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Integrated EUA and CER price modeling and application for spread option pricing

Barrieu, Pauline; Fehr, Max - 2011

Persistent link: https://www.econbiz.de/10009549022

Economic policy when models disagree

Barrieu, Pauline; Sinclair-Desgagné, Bernard - 2009

Persistent link: https://www.econbiz.de/10009550362

Indifference pricing with uncertainty averse preferences

Giammarino, Flavia; Barrieu, Pauline - In: Journal of mathematical economics 49 (2013) 1, pp. 22-27

Persistent link: https://www.econbiz.de/10009707600

Assessing the costs of protection in a context of switching stochastic regimes

Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel - In: Applied mathematical finance 19 (2012) 5/6, pp. 495-511

Persistent link: https://www.econbiz.de/10009710932

Market-consistent modeling for cap-and-trade schemes and application to option pricing

Barrieu, Pauline; Fehr, Max - In: Operations research 62 (2014) 2, pp. 234-249

Persistent link: https://www.econbiz.de/10010361477

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 timing to adopt an environmental policy in a strategic framework

Barrieu, Pauline; Chesney, Marc - In: Environmental modeling & assessment 8 (2003) 3, pp. 149-163

Persistent link: https://www.econbiz.de/10001962119

A random forest based approach for predicting spreads in the primary catastrophe bond market

Makariou, Despoina; Barrieu, Pauline; Chen, Yining - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 140-162

Persistent link: https://www.econbiz.de/10012793915

Insuring large-scale floods in the Netherlands

Jongejan, Ruben; Barrieu, Pauline - In: The Geneva papers on risk and insurance - issues and … 33 (2008) 2, pp. 250-268

Persistent link: https://www.econbiz.de/10003752287

A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures

Makariou, Desponia; Barrieu, Pauline; Tzougas, George - In: Risks : open access journal 9 (2021) 6, pp. 1-25

The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to...

Persistent link: https://www.econbiz.de/10012598418