オープン アクセス

Semi-static hedging of variable annuities

C Bernard, M Kwak

Insurance: Mathematics and Economics 67, 173-186, 2016

委任: Natural Sciences and Engineering Research Council of Canada

Simplified hedge for path-dependent derivatives

C Bernard, J Tang

International Journal of Theoretical and Applied Finance 19 (07), 1650045, 2016

委任: Natural Sciences and Engineering Research Council of Canada

Valuation of reverse mortgages with default risk models

C Bernard, A Kolkiewicz, J Tang

The Journal of Real Estate Finance and Economics 66 (4), 806-839, 2023

委任: Research Foundation (Flanders)

一般公開: 38 件

[HTML] sciencedirect.com

Conditional quantiles and tail dependence

C Bernard, C Czado

Journal of Multivariate Analysis 138, 104-126, 2015

委任: Natural Sciences and Engineering Research Council of Canada

A new approach to assessing model risk in high dimensions

C Bernard, S Vanduffel

Journal of Banking & Finance 58, 166-178, 2015

委任: Natural Sciences and Engineering Research Council of Canada

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

委任: Research Foundation (Flanders), Natural Sciences and Engineering Research …

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

委任: Natural Sciences and Engineering Research Council of Canada

Risk bounds for factor models

C Bernard, L Rüschendorf, S Vanduffel, R Wang

Finance and Stochastics 21, 631-659, 2017

委任: Research Foundation (Flanders), Natural Sciences and Engineering Research …

Measuring portfolio risk under partial dependence information

C Bernard, M Denuit, S Vanduffel

Journal of Risk and Insurance 85 (3), 843-863, 2018

委任: Research Foundation (Flanders), Natural Sciences and Engineering Research …

Optimal payoffs under state-dependent preferences

C Bernard, F Moraux, L Rüschendorf, S Vanduffel

Quantitative Finance 15 (7), 1157-1173, 2015

委任: Natural Sciences and Engineering Research Council of Canada

Rationalizing investors’ choices

C Bernard, JS Chen, S Vanduffel

Journal of Mathematical Economics 59, 10-23, 2015

委任: Natural Sciences and Engineering Research Council of Canada

Optimal strategies under Omega ratio

C Bernard, S Vanduffel, J Ye

European Journal of Operational Research 275 (2), 755-767, 2019

委任: Research Foundation (Flanders)

[PDF] sciencedirect.com

Range Value-at-Risk bounds for unimodal distributions under partial information

C Bernard, R Kazzi, S Vanduffel

Insurance: Mathematics and Economics 94, 9-24, 2020

委任: Research Foundation (Flanders)

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

C Bernard, Z Cui, D McLeish

Mathematical Finance 27 (1), 194-223, 2017

委任: Natural Sciences and Engineering Research Council of Canada

[PDF] cambridge.org

Option-implied dependence and correlation risk premium

O Bondarenko, C Bernard

journal of Financial and Quantitative Analysis, 1-51, 2023

委任: Research Foundation (Flanders)

Impact of flexible periodic premiums on variable annuity guarantees

C Bernard, Z Cui, S Vanduffel

North American actuarial journal 21 (1), 63-86, 2017

委任: Research Foundation (Flanders)

[PDF] tum.de

Multivariate Option Pricing Using Copulae

C Bernard, C Czado

Applied Stochastic Models in Business and Industry, 2010

委任: German Research Foundation

Algorithms for finding copulas minimizing convex functions of sums

C Bernard, D McLeish

Asia-Pacific Journal of Operational Research 33 (05), 1650040, 2016

委任: Natural Sciences and Engineering Research Council of Canada

Optimal insurance in the presence of multiple policyholders

C Bernard, F Liu, S Vanduffel

Journal of Economic Behavior & Organization 180, 638-656, 2020

委任: Research Foundation (Flanders), National Natural Science Foundation of China

[PDF] degruyter.com