karoui
Quantitative Finance 2 (3), 181-188, 2002
512002
Innovations in insurance markets: hybrid and securitized risk-transfer solutions
JD Cummins, P Barrieu
Handbook of Insurance, 547-602, 2013
392013
A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian options
P Barrieu, A Rouault, M Yor
Journal of Applied Probability, 1049-1058, 2004
392004
Reinsuring climatic risk using optimally designed weather bonds
P Barrieu, N El Karoui
The Geneva Papers on Risk and Insurance Theory 27 (2), 87-113, 2002
352002
Financial weather contracts and their application in risk management
RS Dischel, P Barrieu
Risk Books, 2002
332002
General Pareto Optimal Allocations and Applications to Multi-Period Risks 1
P Barrieu, G Scandolo
ASTIN Bulletin: The Journal of the IAA 38 (1), 105-136, 2008
292008
A primer on weather derivatives
P Barrieu, O Scaillet
Uncertainty and Environmental Decision Making, 155-175, 2009
252009
Closedness results for BMO semi-martingales and application to quadratic BSDEs
P Barrieu, N Cazanave, N El Karoui
Comptes Rendus Mathematique 346 (15-16), 881-886, 2008
222008
Optimal design of weather derivatives
P Barrieu, N El Karoui
Algo research quarterly 5, 79-92, 2002
212002
Insuring large-scale floods in the Netherlands
R Jongejan, P Barrieu
The Geneva Papers on Risk and Insurance-Issues and Practice 33 (2), 250-268, 2008
202008
Optimal timing to adopt an environmental policy in a strategic framework
P Barrieu, M Chesney
Environmental Modeling & Assessment 8 (3), 149-163, 2003
192003
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Articles 1–20