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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

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

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

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

Optimal risk transfer

Barrieu, Pauline; El Karoui, Nicole - In: Finance : revue de l'Association Française de Finance 25 (2004) Numéro hors séries, pp. 31-47

Persistent link: https://www.econbiz.de/10002877322

Inf-convolution of risk measures and optimal risk transfer

Barrieu, Pauline; El Karoui, Nicole - In: Finance and stochastics 9 (2005) 2, pp. 269-298

Persistent link: https://www.econbiz.de/10002747208

Lapse risk in life insurance : correlation and contagion effects among policyholders' behaviors

Barsotti, Flavia; Milhaud, Xavier; Salhi, Yahia - In: Insurance / Mathematics & economics 71 (2016), pp. 317-331

Persistent link: https://www.econbiz.de/10011630860

Assessing financial model risk

Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556

Persistent link: https://www.econbiz.de/10010491649

Optimal investment decisions when time-horizon is uncertain

Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of mathematical economics 44 (2008) 11, pp. 1100-1113

Persistent link: https://www.econbiz.de/10003783826

Longevity risk and capital markets : the 2015-16 update

Blake, David; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 78 (2018), pp. 157-173

Persistent link: https://www.econbiz.de/10011825252