LSE creators

Number of items: 43.
Article
  • Makariou, Despoina, Barrieu, Pauline, Chen, Yining (2021). A random forest based approach for predicting spreads in the primary catastrophe bond market. Insurance: Mathematics and Economics, 101, 140 - 162. https://doi.org/10.1016/j.insmatheco.2021.07.003 picture_as_pdf
  • Makariou, Despoina, Barrieu, Pauline, Tzougas, George (2021). A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures. Risks, 9(6). https://doi.org/10.3390/risks9060115 picture_as_pdf
  • Barrieu, Pauline, Bellamy, Nadine, Sinclair-Desgagné, Bernard (2017). Assessing contaminated land cleanup costs and strategies. Applied Mathematical Modelling, 42, 478-492. https://doi.org/10.1016/j.apm.2016.10.015
  • Barrieu, Pauline, Veraart, Luitgard A. M. (2016). Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal, 2016(2), 146-166. https://doi.org/10.1080/03461238.2014.916228
  • Barrieu, Pauline, Scandolo, Giacomo (2014). Assessing financial model risk. European Journal of Operational Research, 242(2), 546-556. https://doi.org/10.1016/j.ejor.2014.10.032
  • Barrieu, Pauline, Fehr, Max (2014). Market-consistent modeling for cap-and-trade schemes and application to option pricing. Operations Research, 62(2), 234-249. https://doi.org/10.1287/opre.2013.1242
  • Barrieu, Pauline, El Karoui, Nicole (2013). Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs. Annals of Probability, 41(3B), 1831-1863. https://doi.org/10.1214/12-AOP743
  • Barrieu, Pauline, Louberge, Henri (2013). Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: Mathematics and Economics, 52(2), 135-144.
  • Giammarino, Flavia, Barrieu, Pauline (2013). Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49(1), 2-15. https://doi.org/10.1016/j.jmateco.2012.09.003
  • Barrieu, Pauline, Bensusan, Harry, El Karoui, Nicole, Hillairet, Caroline, Loisel, Stephane, Ravanelli, Claudia, Salhi, Yahia (2012). Understanding, modelling and managing longevity risk: key issues and main challenges. Scandinavian Actuarial Journal, 3, 203-231. https://doi.org/10.1080/03461238.2010.511034
  • Barrieu, Pauline, Bellamy, Nadine, Sahut, Jean-Michel (2012). Assessing the costs of protection in a context of switching stochastic regimes. Applied Mathematical Finance, 19(6), 495-511. https://doi.org/10.1080/1350486X.2011.642615
  • Barrieu, Pauline, Louberge, Henri (2009). Hybrid cat bonds. Journal of Risk and Insurance, 76(3), 547-578. https://doi.org/10.1111/j.1539-6975.2009.01312.x
  • Giammarino, Flavia, Barrieu, Pauline (2009). A semiparametric model for the systematic factors of portfolio credit risk premia. Journal of Empirical Finance, 16(4), 655-670. https://doi.org/10.1016/j.jempfin.2009.05.001
  • Tobelem-Foldvari, Sandrine, Barrieu, Pauline (2009). Robust asset allocation under model risk. Risk Magazine, 76, 91-95.
  • Barrieu, Pauline, Cazanave, Nicolas, El Karoui, Nicole (2008). Closedness results for BMO semi-martingales and application to quadratic BSDE's. Comptes Rendus Mathématique, 346(15-16), 881-886. https://doi.org/10.1016/j.crma.2008.06.010
  • Barrieu, Pauline, Jongejan, Ruben (2008). Insuring large-scale floods in the Netherlands. Geneva Papers on Risk and Insurance: Issues and Practice, 33, 250-268. https://doi.org/10.1057/gpp.2008.10
  • Barrieu, Pauline, Scandolo, Giacomo (2008). General pareto optimal allocations and applications to multi-period risks. ASTIN Bulletin, 38(1), 105-136. https://doi.org/10.2143/AST.38.1.2030405
  • Barrieu, Pauline, 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. https://doi.org/10.1239/aap/1183667621
  • Barrieu, Pauline, 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. https://doi.org/10.1016/j.cam.2005.04.014
  • Barrieu, Pauline, Sinclair-Desgagne, Bernard (2006). On precautionary policies. Management Science, 52(8), 1145-1154. https://doi.org/10.1287/mnsc.1060.0527
  • Barrieu, Pauline, El Karoui, Nicole (2005). Inf-convolution of risk measures and optimal risk transfer. Finance and Stochastics, 9(2), 269-298. https://doi.org/10.1007/s00780-005-0152-0
  • Barrieu, Pauline, El Karoui, Nicole (2004). Optimal risk transfer. Finance, 25, 31-47.
  • Barrieu, Pauline, Rouault, A., 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. https://doi.org/10.1239/jap/1101840550
  • Barrieu, Pauline, Chesney, Marc (2003). Optimal timing to adopt an environmental policy in a strategic framework. Environmental Modeling and Assessment, 8(3), 149-163. https://doi.org/10.1023/A:1025539106213
  • Barrieu, Pauline, El Karoui, Nicole (2003). Structuration optimale de produits dérivés et diversification en présence de sources de risque non-négociables. Comptes Rendus Mathematiques, 336(6), 493-498. https://doi.org/10.1016/S1631-073X(03)00120-1
  • Barrieu, Pauline, El Karoui, Nicole (2002). Reinsuring climatic risk using optimally designed weather bonds. The Geneva Papers on Risk and Insurance Theory, 27(2), 87-113. https://doi.org/10.1023/A:1021944109402
  • Barrieu, Pauline, El Karoui, Nicole (2002). Optimal design of derivatives in illiquid markets. Quantitative Finance, 2(3), 181-188. https://doi.org/10.1088/1469-7688/2/3/301
  • Barrieu, Pauline, El Karoui, Nicole (2002). Optimal design of weather derivatives. Algo research quarterly, 5, 79-92.
  • Barrieu, Pauline, Dischel, Robert S. (2001). Weather hedging at the hot air gas company. Erivativesreview.com,
    • Book
  • Barrieu, Pauline, Albertini, Luca (Eds.) (2009). The handbook of insurance-linked securities. Wiley-Blackwell.
    • Chapter
  • Barrieu, Pauline, Braun, Alexander, Makariou, Despoina (2024). Catastrophe bonds. In Handbook of Insurance: Volume I: Third Edition (pp. 169-194). Springer Nature. https://doi.org/10.1007/978-3-031-69561-2_6 picture_as_pdf
  • Barrieu, Pauline, Scaillet, Olivier (2010). A primer on weather derivatives. In Filar, Jerzy A., Haurie, Alain (Eds.), Uncertainty and Environmental Decision Making: a Handbook of Research and Best Practice (pp. 155-176). Springer Berlin / Heidelberg.
  • Barrieu, Pauline (2008). Micro-assurance et derives climatiques. In L'Art du Management . Les Echos.
  • Barrieu, P., El Karoui, N. (2008). Dynamic financial risk management. In Yor, Marc (Ed.), Aspects of Mathematical Finance (pp. 23-36). Springer Berlin / Heidelberg.
  • Barrieu, Pauline, 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.
  • Barrieu, Pauline, El Karoui, Nicole (2005). Dynamic financial risk management. In Aspects des Mathématiques Financières . Technique et documentation (Firm).
  • Barrieu, Pauline, Bellamy, N. (2005). Impact of a market crisis on real options. In Kyprianou, Andreas E., Schoutens, Wim, Wilmott, Paul (Eds.), Exotic Option Pricing and Advanced Lévy Models . John Wiley & Sons.
  • Barrieu, Pauline, El Karoui, Nicole (2004). Optimal derivatives design under dynamic risk measures. In Yin, George, Zhang, Qing (Eds.), Mathematics of Finance (pp. 13-26). American Mathematical Society.
  • Barrieu, Pauline (2003). Gestion du risque climatique à l'aide de contrats financiers: l'expérience Américaine. In Blondeau, Jacques, Partrat, Christian (Eds.), La Réassurance: Approche Technique . Economica.
  • Dischel, Robert S., 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 (pp. 25-42). Risk Books.
    • Conference or Workshop Item
  • Giammarino, Flavia, Barrieu, Pauline (2011-05-26) Indifference pricing with uncertainty averse preferences [Poster]. LSE Research Day 2011: The Early Career Researcher, London, United Kingdom, GBR.
    • Working paper
  • Barrieu, Pauline, 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.
  • Barrieu, Pauline, 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.