Carole Bernard
TitleCited byYear
Static portfolio choice under cumulative prospect theory
C Bernard, M Ghossoub
Mathematics and financial economics 2 (4), 277-306, 2010
1292010
Optimal reinsurance arrangements under tail risk measures
C Bernard, W Tian
Journal of risk and insurance 76 (3), 709-725, 2009
1072009
Risk aggregation with dependence uncertainty
C Bernard, X Jiang, R Wang
Insurance: Mathematics and Economics 54, 93-108, 2014
902014
Locally capped investment products and the retail investor
C Bernard, PP Boyle, W Gornall
Journal of Derivatives 18 (4), 72, 2011
75*2011
Market value of life insurance contracts under stochastic interest rates and default risk
C Bernard, O Le Courtois, F Quittard-Pinon
Insurance: Mathematics and Economics 36 (3), 499-516, 2005
742005
Explicit representation of cost-efficient strategies
C Bernard, P Boyle, S Vanduffel
Available at SSRN 1561272, Finance, 2014, 25(2) 25 (2), 6-55, 2013
662013
Value-at-Risk bounds with variance constraints
C Bernard, L Rüschendorf, S Vanduffel
Available at SSRN 2342068, forthcoming in Journal of Risk and Insurance, 2013
60*2013
Optimal Insurance Design under Rank-Dependent Expected Utility
C Bernard, XD He, JA Yan, XY Zhou
Mathematical finance, 2012
562012
A new procedure for pricing Parisian options
C Bernard, O Le Courtois, F Quittard-Pinon
The Journal of Derivatives 12 (4), 45-53, 2005
562005
A new approach to assessing model risk in high dimensions
C Bernard, S Vanduffel
Journal of Banking & Finance 58, 166-178, 2015
492015
Conditional quantiles and tail dependence
C Bernard, C Czado
Journal of Multivariate Analysis 138, 104-126, 2015
392015
Prices and Asymptotics for Discrete Variance Swaps
C Bernard, Z Cui
Applied Mathematical Finance, 2012
372012
How robust is the value-at-risk of credit risk portfolios?
C Bernard, L Rüschendorf, S Vanduffel, J Yao
The European Journal of Finance 23 (6), 507-534, 2017
342017
Fast simulation of equity-linked life insurance contracts with a surrender option
C Bernard, C Lemieux
Proceedings of the 40th Conference on Winter Simulation, 444-452, 2008
342008
Mr. Madoff’s amazing returns: an analysis of the split-strike conversion strategy
C Bernard, PP Boyle
The Journal of Derivatives 17 (1), 62-76, 2009
332009
A note on 'Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov
C Bernard, X Jiang, S Vanduffel
Journal of Applied probability 49 (3), 866-875, 2012
312012
Pricing derivatives with barriers in a stochastic interest rate environment
C Bernard, O Le Courtois, F Quittard-Pinon
Journal of Economic Dynamics and Control 32 (9), 2903-2938, 2008
302008
State-dependent fees for variable annuity guarantees
C Bernard, MR Hardy, A MacKay
ASTIN Bulletin - Available at SSRN 2258199 44 (3), 559-585, 2014
282014
Measuring portfolio risk under partial dependence information
C Bernard, M Denuit, S Vanduffel
Journal of Risk and Insurance 85 (3), 843-863, 2018
272018
Pricing timer options
C Bernard, Z Cui
Journal of Computational Finance 15 (1), 69, 2011
272011
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Articles 1–20