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)
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 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)
The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is based on an adaptive nonparametric modelling approach which(More)
This study investigates the firm-specific factors affecting the profitability of non-life insurance companies operating in Turkey. For this purpose, data of 24 non-life insurance companies operating in Turkey from the period 2006–2013 were brought together to obtain 192 observed panel data sets. In this study, profitability is measured by two different(More)