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Carole Bernard's Publications

PUBLICATIONS

  • C. Bernard, O. Le Courtois, F. Quittard-Pinon, "Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework", North American Actuarial Journal, 2010, Vol. 14, N°l, p. 131-149,2010.
  • C. Bernard, M. Ghossoub, "Static Portfolio Choice under Cumulative Prospect
    Theory", Mathematics and Financial Economics, 2010, vol. 2, n04, pp. 277-306.
  • C. Bernard, W. Tian, «Insurance Market EjJects of Risk Management Metrics », The Geneva Risk and Insurance Review, 2010, (2010) 35, 47-80.
  • C. Bernard, P. Boyle, "Mr. MadojJ's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy", Journal of Derivatives, 2009, 17(1): 62-76.
  • C. Bernard, W. Tian, « Optimal Reinsurance Arrangements Under Tail Risk Measures », Journal of Risk and Insurance, 2009, 76(3), 709-725.
  • C. Bernard, A. Chen, « On the Regulator-Insurer Interaction in a Structural Model», Journal of Computational and Applied Mathematics, 2009, 233(1), 3-15.
  • C. Bernard, A. Chen, A. Pelsser « On the cost of Regulation under Solvency If», Life & Pensions, 2008, June, cutting edge section, 36-41.
  • C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment », Journal of Economic Dynamics & Control, 2008, 32,2903-2938.

Book Reviews

  • Journal of Risk and Insurance, 2008, Vol. 75, No.3, 811-813, "When Insurers Go Bust: An Economic Analysis of the Role and Design of Prudential Regulation" by Guillaume Plantin and Jean-Charles Rochet, 2007, Princeton University Press.
  • North American Actuarial Journal, 2008, April, 220, "Optimization Methods in Finance" by Gerard Cornuejols and Reha Tutuncu, 2005, Cambridge University Press.

Proceedings

  • C. Bernard, P. Boyle, « Natural Balance Sheet Hedge of Equity Indexed Annuities», Proceedings of ICA 2010 (International Congress of Actuaries)
  • C. Bernard, C. Lemieux, "Fast Simulation on Equihj-linked Life Insurance Contracts with a Surrender Option", 2008, Proceedings of the 40th conference on Winter Simulation, 444-452.
  • C. Bernard, P. Boyle, "Locally-Capped Investment Products and the Retail Investor", Conference proceedings European Financial Management Association (EFMA),2009.
  • C. Bernard, M. Ghossoub, "Static Portfolio Choice under Cumulative Prospect Theory", proceedings Asia-Pacific Risk and Insurance, July 2009. (2) Accepted for publication in 2010 that are not yet published
  • C. Bernard, Z. Cui, "Pricing of Timer Options", Journal of Computational Finance, 2011. (submitted in November 2009, accepted August 2010, published online in October 2010, forthcoming 2011).
  • C. Bernard, M. Maj, S. Vanduffel, "Improving the Design of Financial Products in a Multidimensional Black-Scholes Market", North American Actuarial Journal, 2011. (submitted in 2009, accepted July 2010, forthcoming 20 11).
  • C. Bernard, P. Boyle, « Monte Carlo Methods for Pricing Discrete Parisian Options», European Journal of Finance, 2011, forthcoming (submitted 2008, published online in January 2010).[29 pages]
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