Barrieu, Pauline


Professor Pauline Barrieu  

Department

Position held

Centre for the Analysis of Time Series (CATS)

Co-director

Department of Statistics

Deputy Head of Department

Risk and Stochastics Group (RSG)

Experience keywords:

insurance derivatives; option pricing; derivatives on non-tradable risks; financial mathematics; environmental economics; security design

Languages:

French [Spoken: Fluent, Written: Fluent]

Media experience:

RadioTV

Contact Points

LSE phone number:

020 7955 6016

Publications

LSE Research Online, Funnelback Search

2014

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

2013

Giammarino, Flavia and Barrieu, Pauline (2013) Indifference pricing with uncertainty averse preferences Journal of Mathematical Economics, 49 (1). 2-15. ISSN 0304-4068

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

2012

Barrieu, Pauline and Bellamy, Nadine and Sahut, Jean-Michel (2012) Assessing the costs of protection in a context of switching stochastic regimes Applied Mathematical Finance, 19 (6). 495-511. ISSN 1350-486X

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

2011

Giammarino, Flavia and Barrieu, Pauline (2011) Indifference pricing with uncertainty averse preferences

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.

2010

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

2009

Barrieu, Pauline and Albertini, Luca, eds (2009) The handbook of insurance-linked securities Wiley-Blackwell, London, UK. ISBN 9780470743836

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.

2008

Barrieu, Pauline (2008) Micro-assurance et derives climatiques In: L'Art du Management. Les Echos, Paris, France. ISBN 9782842111816

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

2007

Barrieu, Pauline and Bellamy, N. (2007) Optimal hitting time and perpetual option in a non-Lévy model: application to real options Advances in Applied Probability, 39 (2). 510-530. ISSN 0001-8678

2006

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

2005

Barrieu, Pauline and El Karoui, Nicole (2005) Dynamic financial risk management In: Aspects des Mathématiques Financières. Tec & Doc Lavoisier. ISBN 2743008873

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

2004

Barrieu, Pauline and Rouault, A. and Yor, M. (2004) A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options Journal of Applied Probability, 41 (4). 1049-1058. ISSN 0021-9002

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

2003

Barrieu, Pauline and Chesney, Marc (2003) Optimal timing to adopt an environmental policy in a strategic framework Environmental Modeling and Assessment, 8 (3). 149-163. ISSN 1420-2026

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

2002

Barrieu, Pauline and El Karoui, Nicole (2002) Optimal design of weather derivatives Algo research quarterly , 5. 79-92. ISSN 1488-0539

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

2001

Barrieu, Pauline and Dischel, Robert S. (2001) Weather hedging at the hot air gas company Erivativesreview.com.


Expert Image

I recently edited "The Handbook of Insurance-Linked Securities" with Luca Albertini. The book was published by Wiley in July 2009.

Highlight Image

 

Browse the Experts Directory:

LSE Research Online|

Collection of LSE research outputs

LSE Consulting|

Service providing unique access
to LSE's expertise

Create or update your
online profile
|

[access restricted to staff]

Research highlights|

Short articles about LSE research