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Carole Bernard
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Static portfolio choice under cumulative prospect theory
C Bernard, M Ghossoub
Mathematics and financial economics 2, 277-306, 2010
1972010
Optimal reinsurance arrangements under tail risk measures
C Bernard, W Tian
Journal of risk and insurance 76 (3), 709-725, 2009
1482009
Risk aggregation with dependence uncertainty
C Bernard, X Jiang, R Wang
Insurance: Mathematics and Economics 54, 93-108, 2014
1412014
Optimal Insurance Design under Rank-Dependent Expected Utility
C Bernard, XD He, JA Yan, XY Zhou
Mathematical finance, 2012
1252012
Value-at-Risk bounds with variance constraints
C Bernard, L Rüschendorf, S Vanduffel
Available at SSRN 2342068, Journal of Risk and Insurance, 2013
121*2013
Conditional quantiles and tail dependence
C Bernard, C Czado
Journal of Multivariate Analysis 138, 104-126, 2015
972015
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
972005
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
882013
A new approach to assessing model risk in high dimensions
C Bernard, S Vanduffel
Journal of Banking & Finance 58, 166-178, 2015
792015
Prices and Asymptotics for Discrete Variance Swaps
C Bernard, Z Cui
Applied Mathematical Finance, 2012
722012
Locally capped investment products and the retail investor
C Bernard, PP Boyle, W Gornall
Journal of Derivatives 18 (4), 72, 2011
702011
A new procedure for pricing Parisian options
C Bernard, O Le Courtois, F Quittard-Pinon
Journal of Derivatives 12 (4), 2005
632005
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
592017
Risk management of policyholder behavior in equity‐linked life insurance
A MacKay, M Augustyniak, C Bernard, MR Hardy
Journal of Risk and Insurance 84 (2), 661-690, 2017
582017
Risk bounds for factor models
C Bernard, L Rüschendorf, S Vanduffel, R Wang
Finance and Stochastics 21, 631-659, 2017
562017
Optimal surrender policy for variable annuity guarantees
C Bernard, A MacKay, M Muehlbeyer
Insurance: Mathematics and Economics 55, 116-128, 2014
552014
Measuring portfolio risk under partial dependence information
C Bernard, M Denuit, S Vanduffel
Journal of Risk and Insurance 85 (3), 843-863, 2018
542018
State-dependent fees for variable annuity guarantees
C Bernard, MR Hardy, A MacKay
ASTIN Bulletin - Available at SSRN 2258199 44 (3), 559-585, 2014
522014
Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection
C Bernard, S Vanduffel
European Journal of Operational Research, 2012
512012
Mr. Madoff's amazing returns: An analysis of the split-strike conversion strategy
C Bernard, P Boyle
Journal of Derivatives 17 (1), 62, 2009
472009
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학술자료 1–20