Pauline Barrieu
Centre member
Pauline is a reader in statistics at the London School of Economics and Political Science (LSE) and also an associate of the Grantham Research Institute on Climate Change and the Environment| at LSE.
She is also:
Background
Before becoming a reader at LSE, Pauline was a lecturer in the statistics department.Before this she was a temporary lecturer at both the HEC and ESSEC. For two years, from 1998 to 2000, she was a class teacher at the University of Evry in the mathematics department.
In 2005, Pauline qualified as an actuary from l'Institut des Actuaires Français. She also has a qualification in France as "maitre de conferences" in Finance and in Mathematics, a PhD in Applied Mathematics with highest honours, laboratoire de Probabilités et Modéles aléatoires, from University of Paris VI (France), a PhD in Finance with highest honours from HEC Graduate Business School, the Doctorat HEC specialization certificate, with highest honours, a postgraduate diploma in Economics and also in Probability from the University Paris VI, with honours. Pauline is also a graduate of the ESSEC business school.
Research interests
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Model uncertainty;
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Insurance-linked securitisation;
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Contract designing;
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Microinsurance, weather derivatives;
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Environmental economics.
Research articles
2011
Barrieu, P., and Fehr, M. March 2011. Integrated EUA and CER price modelling and application for spread option pricing. Working paper, Centre for Climate Change Economics and Policy, Leeds and London, UK. Download PDF of paper| (758KB)
2010
Barrieu, P., and Tobelem, S. July 2010. Robust asset allocation under model risk. Alternative Investments and Strategies (pp.327-344) [Rudiger Kiesel, Matthias Scherer and Rudi Zagst (eds.)]. World Scientific.
Barrieu, P. May 2010. Securitisation. Encyclopedia for Quantitative Finance. Wiley & Sons.
Barrieu, P., and Scaillet, O. May 2010. Weather derivatives. Encyclopedia for Quantitative Finance. Wiley & Sons.
Barrieu, P., and Tobelem, S. March 2010. Asset allocation under model risk. The Risk Modeling Evaluation Handbook [Greg N. Gregoriou, Christian Hoppe and Carsten S. Wehn (eds.)]. McGraw-Hill, Berkshire, UK.
2009
Barrieu, P., and Loubergé H. October 2009. Hybrid cat-bonds. Journal of Risk and Insurance, v.76, pp.547-578. External link to full article|
Barrieu, P., and Giammarino F. September 2009. An adaptive nonparametric model for the systematic factors of portfolio credit risk premia. Journal of Empirical Finance, v.16, p. 655-670. External link to full article|
Barrieu, P., and Sinclair Desgagné, B. July 2009. Economic policy when models disagree. Working paper, Centre for Climate Change Economics and Policy, Leeds and London, UK. Download PDF of paper| (738KB)
Barrieu, P., and El Karoui, N. Pricing, hedging and optimally designing derivatives via minimization of risk measures. Volume on Indifference Pricing [Rene Carmona (ed.)]. Princeton University Press.
Barrieu, P., and Scaillet, O. 2009. A primer on weather derivatives. Handbook on Uncertainty and Environmental Decision Making [Jerzy Filar and Alain Haurie (eds.)]. Springer International Series in Operations Research and Management science.
2008
Barrieu, P., and Scandolo, G. May 2008. General pareto-optimal allocations and applications to multi-period risks. ASTIN Bulletin, v.38, pp.105-136. External link to PDF of article| (541KB)
Barrieu, P., Cazanave, N., and El Karoui, N. 2008. Closedness results for BMO semi-martingales and application to quadratic BSDEs. Comptes Rendus de l'Academie des Sciences, v.346, pp.881-886.
Barrieu, P., and El Karoui, N. 2008. Dynamic financial risk management. Aspects of Mathematical Finance [Marc Yor (ed.)]. Springer Verlag.
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