Pauline Barrieu

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We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets. Economic agents assess their risk using monetary risk measure. The inf-convolution of convex risk measures is the key transformation in solving this optimization problem. When agents' risk measures only differ from a risk aversion coefficient, the(More)
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more dicult. Several approaches have been adopted in the literature to provide a satisfactory answer to this problem, for a particular choice criterion. Among them, Hodges and(More)
We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets.The modeling involves a minimization of the risk borne by issuer given the constraint imposed by a buyer who enters the transaction if and only if her risk level remains below a given threshold. Both agents have also the opportunity to invest all(More)
An RIA procedure has been developed for ABA quantification using MAC62, a monoclonal antibody raised against (+)-cis, trans -ABA. This widely used method now relies on MAC252, a recloned version of the exhausted MAC62. Recently, it has been suggested that MAC252 was not able to discriminate between the (+) and (-) enantiomers of ABA. As this can be(More)
This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for(More)
In the United States and most industrialized countries, regulatory policies pertaining to food safety, occupational health and environmental protection are (according to laws and statutes) science-based. The complexity of some ecosystems and new technologies, however, make it increasingly necessary to deal with situations where scientists cannot yet provide(More)
In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents' preference functionals. The results are then applied to a multi-period setting and some further(More)
In this article we investigate the latest developments on longevity risk modeling. We first introduce longevity risk and some key actuarial definitions as to allow for a better understanding of the related challenges in term of risk management from both a financial and insurance point of view. The article also provides a global view on the practical issues(More)