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Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions
Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83
Persistent link: https://www.econbiz.de/10011492465
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Le prix du risque de longévité
El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; … - In: Revue d'économie financière : revue trimestrielle de … 133 (2019) 1, pp. 129-145
Persistent link: https://www.econbiz.de/10012431979
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Robust capital requirements with model risk
Barrieu, Pauline; Ravanelli, Claudia - In: Economic notes : economic review of Banca Monte dei … 44 (2015) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011342102
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Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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Affine long term yield curves : an application of the Ramsey rule with progressive utility
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010508124
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Consistent utility of investment and consumption : a forward/backward SPDE viewpoint
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017
Persistent link: https://www.econbiz.de/10012200208
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Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414
Persistent link: https://www.econbiz.de/10013380575
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Pricing, hedging, and designing derivatives with risk measures
Barrieu, Pauline; El Karoui, Nicole - In: Indifference pricing : theory and applications, (pp. 77-146). 2009
Persistent link: https://www.econbiz.de/10003807579
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Dynamic financial risk management
Barrieu, Pauline; El Karoui, Nicole - In: Aspects of mathematical finance, (pp. 23-35). 2008
Persistent link: https://www.econbiz.de/10003653391