Barrieu, Pauline and
Bellamy, Nadine and
Sinclair-Desgagné, Bernard
(2016)
Assessing contaminated land cleanup costs and strategies
Applied Mathematical Modelling. ISSN 0307-904X
Barrieu, Pauline and
Scandolo, Giacomo
(2014)
Assessing financial model risk
European Journal of Operational Research, 242 (2). 546-556. ISSN 0377-2217
Barrieu, Pauline and
Fehr, Max
(2014)
Market-consistent modeling for cap-and-trade schemes and application to option pricing
Operations Research, 62 (2). 234-249. ISSN 0030-364X
Barrieu, Pauline and
Louberge, Henri
(2013)
Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
Insurance: Mathematics and Economics, 52 (2). 135-144. ISSN 0167-6687
Barrieu, Pauline and
El Karoui, Nicole
(2013)
Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs
Annals of Probability, 41 (3B). 1831-1863. ISSN 0091-1798
Barrieu, Pauline and
Bensusan, Harry and
El Karoui, Nicole and
Hillairet, Caroline and
Loisel, Stephane and
Ravanelli, Claudia and
Salhi, Yahia
(2012)
Understanding, modelling and managing longevity risk: key issues and main challenges
Scandinavian Actuarial Journal, 3. 203-231. ISSN 0346-1238
Barrieu, Pauline and
Fehr, Max
(2011)
Integrated EUA and CER price modeling and application for spread option pricing
Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment working papers, 40. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.
Barrieu, Pauline and
Scaillet, Olivier
(2010)
A primer on weather derivatives
In:
Filar, Jerzy A. and
Haurie, Alain, (eds.)
Uncertainty and Environmental Decision Making: a Handbook of Research and Best Practice. International series in operations research & management science (138). Springer, 155-176. ISBN 9781441911285
Tobelem-Foldvari, Sandrine and
Barrieu, Pauline
(2009)
Robust asset allocation under model risk
Risk Magazine, 76. 91-95. ISSN 0952-8776
Giammarino, Flavia and
Barrieu, Pauline
(2009)
A semiparametric model for the systematic factors of portfolio credit risk premia
Journal of Empirical Finance, 16 (4). 655-670. ISSN 0927-5398
Barrieu, Pauline and
Louberge, Henri
(2009)
Hybrid cat bonds
Journal of Risk and Insurance, 76 (3). 547-578. ISSN 0022-4367
Barrieu, Pauline and
Desgagne, Bernard Sinclair
(2009)
Economic policy when models disagree
Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, 4. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.
Barrieu, P. and
El Karoui, N.
(2008)
Dynamic financial risk management
In:
Yor, Marc, (ed.)
Aspects of Mathematical Finance. Springer-Verlag, Paris, France, 23-36. ISBN 9783540752585
Barrieu, Pauline and
El Karoui, Nicole
(2008)
Pricing, hedging and optimally designing derivatives via minimization of risk measures
In:
Carmona, René, (ed.)
Indifference Pricing: Theory and Applications. Princeton University Press, Princeton, USA.
Barrieu, Pauline and
Scandolo, Giacomo
(2008)
General pareto optimal allocations and applications to multi-period risks
Forthcoming In: Astin Bulletin, 38 (1). 105-136. ISSN 0515-0361
Barrieu, Pauline and
Jongejan, Ruben
(2008)
Insuring large-scale floods in the Netherlands
Geneva Papers on Risk and Insurance, 33. 250-268. ISSN 1018-5895
Barrieu, Pauline and
Cazanave, Nicolas and
El Karoui, Nicole
(2008)
Closedness results for BMO semi-martingales and application to quadratic BSDE's
Comptes Rendus de L'academie des Sciences, 346 (15-16). 881-886. ISSN 1631-073X
Barrieu, Pauline and
Sinclair-Desgagne, Bernard
(2006)
On precautionary policies
Management Science, 52 (8). 1145-1154. ISSN 0025-1909
Barrieu, Pauline and
Schoutens, Wim
(2006)
Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process
Journal of Computational and Applied Mathematics, 186 (1). 300-323. ISSN 0377-0427
Barrieu, Pauline and
El Karoui, Nicole
(2005)
Inf-convolution of risk measures and optimal risk transfer
Finance and Stochastics, 9 (2). 269-298. ISSN 0949-2984
Barrieu, Pauline and
Bellamy, N.
(2005)
Impact of a market crisis on real options
In:
Kyprianou, Andreas E. and
Schoutens, Wim and
Wilmott, Paul, (eds.)
Exotic Option Pricing and Advanced Lévy Models. Wiley Finance, London, UK. ISBN 9780470016848
Barrieu, Pauline and
El Karoui , Nicole
(2004)
Optimal derivatives design under dynamic risk measures
In:
Yin, George and
Zhang, Qing , (eds.)
Mathematics of Finance. Contemporary mathematics (351). American Mathematical Society , Providence, USA, 13-26. ISBN 9780821834121
Barrieu, Pauline and
El Karoui, Nicole
(2004)
Optimal risk transfer
Finance, 25. 31-47. ISSN 0752-6180
Barrieu, Pauline
(2003)
Gestion du risque climatique à l'aide de contrats financiers: l'expérience Américaine
In:
Blondeau, Jacques and
Partrat, Christian, (eds.)
La Réassurance: Approche Technique. Assurance audit atuariat. Economica, Paris. ISBN 9782717845334
Barrieu, Pauline and
El Karoui, Nicole
(2003)
Structuration optimale de produits dérivés et diversification en présence de sources de risque non-négociables
Comptes Rendus Series Mathematiques, 336 (6). 493-498. ISSN 1631-073X
Barrieu, Pauline and
El Karoui, Nicole
(2002)
Reinsuring climatic risk using optimally designed weather bonds
The Geneva Papers on Risk and Insurance - Theory, 27 (2). 87-113. ISSN 0926-4957
Dischel, Robert S. and
Barrieu, Pauline
(2002)
Financial weather contracts and their application in risk management
In:
Dischel, Robert S., (ed.)
Climate Risk and the Weather Market: Financial Risk Management With Weather Hedges. Risk Books, London, UK, 25-42. ISBN 9781899332526