Carole Bernard

Grenoble Ecole de Management

Professor

12, rue Pierre Sémard

Grenoble Cedex, 38003

France

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

SCHOLARLY PAPERS

67

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15,296

SSRN CITATIONS
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SSRN RANKINGS

Top 2,295

in Total Papers Citations

211

CROSSREF CITATIONS

355

Scholarly Papers (67)

1.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 1,509 (18,484)
Citation 1

Abstract:

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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

2.

Locally-Capped Investment Products and the Retail Investor

Journal of Derivatives, Vol. 18, No. 4, pp. 72-88, 2011
Number of pages: 34 Posted: 21 May 2019 Last Revised: 12 Aug 2019
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,108 (29,275)
Citation 1

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Household finance, structured products, retail investor, locally-capped contracts

3.
Downloads 739 ( 51,251)
Citation 24

Explicit Representation of Cost-Efficient Strategies

Number of pages: 39 Posted: 30 Jul 2010 Last Revised: 18 Apr 2013
Carole Bernard, Phelim P. Boyle and Steven Vanduffel
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and Vrije Universiteit Brussel (VUB)
Downloads 579 (69,463)
Citation 14

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Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas

Explicit Representation of Cost-Efficient Strategies

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 22 Oct 2010
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 160 (269,037)
Citation 9

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Stochastic Dominance, Efficiency Cost, Expected Utility Optimization, Portfolio Choice

4.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 658 (59,534)
Citation 32

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Parisian Options, Monte Carlo, Discrete Monitoring, Control Variate, Early Exercise, Executive Stock Options, Mr. Thain.

5.

Static Portfolio Choice Under Cumulative Prospect Theory

Mathematics and Financial Economics, Vol. 2, No. 4, March, 2010
Number of pages: 40 Posted: 30 Apr 2009 Last Revised: 19 Jul 2010
Carole Bernard and Mario Ghossoub
Grenoble Ecole de Management and University of Waterloo
Downloads 588 (68,763)
Citation 5

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Cumulative Prospect Theory, Portfolio Choice, Behavioral Finance, Omega Measure

6.

Statistical Assessments of Systemic Risk Measures

Number of pages: 19 Posted: 12 May 2012
Carole Bernard, Eike Brechmann and Claudia Czado
Grenoble Ecole de Management, Technische Universität München (TUM) and Technische Universität München (TUM) - Department of Mathematics
Downloads 568 (71,814)
Citation 1

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7.

A New Approach to Assessing Model Risk in High Dimensions

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 10 Feb 2014 Last Revised: 03 Apr 2015
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 518 (80,454)
Citation 12

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Model Risk, VaR, TVaR, variance, tail dependence, tail correlation

8.
Downloads 471 ( 90,334)
Citation 25

Value-at-Risk Bounds with Variance Constraints

Number of pages: 38 Posted: 18 Oct 2013 Last Revised: 10 Jul 2015
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 467 (90,441)
Citation 10

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Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm

Value‐At‐Risk Bounds with Variance Constraints

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 923-959, 2017
Number of pages: 37 Posted: 15 Aug 2017
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 4 (936,545)
Citation 4

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9.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 471 (90,568)

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Change of Numéraire, HJM model, Barrier Option, Markovian Approximation

Optimal Insurance Design Under Rank-Dependent Expected Utility

Number of pages: 42 Posted: 11 Jul 2011 Last Revised: 11 Dec 2012
Carole Bernard, Xue Dong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 428 (100,144)
Citation 4

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optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible

Optimal Insurance Design Under Rank‐Dependent Expected Utility

Mathematical Finance, Vol. 25, Issue 1, pp. 154-186, 2015
Number of pages: 33 Posted: 17 Jan 2015
Carole Bernard, Xuedong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, Columbia University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 1 (982,052)
Citation 13

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optimal insurance design, rank‐dependent expected utility, inverse‐S shaped probability distortion, indemnity, quantile formulation, deductible

11.

Improving the Design of Financial Products in a Multidimensional Black-Scholes Market

North American Actuarial Journal, Vol. 15, No.1, pp. 77-96
Number of pages: 26 Posted: 14 Apr 2010 Last Revised: 07 Dec 2011
Carole Bernard, Mateusz Maj and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 353 (125,697)

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cost-efficiency, optimal design, Black-Scholes

Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 02 Nov 2017
Carole Bernard, Michel Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 342 (129,350)
Citation 11

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Stochastic dominance, Moment space, s-convex order, Value-at-Risk

Measuring Portfolio Risk Under Partial Dependence Information

Journal of Risk and Insurance, Vol. 85, Issue 3, pp. 843-863, 2018
Number of pages: 21 Posted: 09 Aug 2018
Carole Bernard, M. Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain (UCL) and Vrije Universiteit Brussel (VUB)
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13.

Impact of Counterparty Risk on the Reinsurance Market

North American Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 07 Jan 2011 Last Revised: 24 Jan 2012
Carole Bernard and Michael Ludkovski
Grenoble Ecole de Management and University of California, Santa Barbara
Downloads 329 (135,712)
Citation 7

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Optimal Insurance Design, Multiplicative background risk, Counterparty risk, Reinsurance market, Stop-loss Insurance

14.

Option-Implied Dependence and Correlation Risk Premium

Number of pages: 49 Posted: 19 Jun 2020 Last Revised: 01 Jul 2021
Oleg Bondarenko and Carole Bernard
University of Illinois at Chicago - Department of Finance and Grenoble Ecole de Management
Downloads 326 (136,993)

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Model-Free Dependence, Implied Correlations, Forward-Looking Dependence, Down and up Correlation, Correlation Risk Premium

15.

Fixed-Strike European Arithmetic Asian Options: A Comment

Number of pages: 11 Posted: 29 Sep 2009
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business
Downloads 315 (141,995)

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Asian options, Tse and Mok formula, pricing

16.

A New Procedure for Pricing Parisian Options

Journal of Derivatives, Vol. 12, No. 4, 2005
Number of pages: 32 Posted: 13 Feb 2012 Last Revised: 12 Jan 2014
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 296 (152,050)
Citation 2

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17.

Optimal Portfolios Under Worst-Case Scenarios

Forthcoming in Quantitative Finance
Number of pages: 32 Posted: 04 Nov 2013
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 280 (160,346)
Citation 2

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Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio

18.

Note on 'Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)

Journal of Applied Probability, Forthcoming
Number of pages: 12 Posted: 13 Feb 2012 Last Revised: 11 May 2012
Carole Bernard, Xiao Jiang and Steven Vanduffel
Grenoble Ecole de Management, University of Waterloo and Vrije Universiteit Brussel (VUB)
Downloads 275 (163,355)
Citation 1

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bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints

19.

Risk Management of Policyholder Behavior in Equity Linked Life Insurance

Number of pages: 34 Posted: 08 Feb 2015
University of Waterloo, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 271 (165,851)
Citation 3

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Variable annuities, pricing, GMMB, dynamic hedging, surrender behavior

20.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 266 (168,972)

Abstract:

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Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

21.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 265 (169,572)
Citation 9

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Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

22.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 261 (172,270)
Citation 9

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factor models, risk aggregation, dependence uncertainty, Value-at-Risk

23.

Optimal Strategies Under Omega Ratio

Economics Letters, Forthcoming
Number of pages: 30 Posted: 05 Apr 2017 Last Revised: 28 Oct 2019
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 256 (175,555)
Citation 2

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Portfolio choice, Omega ratio, Ill-posedness

24.

Robust Distortion Risk Measures

Number of pages: 50 Posted: 23 Oct 2020 Last Revised: 19 May 2022
Carole Bernard, Silvana M. Pesenti and Steven Vanduffel
Grenoble Ecole de Management, University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 251 (179,551)
Citation 1

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Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk

25.

Rearrangement Algorithm and Maximum Entropy

Number of pages: 39 Posted: 23 Dec 2015 Last Revised: 17 Aug 2017
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 244 (184,671)
Citation 1

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Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

26.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 238 (188,475)
Citation 1

Abstract:

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Exchange options, Stochastic interest rates

27.

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

Forthcoming in European Journal of Operational Research
Number of pages: 27 Posted: 30 Sep 2012 Last Revised: 23 Jun 2013
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 231 (193,845)
Citation 6

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Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints

28.

Optimal Portfolios Under a Correlation Constraint

Forthcoming, Quantitative Finance
Number of pages: 27 Posted: 25 May 2016 Last Revised: 08 Sep 2020
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Asteria Investment Managers and Vrije Universiteit Brussel (VUB)
Downloads 217 (205,643)
Citation 3

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Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk

29.
Downloads 215 (208,364)
Citation 10

Financial Bounds for Insurance Claims

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 13 Oct 2011 Last Revised: 11 Feb 2012
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 214 (208,889)
Citation 1

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Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing

Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Vol. 81, Issue 1, pp. 27-56, 2014
Number of pages: 30 Posted: 15 Feb 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 1 (982,052)
Citation 1

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Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Forthcoming.
Posted: 23 Aug 2011 Last Revised: 22 Nov 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)

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30.

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010
Number of pages: 31 Posted: 17 Jan 2006 Last Revised: 15 Aug 2015
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 205 (216,825)

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Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

31.

A Practical Approach to Quantitative Model Risk Assessment

Number of pages: 41 Posted: 27 Apr 2020 Last Revised: 24 Nov 2020
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 191 (230,881)

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Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution

32.

Risk Sharing & Pricing in the Reinsurance Market

Number of pages: 42 Posted: 24 Dec 2012
Carole Bernard
Grenoble Ecole de Management
Downloads 188 (234,042)
Citation 1

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reinsurance market, optimal design, insurance policies, intermediation, risk management, risk sharing, basis risk, moral hazard, securitization, reinsurance premium

33.

Development and Pricing of a New Participating Contract

North American Actuarial Journal, Vol. 10, No. 4, pp. 179-195, 2006
Number of pages: 22 Posted: 30 Jan 2006 Last Revised: 01 Mar 2010
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 182 (240,809)

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem

34.

When Do Two- or Three-Fund Separation Theorems Hold?

Number of pages: 30 Posted: 20 Nov 2020
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 174 (250,180)
Citation 2

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Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis

35.

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Forthcoming, European Journal of Finance
Number of pages: 30 Posted: 27 Feb 2015 Last Revised: 02 Nov 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 162 (265,782)
Citation 6

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Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

36.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 146 (289,275)

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Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

37.

Implied Value-at-Risk and Model-Free Simulation

Number of pages: 22 Posted: 08 Nov 2021
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 144 (292,458)

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implied Value-at-Risk, model-free simulation under risk-neutral probability, exact simulation, stochastic volatility models, SABR model, Heston model.

38.

State-Dependent Fees for Variable Annuity Guarantees

Number of pages: 29 Posted: 30 Apr 2013 Last Revised: 27 Jul 2013
Carole Bernard, Mary R. Hardy and Anne MacKay
Grenoble Ecole de Management, University of Waterloo and University of Waterloo
Downloads 137 (304,107)
Citation 9

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Variable annuities, pricing, GMMB, GMDB, surrender option

39.

A Model-Free Approach to Multivariate Option Pricing

Number of pages: 28 Posted: 13 Nov 2019
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 113 (350,031)

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Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty

40.

Performance Regularity: A New Class of Executive Compensation Packages

Asia-Pacific Financial Markets, Vol. 19, No. 4, pp. 353-370, 2012
Number of pages: 24 Posted: 23 Jan 2012 Last Revised: 11 Jan 2014
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 111 (354,373)

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Executive stock options, Parisian options, Optimal compensation

41.

Optimal Surrender Policy for Variable Annuity Guarantees

Number of pages: 32 Posted: 11 Nov 2013 Last Revised: 31 Jan 2014
Carole Bernard, Anne MacKay and Max Muehlbeyer
Grenoble Ecole de Management, University of Waterloo and Ulm University
Downloads 98 (385,116)
Citation 1

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Variable annuities, Optimal surrender, GMMB, GMSB

42.

Impact of Preferences on Optimal Insurance in the Presence of Multiple Policyholders

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 30 Posted: 12 Nov 2018 Last Revised: 15 Feb 2020
Carole Bernard, Fangda Liu and Steven Vanduffel
Grenoble Ecole de Management, Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and Vrije Universiteit Brussel (VUB)
Downloads 96 (390,138)
Citation 1

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Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy

43.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Carole Bernard, Zhenyu Cui and Steven Vanduffel
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 95 (392,751)
Citation 1

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

44.

What Matters in the Annuitization Decision?

Number of pages: 28 Posted: 04 Nov 2020 Last Revised: 21 Jun 2021
Mohamad Hassan Abou Daya and Carole Bernard
Grenoble Ecole de Management and Grenoble Ecole de Management
Downloads 92 (400,790)

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Annuities Demand, Trust in Financial Analysts, Multiple Factors Test

45.

Optimal Portfolio Choice with Benchmarks

Number of pages: 35 Posted: 21 Jun 2017 Last Revised: 02 Nov 2017
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 90 (406,339)

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optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 83 (431,092)

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Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Number of pages: 30 Posted: 15 Jan 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 1 (982,052)
Citation 4

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Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

47.

Optimal Multivariate Financial Decision Making

Number of pages: 30 Posted: 19 Nov 2021 Last Revised: 21 Sep 2022
Grenoble Ecole de Management, University of Copenhagen and Vrije Universiteit Brussel (VUB)
Downloads 81 (432,953)

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Cost-efficiency, multivariate utility, multivariate preferences, diversification, systemic risk

48.

Optimal Portfolio Under State-Dependent Expected Utility

Number of pages: 19 Posted: 14 Mar 2018
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 74 (459,029)

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Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory

49.

Rationalizing Investors Choice

Journal of Mathematical Economics, Forthcoming
Number of pages: 30 Posted: 02 Feb 2014 Last Revised: 01 May 2015
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 73 (459,029)
Citation 10

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First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure

50.

Optimal Annuity Demand for General Expected Utility Agents

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 28 Posted: 12 May 2020 Last Revised: 07 Nov 2020
Grenoble Ecole de Management, University of Copenhagen and University of Rome I
Downloads 71 (465,915)

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Expected utility theory, annuity equivalent wealth, longevity risk pooling, life-cycle model, annuity puzzle

51.

The Impact of Correlation on (Range) Value-at-Risk

Number of pages: 42 Posted: 14 Dec 2021
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 69 (472,986)

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Risk bounds, Value-at-Risk, Pearson correlation, Spearman's rho, Kendall's tau

52.

Asset Risk Management of Participating Contracts

Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012
Number of pages: 27 Posted: 08 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 62 (499,492)

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Participating Contracts, CPPI, Equity Default Swap, Market Valuation

53.

Bounds on Capital Requirements for Bivariate Risk with Given Marginals and Partial Information on the Dependence

Number of pages: 23 Posted: 04 Oct 2013
Grenoble Ecole de Management, University of Waterloo, University of Waterloo and UCLA Anderson School of Management
Downloads 54 (532,816)
Citation 2

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Copulas, Fréchet-Hoeffding bounds, Capital requirements

54.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Number of pages: 23 Posted: 08 Feb 2017
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 46 (570,167)
Citation 3

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation

55.

Bounds on Range Value-at-Risk for Unimodal Symmetric Distributions

Number of pages: 15 Posted: 03 Jun 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 38 (618,664)

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Range Value-at-Risk, Value-at-Risk, unimodality, symmetry, risk bounds, Gauss inequality

56.

Impact of Systemic Risk Regulation on Optimal Policies and Asset Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 65 Posted: 10 May 2022 Last Revised: 01 Aug 2022
Carole Bernard and Xuecan (Emma) Cui
Grenoble Ecole de Management and Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE)
Downloads 37 (618,664)

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Systemic risk management, conditional VaR (CoVaR) constraint, systemic expected shortfall (SES), state-dependent capital requirement, stress scenarios, equilibrium analysis.

57.

Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)

Banque et Marchés, N° 82, p. 81-90, 2006
Number of pages: 20 Posted: 13 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 23 (714,452)

Abstract:

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58.

An updated version of 'Range Value-at-Risk Bounds for Unimodal Distributions Under Partial Information'

Number of pages: 44 Posted: 05 Mar 2022 Last Revised: 23 May 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and affiliation not provided to SSRN
Downloads 19 (756,186)

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Model risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

59.

Cost-efficiency in Incomplete Markets

Number of pages: 44 Posted: 30 Jun 2022
Carole Bernard and Stephan Sturm
Grenoble Ecole de Management and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 17 (765,050)

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Cost-efficiency, portfolio choice, law-invariant objective, utility maximization.

60.

A Study of Mutual Insurance for Bank Deposits

Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Number of pages: 20 Posted: 08 Feb 2017
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 15 (783,280)

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61.

Optimal Reinsurance Arrangements Under Tail Risk Measures

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 709-725, September 2009
Number of pages: 17 Posted: 13 Oct 2009
Carole Bernard and Weidong Tian
Grenoble Ecole de Management and University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration
Downloads 8 (854,221)
Citation 4

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62.

Robust assessment of life insurance products

Number of pages: 31 Posted: 29 Apr 2022
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 5 (887,814)

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Model Risk, Longevity Risk, Insurance pricing, L^p distance, Actuarial value

63.

Where Less is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer

Journal of Risk and Insurance, Vol. 86, Issue 3, pp. 761-782, 2019
Number of pages: 22 Posted: 28 May 2020
Carole Bernard and Thorsten Moenig
Grenoble Ecole de Management and Temple University, Department of Risk, Insurance & Healthcare Management
Downloads 3 (912,645)
Citation 5

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64.

Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance

Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 661-690, 2017
Number of pages: 30 Posted: 15 May 2017
ETH Zürich - Department of Mathematics, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 3 (912,645)
Citation 8

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65.

Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information

Insurance: Mathematics and Economics, Vol. 94, p. 9-24, September 2020
Posted: 30 Jun 2019 Last Revised: 23 May 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)

Abstract:

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Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

66.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo

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Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions

67.

Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Journal of Derivatives, Vol. 17, No. 1, 2009, https://doi.org/10.3905/JOD.2009.17.1.062
Posted: 01 Apr 2009 Last Revised: 21 May 2019
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics

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Madoff, split-strike conversion strategy, performance measurement