Caroline Hillairet

Available identifiers

zbMath Open hillairet.carolineMaRDI QIDQ486929

List of research outcomes

Publication	Date of Publication	Type
On the chaotic expansion for counting processes	2024-10-16	Paper
Bi-revealed utilities in a defaultable universe: a new point of view on consumption	2024-05-25	Paper
Time-consistent pension policy with minimum guarantee and sustainability constraint	2024-05-25	Paper
Cyber risk modeling using a two-phase Hawkes process with external excitation	2023-11-27	Paper
Optimal stopping contract for public private partnerships under moral hazard	2023-06-26	Paper
An expansion formula for Hawkes processes and application to cyber-insurance derivatives	2023-05-17	Paper
The value of the information in the Moral Hazard setting	2023-04-06	Paper
Explicit correlations for the Hawkes processes	2023-04-05	Paper
Cyber-contagion model with network structure applied to insurance	2023-02-01	Paper
The Malliavin-Stein method for Hawkes functionals	2023-01-09	Paper
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling	2022-09-30	Paper
On the chaotic expansion for counting processes	2022-09-05	Paper
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint	2022-07-05	Paper
Ramsey rule with forward/backward utility for long-term yield curves modeling	2022-06-17	Paper
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models	2021-12-08	Paper
Pricing formulae for derivatives in insurance using Malliavin calculus	2020-02-17	Paper
Successive enlargement of filtrations and application to insider information	2019-09-16	Paper
Optimal contract with moral hazard for public private partnerships	2018-09-04	Paper
Shapes of implied volatility with positive mass at zero	2018-03-12	Paper
Trading against disorderly liquidation of a large position under asymmetric information and market impact	2018-03-07	Paper
Portfolio optimization with different information flow	2017-05-02	Paper
Reducing the debt: is it optimal to outsource an investment?	2016-09-30	Paper
Enumeration of polycubes and Dirichlet convolutions	2015-12-16	Paper
A portfolio optimization problem with two prices generated by two information flows	2015-10-21	Paper
A modelization of public-private partnerships with failure time	2015-07-02	Paper
Portfolio optimization with insider's initial information and counterparty risk	2015-01-19	Paper
Understanding, modelling and managing longevity risk: key issues and main challenges	2013-12-13	Paper
Credit risk with asymmetric information on the default threshold	2012-11-09	Paper
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES	2011-10-24	Paper
Comparison of insiders' optimal strategies depending on the type of side-information	2005-10-10	Paper
EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS	2005-08-17	Paper
Time-consistent pension policy with minimum guarantee and sustainability constraint	N/A	Paper
Poisson imbedding meets the Clark-Ocone formula	N/A	Paper

Research outcomes over time

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