Pauline M. Barrieu

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

http://stats.lse.ac.uk/barrieu/

  • London School of Economics & Political Science (LSE)

SCHOLARLY PAPERS

11

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26

CROSSREF CITATIONS

49

Scholarly Papers (11)

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1.

Hybrid Cat-Bonds

Swiss Finance Institute Research Paper No. 07-27
Number of pages: 26 Posted: 10 Oct 2007
Pauline M. Barrieu and Henri Loubergé
London School of Economics & Political Science (LSE) and University of Geneva - Geneva School of Economics and Management
Downloads 711 (70,726)
Citation 4

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Risk management, Risk transfer, Catastrophes, Risk measures, Reinsurance, Optimal design

2.

Pricing, Hedging and Optimally Designing Derivatives via Minimization of Risk Measures

VOLUME ON INDIFFERENCE PRICING, Rene Carmona, ed., Princeton University Press
Number of pages: 71 Posted: 17 Mar 2009
Pauline M. Barrieu and Nicole El Karoui
London School of Economics & Political Science (LSE) and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 467 (119,367)
Citation 1

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risk measure, risk transfer, optimal design, hedging strategy, indifference pricing, BSDE

3.

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

Swiss Finance Institute Research Paper No. 11-57
Number of pages: 31 Posted: 28 Nov 2011
Pauline M. Barrieu and Henri Loubergé
London School of Economics & Political Science (LSE) and University of Geneva - Geneva School of Economics and Management
Downloads 357 (162,214)
Citation 1

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reinsurance, risk sharing, risk measures, longevity risk, insurance-linked securities

4.

Integrated EUA and CER Price Modeling and Application for Spread Option Pricing

Number of pages: 35 Posted: 11 Jan 2011
Pauline M. Barrieu and Max Fehr
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 317 (184,174)
Citation 7

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Environment, Asset Pricing, Stochastic Model Applications, Markov Processes, Economics

5.

Innovations in Insurance Markets: Hybrid and Securitized Risk Transfer Solutions

Dionne's Handbook of Insurance, 2nd edition, 2013
Number of pages: 72 Posted: 26 Feb 2014
J David Cummins and Pauline M. Barrieu
Temple University - Risk Management & Insurance & Actuarial Science and London School of Economics & Political Science (LSE)
Downloads 312 (187,253)
Citation 1

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Insurance, reinsurance, securitization, cat bonds, industry loss warranties, sidecars

6.

Robust Decision under Model Uncertainty

Number of pages: 36 Posted: 21 Dec 2008 Last Revised: 16 Dec 2009
Pauline M. Barrieu and Sandrine Tobelem
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 268 (219,287)

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robust decision, prospect theory, ambiguity, model risk

7.

Robust Capital Requirements with Model Risk

Number of pages: 42 Posted: 20 Jul 2013 Last Revised: 14 Jul 2014
Claudia Ravanelli and Pauline M. Barrieu
Center for Finance and Insurance and London School of Economics & Political Science (LSE)
Downloads 247 (237,687)

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Value at Risk, Average Value at Risk, model risk, Robust Statistics

8.

Some Remarks on Policy Making under Model Uncertainty

CIRANO - Scientific Publications Forthcoming
Number of pages: 22 Posted: 23 Mar 2009 Last Revised: 22 Mar 2017
Pauline M. Barrieu and Bernard Sinclair-Desgagne
London School of Economics & Political Science (LSE) and Skema Business School & GREDEG, Université Côte D'Azur
Downloads 202 (287,664)

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Model Uncertainty; Ambiguity; Robust Optimization; General Duality; Willingness-to-Accept (WTA) and Willingness-to-Pay (WTP)

9.

Indifference Pricing with Uncertainty Averse Preferences

Journal of Mathematical Economics, Vol. 49, No. 1 (2013)
Number of pages: 16 Posted: 04 May 2011 Last Revised: 22 Nov 2015
Flavia Giammarino and Pauline M. Barrieu
Independent Researcher and London School of Economics & Political Science (LSE)
Downloads 201 (288,955)
Citation 3

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Indifference Pricing, Risk Measures, Uncertainty Aversion, Quasiconvexity, Cash-Subadditivity

10.

Assessing Financial Model Risk

Number of pages: 23 Posted: 25 Jun 2013 Last Revised: 10 Jul 2013
Pauline M. Barrieu and Giacomo Scandolo
London School of Economics & Political Science (LSE) and University of Verona - Department of Economics
Downloads 162 (349,980)
Citation 13

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Model Risk, Value-at-Risk, Expected Shortfall

11.

A Semiparametric Model for the Systematic Factors of Portfolio Credit Risk Premia

Journal of Empirical Finance, Vol. 16, No. 4, 2009
Number of pages: 28 Posted: 21 Nov 2015 Last Revised: 22 Nov 2015
Flavia Giammarino and Pauline M. Barrieu
Independent Researcher and London School of Economics & Political Science (LSE)
Downloads 62 (667,553)

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Credit risk, Financial crises, Nonstationary time-series, Nonparametric modelling