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Author ID: bernard.carole-l Recent zbMATH articles by "Bernard, Carole L."
Published as: Bernard, Carole; Bernard, Carole L.; Bernard, C.
Documents Indexed: 49 Publications since 1994
Co-Authors: 38 Co-Authors with 43 Joint Publications
647 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

42 Publications have been cited 404 times in 331 Documents Cited by Year
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
50
2014
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
43
2015
Static portfolio choice under cumulative prospect theory. Zbl 1255.91389
Bernard, Carole; Ghossoub, Mario
37
2010
Market value of life insurance contracts under stochastic interest rates and default risk. Zbl 1242.60068
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, François
32
2005
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
22
2014
Optimal surrender policy for variable annuity guarantees. Zbl 1296.91144
Bernard, Carole; MacKay, Anne; Muehlbeyer, Max
18
2014
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
A note on ‘Improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011). Zbl 1259.60022
Bernard, Carole; Jiang, Xiao; Vanduffel, Steven
16
2012
Optimal payoffs under state-dependent preferences. Zbl 1398.91503
Bernard, Carole; Moraux, Franck; Rüschendorf, Ludger; Vanduffel, Steven
12
2015
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
11
2017
Conditional quantiles and tail dependence. Zbl 1320.62164
Bernard, Carole; Czado, Claudia
10
2015
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
10
2012
Semi-static hedging of variable annuities. Zbl 1348.91128
Bernard, Carole; Kwak, Minsuk
9
2016
Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671
Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan
9
2013
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. Zbl 1304.91181
Bernard, C.; Vanduffel, S.
8
2014
Rationalizing investors’ choices. Zbl 1320.91132
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
8
2015
Pricing and hedging of cliquet options and locally capped contracts. Zbl 1282.91320
Bernard, Carole; Li, Wenbo V.
8
2013
Pricing derivatives with barriers in a stochastic interest rate environment. Zbl 1181.91308
Bernard, Carole; le Courtois, Olivier; Quittard-Pinon, François
8
2008
Optimal claims with fixed payoff structure. Zbl 1331.91156
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven
6
2014
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
6
2013
Nearly exact option price simulation using characteristic functions. Zbl 1255.91425
Bernard, Carole; Cui, Zhenyu; McLeish, Don
6
2012
Optimal portfolios under worst-case scenarios. Zbl 1308.91136
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
5
2014
Algorithms for finding copulas minimizing convex functions of sums. Zbl 1354.90057
Bernard, Carole; McLeish, Don
5
2016
Dynamic preferences for popular investment strategies in pension funds. Zbl 1401.91101
Bernard, Carole; Kwak, Minsuk
5
2016
Improving the design of financial products in a multidimensional Black-Scholes market. Zbl 1213.91135
Bernard, Carole; Maj, Mateusz; Vanduffel, Steven
4
2011
State-dependent fees for variable annuity guarantees. Zbl 1431.91318
Bernard, Carole; Hardy, Mary; Mackay, Anne
4
2014
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
Simplified hedge for path-dependent derivatives. Zbl 1396.91719
Bernard, Carole; Tang, Junsen
3
2016
On the regulator-insurer interaction in a structural model. Zbl 1179.91100
Bernard, Carole; Chen, An
3
2009
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Optimal strategies under omega ratio. Zbl 1431.91353
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
3
2019
Comparing the sustainability of different action policy possibilities: application to the issue of both household survival and forest preservation in the corridor of Fianarantsoa. Zbl 1310.91119
Bernard, C.; Martin, S.
2
2013
Synaptic integration of NMDA and non-NMDA receptors in large neuronal network models solved by means of differential equations. Zbl 0786.92006
Bernard, C.; Ge, Y. C.; Stockley, E.; Willis, J. B.; Wheal, H. V.
2
1994
Protection of a company issuing a certain class of participating policies in a complete market framework. Zbl 1219.91065
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, François
2
2010
Building strategies to ensure language coexistence in presence of bilingualism. Zbl 1245.91088
Bernard, C.; Martin, S.
2
2012
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319
Bernard, Carole; Le Courtois, Olivier
2
2012
Rearrangement algorithm and maximum entropy. Zbl 1404.91135
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
2
2018
Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121
De Gennaro Aquino, Luca; Bernard, Carole
2
2019
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
1
2021
Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371
de Gennaro Aquino, Luca; Bernard, Carole
1
2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
1
2020
A new efficiency test for ranking investments: application to hedge fund performance. Zbl 1418.91452
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
1
2019
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
1
2021
Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371
de Gennaro Aquino, Luca; Bernard, Carole
1
2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
1
2020
Optimal strategies under omega ratio. Zbl 1431.91353
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
3
2019
Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121
De Gennaro Aquino, Luca; Bernard, Carole
2
2019
A new efficiency test for ranking investments: application to hedge fund performance. Zbl 1418.91452
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
1
2019
Rearrangement algorithm and maximum entropy. Zbl 1404.91135
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
2
2018
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
11
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Semi-static hedging of variable annuities. Zbl 1348.91128
Bernard, Carole; Kwak, Minsuk
9
2016
Algorithms for finding copulas minimizing convex functions of sums. Zbl 1354.90057
Bernard, Carole; McLeish, Don
5
2016
Dynamic preferences for popular investment strategies in pension funds. Zbl 1401.91101
Bernard, Carole; Kwak, Minsuk
5
2016
Simplified hedge for path-dependent derivatives. Zbl 1396.91719
Bernard, Carole; Tang, Junsen
3
2016
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
43
2015
Optimal payoffs under state-dependent preferences. Zbl 1398.91503
Bernard, Carole; Moraux, Franck; Rüschendorf, Ludger; Vanduffel, Steven
12
2015
Conditional quantiles and tail dependence. Zbl 1320.62164
Bernard, Carole; Czado, Claudia
10
2015
Rationalizing investors’ choices. Zbl 1320.91132
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
8
2015
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
50
2014
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
22
2014
Optimal surrender policy for variable annuity guarantees. Zbl 1296.91144
Bernard, Carole; MacKay, Anne; Muehlbeyer, Max
18
2014
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. Zbl 1304.91181
Bernard, C.; Vanduffel, S.
8
2014
Optimal claims with fixed payoff structure. Zbl 1331.91156
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven
6
2014
Optimal portfolios under worst-case scenarios. Zbl 1308.91136
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
5
2014
State-dependent fees for variable annuity guarantees. Zbl 1431.91318
Bernard, Carole; Hardy, Mary; Mackay, Anne
4
2014
Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671
Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan
9
2013
Pricing and hedging of cliquet options and locally capped contracts. Zbl 1282.91320
Bernard, Carole; Li, Wenbo V.
8
2013
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
6
2013
Comparing the sustainability of different action policy possibilities: application to the issue of both household survival and forest preservation in the corridor of Fianarantsoa. Zbl 1310.91119
Bernard, C.; Martin, S.
2
2013
A note on ‘Improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011). Zbl 1259.60022
Bernard, Carole; Jiang, Xiao; Vanduffel, Steven
16
2012
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
10
2012
Nearly exact option price simulation using characteristic functions. Zbl 1255.91425
Bernard, Carole; Cui, Zhenyu; McLeish, Don
6
2012
Building strategies to ensure language coexistence in presence of bilingualism. Zbl 1245.91088
Bernard, C.; Martin, S.
2
2012
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319
Bernard, Carole; Le Courtois, Olivier
2
2012
Improving the design of financial products in a multidimensional Black-Scholes market. Zbl 1213.91135
Bernard, Carole; Maj, Mateusz; Vanduffel, Steven
4
2011
Static portfolio choice under cumulative prospect theory. Zbl 1255.91389
Bernard, Carole; Ghossoub, Mario
37
2010
Protection of a company issuing a certain class of participating policies in a complete market framework. Zbl 1219.91065
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, François
2
2010
On the regulator-insurer interaction in a structural model. Zbl 1179.91100
Bernard, Carole; Chen, An
3
2009
Pricing derivatives with barriers in a stochastic interest rate environment. Zbl 1181.91308
Bernard, Carole; le Courtois, Olivier; Quittard-Pinon, François
8
2008
Market value of life insurance contracts under stochastic interest rates and default risk. Zbl 1242.60068
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, François
32
2005
Synaptic integration of NMDA and non-NMDA receptors in large neuronal network models solved by means of differential equations. Zbl 0786.92006
Bernard, C.; Ge, Y. C.; Stockley, E.; Willis, J. B.; Wheal, H. V.
2
1994
all top 5

Cited by 466 Authors

28 Bernard, Carole L.
28 Wang, Ruodu
20 Vanduffel, Steven
17 Rüschendorf, Ludger
14 Cui, Zhenyu
9 Puccetti, Giovanni
8 Boonen, Tim J.
8 Chi, Yichun
8 Ghossoub, Mario
8 Zhuang, Sheng Chao
7 Chen, An
7 Rásonyi, Miklós
7 Wang, Bin
6 Jeon, Junkee
6 Tan, Ken Seng
5 Asimit, Alexandru V.
4 Ansari, Jonathan
4 Bignozzi, Valeria
4 Cheung, Ka Chun
4 Durante, Fabrizio
4 Fernández-Sánchez, Juan
4 Kwak, Minsuk
4 Kwok, Yue-Kuen
4 le Courtois, Olivier
4 Li, Duan
4 Liu, Haiyan
4 Mao, Tiantian
4 Papapantoleon, Antonis
4 Quittard-Pinon, François M.
4 Saunders, David Claude
4 Ziveyi, Jonathan
3 Ahlip, Rehez
3 Ahn, Jae Youn
3 Badescu, Alexandru M.
3 Cai, Jun
3 Cao, Jiling
3 Carassus, Laurence
3 Czado, Claudia
3 De Gennaro Aquino, Luca
3 De Giorgi, Enrico G.
3 Dong, Yinghui
3 Embrechts, Paul
3 He, Xuedong
3 Hieber, Peter
3 Hu, Junlei
3 Joe, Harry
3 Lian, Guanghua
3 Lin, Hongcan
3 Liu, Fangda
3 Lou, Youcheng
3 Lux, Thibaut
3 McLeish, Donald L.
3 Mesiar, Radko
3 Milevsky, Moshe Arye
3 Roslan, Teh Raihana Nazirah
3 Strub, Moris S.
3 Wei, Qingmeng
3 Weng, Chengguo
3 Xu, Zuoquan
3 Yao, Jing
3 Ye, Jiang
3 Zagst, Rudi
3 Zou, Bin
2 Amarante, Massimiliano
2 Arias García, J. J.
2 Ballestra, Luca Vincenzo
2 Bauer, Daniel J.
2 Bondarenko, Oleg
2 Chang, Bo
2 Chen, Jit Seng
2 Chen, Yuyu
2 Chong, Wing Fung
2 Cornilly, Dries
2 Costabile, Massimo
2 Cui, Xiangyu
2 De Baets, Bernard
2 Dhaene, Jan
2 Eckstein, Stephan
2 Feng, Runhuan
2 Heß, Markus
2 Huang, Huaxiong
2 Huang, Nan-Jing
2 Hwang, Ya-Wen
2 Jakobsons, Edgars
2 Jiang, Wenjun
2 Kassberger, Stefan
2 Kim, Jeong-Hoon
2 Kupper, Michael
2 Lee, Woojoo
2 Liebmann, Thomas
2 Mackay, Anne
2 Maj, Mateusz
2 Massabó, Ivar
2 Millossovich, Pietro
2 Molent, Andrea
2 Pacelli, Graziella
2 Pirvu, Traian A.
2 Quesada-Molina, José Juan
2 Reichlin, Christian
2 Rodrigues, Andrea M.
...and 366 more Authors
all top 5

Cited in 79 Serials

64 Insurance Mathematics & Economics
23 European Journal of Operational Research
16 Dependence Modeling
15 North American Actuarial Journal
12 International Journal of Theoretical and Applied Finance
11 Scandinavian Actuarial Journal
10 Quantitative Finance
10 Mathematics and Financial Economics
8 Journal of Economic Dynamics & Control
8 ASTIN Bulletin
8 SIAM Journal on Financial Mathematics
7 Journal of Computational and Applied Mathematics
7 Finance and Stochastics
7 Mathematical Finance
6 Journal of Multivariate Analysis
6 Mathematics of Operations Research
5 Journal of Mathematical Economics
5 Methodology and Computing in Applied Probability
5 Decisions in Economics and Finance
4 Operations Research
4 Statistics & Probability Letters
4 European Actuarial Journal
3 Journal of Applied Probability
3 SIAM Journal on Control and Optimization
3 Annals of Operations Research
3 Applied Mathematical Finance
3 Abstract and Applied Analysis
2 Physica A
2 Applied Mathematics and Computation
2 Applied Mathematics and Optimization
2 Fuzzy Sets and Systems
2 Mathematics and Computers in Simulation
2 Operations Research Letters
2 International Journal of Approximate Reasoning
2 Communications in Statistics. Theory and Methods
2 Computational Statistics and Data Analysis
2 Extremes
2 Review of Derivatives Research
2 Computational Management Science
2 Journal of Industrial and Management Optimization
2 Statistics & Risk Modeling
2 Modern Stochastics. Theory and Applications
1 Computers & Mathematics with Applications
1 Journal of Mathematical Analysis and Applications
1 Psychometrika
1 Chaos, Solitons and Fractals
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of the Korean Mathematical Society
1 Systems & Control Letters
1 Bulletin of the Korean Mathematical Society
1 Statistical Science
1 Asia-Pacific Journal of Operational Research
1 Journal of Theoretical Probability
1 Economics Letters
1 Japan Journal of Industrial and Applied Mathematics
1 The Annals of Applied Probability
1 Journal of Risk and Uncertainty
1 Applications of Mathematics
1 Indagationes Mathematicae. New Series
1 Computational and Applied Mathematics
1 Economic Theory
1 Mathematical Methods of Operations Research
1 Journal of Inequalities and Applications
1 Discrete Dynamics in Nature and Society
1 Communications of the Korean Mathematical Society
1 Communications in Nonlinear Science and Numerical Simulation
1 Journal of Applied Mathematics
1 4OR
1 Discrete Optimization
1 Optimization Letters
1 AStA. Advances in Statistical Analysis
1 Probability Surveys
1 International Journal of Stochastic Analysis
1 Annals of Finance
1 East Asian Journal on Applied Mathematics
1 The Scientific World Journal. Probability and Statistics
1 Journal of the Japan Statistical Society. Japanese Issue
1 AIMS Mathematics
1 Probability, Uncertainty and Quantitative Risk

Citations by Year