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)
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)
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 di cult. 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)
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 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 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 eco-systems and new technologies, however, make it increasingly necessary to deal with situations where scientists cannot yet(More)
In spite of the fact that they can draw on a larger, more liquid and more diversi ed pool of capital than the equity of reinsurance companies, nancial markets have failed to displace reinsurance as the primary risk-sharing vehicle for natural catastrophe risk. We show that this failure can be explained by di erences in information gathering incentives(More)
We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such(More)