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Barrieu, Pauline M.

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Author ID: barrieu.pauline-m Recent zbMATH articles by "Barrieu, Pauline M."
Published as: Barrieu, P.; Barrieu, Pauline; Barrieu, Pauline M.
Documents Indexed: 22 Publications since 2002, including 1 Book

Publications by Year

Citations contained in zbMATH

17 Publications have been cited 304 times in 259 Documents Cited by Year
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
97
2005
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
47
2009
Optimal derivatives design under dynamic risk measures. Zbl 1070.91019
Barrieu, Pauline; El Karoui, Nicole
41
2004
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
35
2013
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
26
2012
Assessing financial model risk. Zbl 1341.91086
Barrieu, Pauline; Scandolo, Giacomo
16
2015
A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian options. Zbl 1064.60021
Barrieu, P.; Rouault, A.; Yor, M.
13
2004
General Pareto optimal allocations and applications to multi-period risks. Zbl 1169.91382
Barrieu, Pauline; Scandolo, Giacomo
9
2008
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
4
2008
Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Zbl 1284.91203
Barrieu, Pauline; Loubergé, Henri
3
2013
Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Zbl 1085.60051
Barrieu, Pauline; Schoutens, Wim
3
2006
Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021
Barrieu, Pauline; El Karoui, Nicole
3
2003
Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Zbl 1401.91097
Barrieu, Pauline M.; Veraart, Luitgard A. M.
2
2016
Optimal design of derivatives in illiquid markets. Zbl 1405.91584
Barrieu, Pauline; El Karoui, Nicole
2
2002
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Market-consistent modeling for cap-and-trade schemes and application to option pricing. Zbl 1298.91155
Barrieu, Pauline; Fehr, Max
1
2014
Dynamic financial risk management. Zbl 1272.91060
Barrieu, Pauline; El Karoui, Nicole
1
2006
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Zbl 1401.91097
Barrieu, Pauline M.; Veraart, Luitgard A. M.
2
2016
Assessing financial model risk. Zbl 1341.91086
Barrieu, Pauline; Scandolo, Giacomo
16
2015
Market-consistent modeling for cap-and-trade schemes and application to option pricing. Zbl 1298.91155
Barrieu, Pauline; Fehr, Max
1
2014
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
35
2013
Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Zbl 1284.91203
Barrieu, Pauline; Loubergé, Henri
3
2013
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
26
2012
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
47
2009
General Pareto optimal allocations and applications to multi-period risks. Zbl 1169.91382
Barrieu, Pauline; Scandolo, Giacomo
9
2008
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
4
2008
Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Zbl 1085.60051
Barrieu, Pauline; Schoutens, Wim
3
2006
Dynamic financial risk management. Zbl 1272.91060
Barrieu, Pauline; El Karoui, Nicole
1
2006
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
97
2005
Optimal derivatives design under dynamic risk measures. Zbl 1070.91019
Barrieu, Pauline; El Karoui, Nicole
41
2004
A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian options. Zbl 1064.60021
Barrieu, P.; Rouault, A.; Yor, M.
13
2004
Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021
Barrieu, Pauline; El Karoui, Nicole
3
2003
Optimal design of derivatives in illiquid markets. Zbl 1405.91584
Barrieu, Pauline; El Karoui, Nicole
2
2002
all top 5

Cited by 382 Authors

9 Elliott, Robert James
9 Rosazza Gianin, Emanuela
7 Siu, Tak Kuen
6 Hu, Ying
6 Possamaï, Dylan
6 Stadje, Mitja
6 Wang, Ruodu
5 Anthropelos, Michail
5 Bion-Nadal, Jocelyne
5 Cohen, Samuel N.
5 Kupper, Michael
5 Liu, Haiyan
5 Popier, Alexandre
5 Schumacher, Johannes M.
5 Svindland, Gregor
4 Acciaio, Beatrice
4 Antonio, Katrien
4 Barrieu, Pauline M.
4 Dana, Rose-Anne
4 Delbaen, Freddy
4 Horst, Ulrich
4 Loisel, Stéphane
4 Luo, Peng
4 Papapantoleon, Antonis
4 Richou, Adrien
4 Salhi, Yahia
3 Ankirchner, Stefan
3 El Karoui, Nicole
3 Filipović, Damir
3 Kromer, Eduard
3 Liang, Gechun
3 Mao, Tiantian
3 Overbeck, Ludger
3 Peng, Shige
3 Pennanen, Teemu
3 Rüschendorf, Ludger
3 Schied, Alexander
3 Schweizer, Martin
3 Tangpi, Ludovic
3 Vellekoop, Michel H.
3 Wiśniewolski, Maciej
3 Wong, Hoi Ying
3 Xing, Hao
3 Yao, Song
3 Zhou, Chao
3 Žitković, Gordan
2 Bahlali, Khaled
2 Bielecki, Tomasz R.
2 Blake, David
2 Boonen, Tim J.
2 Cheridito, Patrick
2 Cheung, Ka Chun
2 Cialenco, Igor
2 Dhaene, Jan
2 Di Nunno, Giulia
2 dos Reis, Gonçalo
2 Elie, Romuald
2 Embrechts, Paul
2 Frei, Christoph
2 Frittelli, Marco
2 Fujii, Masaaki
2 Imkeller, Peter
2 Ivanov, Roman V.
2 Jakubowski, Jacek
2 Khelfallah, Nabil
2 Knispel, Thomas
2 Koch Medina, Pablo
2 Kruse, Thomas
2 Le Van, Cuong
2 Lin, Yiqing
2 Linders, Daniël
2 Lionnet, Arnaud
2 Ludkovski, Michael
2 Ma, Jin
2 Madan, Dilip B.
2 Malamud, Semyon
2 Mania, Michael
2 Mastrogiacomo, Elisa
2 Matoussi, Anis
2 Moreno-Bromberg, Santiago
2 Ouburg, Wilbert
2 Pazdera, Jaroslav
2 Pelsser, Antoon A. J.
2 Pintoux, Caroline
2 Pistorius, Martijn R.
2 Privault, Nicolas
2 Regis, Luca
2 Saplaouras, Alexandros
2 Scandolo, Giacomo
2 Steffensen, Mogens
2 Takahashi, Akihiko
2 Tan, Ken Seng
2 Tang, Shanjian
2 Tavin, Bertrand
2 Touzi, Nizar
2 Tsanakas, Andreas
2 van Berkum, Frank
2 Werker, Bas J. M.
2 Xiong, Dewen
2 Yam, Sheung Chi Phillip
...and 282 more Authors
all top 5

Cited in 68 Serials

40 Insurance Mathematics & Economics
20 Stochastic Processes and their Applications
15 Finance and Stochastics
15 Mathematics and Financial Economics
11 Mathematical Finance
9 ASTIN Bulletin
8 The Annals of Applied Probability
8 European Journal of Operational Research
8 International Journal of Theoretical and Applied Finance
8 SIAM Journal on Financial Mathematics
7 Scandinavian Actuarial Journal
5 Stochastic Analysis and Applications
5 Stochastics and Dynamics
5 European Actuarial Journal
5 Annals of Finance
4 The Annals of Probability
4 Journal of Mathematical Economics
4 Mathematical Methods of Operations Research
3 Journal of Applied Probability
3 Mathematics of Operations Research
3 Bernoulli
3 Methodology and Computing in Applied Probability
3 Quantitative Finance
3 Statistics & Risk Modeling
2 Advances in Applied Probability
2 Automatica
2 Journal of Computational and Applied Mathematics
2 Journal of Economic Theory
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 SIAM Journal on Control and Optimization
2 Probability Theory and Related Fields
2 Annals of Operations Research
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Mathematical Programming. Series A. Series B
2 Electronic Journal of Probability
2 Acta Mathematica Sinica. English Series
2 Decisions in Economics and Finance
2 Stochastics
2 Probability, Uncertainty and Quantitative Risk
1 Journal of Mathematical Analysis and Applications
1 Studia Mathematica
1 Journal of Differential Equations
1 Operations Research
1 Quarterly of Applied Mathematics
1 Transactions of the American Mathematical Society
1 Operations Research Letters
1 Statistics
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Science in China. Series A
1 Expositiones Mathematicae
1 SIAM Journal on Optimization
1 Potential Analysis
1 Integral Transforms and Special Functions
1 Applied Mathematical Finance
1 Discrete and Continuous Dynamical Systems
1 Abstract and Applied Analysis
1 Miscelánea Matemática
1 Discrete and Continuous Dynamical Systems. Series B
1 Stochastic Models
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Journal of Applied Mathematics and Computing
1 Asia-Pacific Financial Markets
1 Analysis and Applications (Singapore)
1 Science China. Mathematics
1 Afrika Matematika
1 Mathematical Control and Related Fields
1 Dependence Modeling

Citations by Year