LSE creators

Number of items: 43.
Centre for Analysis of Time Series
  • 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, 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, 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, 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, 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.
  • 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
  • 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, 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, El Karoui, Nicole (2004). Optimal risk transfer. Finance, 25, 31-47.
  • 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.
  • 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.
  • 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,
    • Grantham Research Institute
  • 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.
    • LSE
  • 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.
    • Statistics
  • 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
  • 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, 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.
  • 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.
  • 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, 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.
  • 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, Albertini, Luca (Eds.) (2009). The handbook of insurance-linked securities. Wiley-Blackwell.
  • 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 (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, 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, 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, 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). Dynamic financial risk management. In Aspects des Mathématiques Financières . Technique et documentation (Firm).
  • 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, 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 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, 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, 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
  • 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.
  • 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,