Carole Bernard | Statistics and Actuarial Science

Assistant Professor

Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 35505
FAX: (519) 746-1875

Email:
Personal Webpage :www.carole.bernard.free.fr
Office: M3 3132

Research and Scholarly Activity

Professor Bernard is interested in issues related to finance and insurance. Her research interests cover a variety of areas including derivatives pricing, actuarial science, insurance economics, and risk management.

Professor Bernard's current research aims to understand the impact of regulation changes on the overall insurance market and how such changes affect both market stability and the risk-sharing among policyholders, insurers, and re-insurers. More precisely, in collaboration with Professor Weidong Tian of the University of Waterloo, Carole has been focusing on the optimal design of insurance contracts and reinsurance arrangements when insurers are subject to regulation constraints such as Value-at-Risk constraints. A reform of the European framework for insurance (the Solvency II project) is about to be applied, and it is crucial to understand its potential consequences for the insurance sector.

Recent Publications

C. Bernard, P. Boyle, « Monte Carlo Methods for Pricing Discrete Parisian Options», European Journal of Finance, 2009, forthcoming.
C. Bernard, M. Ghossoub, “Static Portfolio Choice under Cumulative Prospect Theory”, Mathematics and Financial Economics, 2009, forthcoming.
C. Bernard, P. Boyle, “Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy”, Journal of Derivatives, 2009, 17(1): 62–76. (more)

Biography

Professor Bernard received her PhD in 2005 from the Universite; Claude Bernard, Lyon. During her PhD studies she taught at ISFA, a graduate school of actuarial studies. From September 2006 to May 2007 she was a postdoctoral fellow at the University of Waterloo under the supervision of Professors Phelim Boyle, Mary Hardy, and Weidong Tian. In July 2007 she visited Professor Tahir Choulli at the University of Alberta.

During the past few years Professor Bernard has been working on some new applications of option theory in insurance. In particular, with co-authors Olivier Le Courtois and Francois Quittard-Pinon, both from Lyon, she provided a financial method to value certain participating life insurance policies (equity-indexed annuities) with a minimum guarantee taking into account both interest-rate risk and default risk. This study is in accordance with new accounting standards that require insurers to report their assets and liabilities at market values. Professor Bernard has also worked on the regulation and surveillance of financial institutions using exotic barrier options; for instance, Parisian options are used to model the existing regulations of the Italian insurance system for bank deposits.

Finally, Professor Bernard is interested in structured products. She has recently worked on the pricing of barrier options with her co-authors from Lyon. With Professor Phelim Boyle of Wilfrid Laurier University and Professor Weidong Tian, she has been working on the optimal design of structured products. They have provided a robust and optimal design, from the issuers perspective, of an investment contract that includes a minimum guarantee and the possibility (for the investor) to outperform a benchmark. This design completes the prior work of Professors P. Boyle and W. Tian on the design of such investments from the investors viewpoint.