Caroline HILLAIRET


Caroline HILLAIRET
CREST Permanent Member
Associate Professor
Finance
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2021

  • Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

    Scandinavian actuarial journal, , 2021.
    By C. Hillairet and O. Lopez

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2021,
    author={Hillairet, C. and Lopez, O.},
    title={Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models},
    journal={Scandinavian Actuarial Journal},
    year={2021},
    doi={10.1080/03461238.2021.1872694},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100214393&doi=10.1080%2f03461238.2021.1872694&partnerID=40&md5=9f11a5064a8308861b23a7e576439145}, document_type={Article}, source={Scopus}, }

2020

  • Multivariate hawkes process for cyber insurance

    Annals of actuarial science, , 2020.
    By Y. Bessy-Roland, A. Boumezoued, and C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Bessy-Roland2020,
    author={Bessy-Roland, Y. and Boumezoued, A. and Hillairet, C.},
    title={Multivariate Hawkes process for cyber insurance},
    journal={Annals of Actuarial Science},
    year={2020},
    doi={10.1017/S1748499520000093},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090495205&doi=10.1017%2fS1748499520000093&partnerID=40&md5=bbbcd0890f4ef4535b1aa6277b58d5df}, document_type={Article}, source={Scopus}, }

2019

  • Invited editorial “the challenges imposed by low interest rates”

    Journal of asset management, vol. 20, iss. 6, pp. 413-420, 2019.
    By J. -M. Beacco, C. Lubochinsky, M. Briere, A. Monfort, C. Hillairet, and S. Benoît

    [DOI] [Bibtex]

    @EDITORIAL{Beacco2019413,
    author={Beacco, J.-M. and Lubochinsky, C. and Briere, M. and Monfort, A. and Hillairet, C. and Benoît, S.},
    title={Invited Editorial “The challenges imposed by low interest rates”},
    journal={Journal of Asset Management},
    year={2019},
    volume={20},
    number={6},
    pages={413-420},
    doi={10.1057/s41260-019-00124-6},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067235762&doi=10.1057%2fs41260-019-00124-6&partnerID=40&md5=2cfc42aaf4bd03a60ab20b64429c65ce}, document_type={Editorial}, source={Scopus}, }

2018

  • Consistent utility of investment and consumption: a forward/backward spde viewpoint

    Stochastics, vol. 90, iss. 6, pp. 927-954, 2018.
    By N. El Karoui, C. Hillairet, and M. Mrad

    [DOI] [Bibtex]

    @ARTICLE{ElKaroui2018927,
    author={El Karoui, N. and Hillairet, C. and Mrad, M.},
    title={Consistent utility of investment and consumption: a forward/backward SPDE viewpoint},
    journal={Stochastics},
    year={2018},
    volume={90},
    number={6},
    pages={927-954},
    doi={10.1080/17442508.2018.1457676},
    note={cited 
    By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045480681&doi=10.1080%2f17442508.2018.1457676&partnerID=40&md5=a640fef52d73e31e7c0aa1a32c305886}, document_type={Article}, source={Scopus}, }

2017

  • Successive enlargement of filtrations and application to insider information

    Advances in applied probability, vol. 49, iss. 3, pp. 653-685, 2017.
    By C. Blanchet-Scalliet, C. Hillairet, and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Blanchet-Scalliet2017653,
    author={Blanchet-Scalliet, C. and Hillairet, C. and Jiao, Y.},
    title={Successive enlargement of filtrations and application to insider information},
    journal={Advances in Applied Probability},
    year={2017},
    volume={49},
    number={3},
    pages={653-685},
    doi={10.1017/apr.2017.17},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029657837&doi=10.1017%2fapr.2017.17&partnerID=40&md5=dd1600198ca0d2ed8ff7080c0be84692}, document_type={Article}, source={Scopus}, }
  • Shapes of implied volatility with positive mass at zero

    Siam journal on financial mathematics, vol. 8, iss. 1, pp. 709-737, 2017.
    By S. De Marco, C. Hillairet, and A. Jacquier

    [DOI] [Bibtex]

    @ARTICLE{DeMarco2017709,
    author={De Marco, S. and Hillairet, C. and Jacquier, A.},
    title={Shapes of implied volatility with positive mass at zero},
    journal={SIAM Journal on Financial Mathematics},
    year={2017},
    volume={8},
    number={1},
    pages={709-737},
    doi={10.1137/14098065X},
    note={cited 
    By 6}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041608356&doi=10.1137%2f14098065X&partnerID=40&md5=3ae20c8ed55c5057b4314b2024f099e8}, document_type={Article}, source={Scopus}, }
  • Optimal contract with moral hazard for public private partnerships

    Stochastics, vol. 89, iss. 6-7, pp. 1015-1038, 2017.
    By I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier

    [DOI] [Bibtex]

    @ARTICLE{Hajjej20171015,
    author={Hajjej, I. and Hillairet, C. and Mnif, M. and Pontier, M.},
    title={Optimal contract with moral hazard for Public Private Partnerships},
    journal={Stochastics},
    year={2017},
    volume={89},
    number={6-7},
    pages={1015-1038},
    doi={10.1080/17442508.2017.1303068},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016117099&doi=10.1080%2f17442508.2017.1303068&partnerID=40&md5=59315c937b8f39df15e7eae0dc93be98}, document_type={Article}, source={Scopus}, }

2016

  • Reducing the debt: is it optimal to outsource an investment?

    Mathematics and financial economics, vol. 10, iss. 4, pp. 457-493, 2016.
    By G. E. Espinosa, C. Hillairet, B. Jourdain, and M. Pontier

    [DOI] [Bibtex]

    @ARTICLE{Espinosa2016457,
    author={Espinosa, G.E. and Hillairet, C. and Jourdain, B. and Pontier, M.},
    title={Reducing the debt: is it optimal to outsource an investment?},
    journal={Mathematics and Financial Economics},
    year={2016},
    volume={10},
    number={4},
    pages={457-493},
    doi={10.1007/s11579-016-0166-8},
    note={cited 
    By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84961200638&doi=10.1007%2fs11579-016-0166-8&partnerID=40&md5=dc292abffa87a9aa669744d3b01b69ae}, document_type={Article}, source={Scopus}, }
  • A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix

    Journal of food science and technology, vol. 53, iss. 12, pp. 4179-4186, 2016.
    By G. Otto, A. Lamote, E. Deckers, V. Dumont, P. Delahaut, M. -L. Scippo, J. Pleck, C. Hillairet, and N. Gillard

    [DOI] [Bibtex]

    @ARTICLE{Otto20164179,
    author={Otto, G. and Lamote, A. and Deckers, E. and Dumont, V. and Delahaut, P. and Scippo, M.-L. and Pleck, J. and Hillairet, C. and Gillard, N.},
    title={A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix},
    journal={Journal of Food Science and Technology},
    year={2016},
    volume={53},
    number={12},
    pages={4179-4186},
    doi={10.1007/s13197-016-2402-x},
    note={cited 
    By 6}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85000997227&doi=10.1007%2fs13197-016-2402-x&partnerID=40&md5=4678713e995a16b6b11c3c8205fc55d6}, document_type={Article}, source={Scopus}, }

2015

  • Portfolio optimization with insider’s initial information and counterparty risk

    Finance and stochastics, vol. 19, iss. 1, pp. 109-134, 2015.
    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2015109,
    author={Hillairet, C. and Jiao, Y.},
    title={Portfolio optimization with insider’s initial information and counterparty risk},
    journal={Finance and Stochastics},
    year={2015},
    volume={19},
    number={1},
    pages={109-134},
    doi={10.1007/s00780-014-0246-7},
    note={cited 
    By 3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919475917&doi=10.1007%2fs00780-014-0246-7&partnerID=40&md5=6782b93587f1c085c934e50f0cfcbf95}, document_type={Article}, source={Scopus}, }

2012

  • Credit risk with asymmetric information on the default threshold

    Stochastics, vol. 84, iss. 2-3, pp. 183-198, 2012.
    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2012183,
    author={Hillairet, C. and Jiao, Y.},
    title={Credit risk with asymmetric information on the default threshold},
    journal={Stochastics},
    year={2012},
    volume={84},
    number={2-3},
    pages={183-198},
    doi={10.1080/17442508.2011.575944},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860345837&doi=10.1080%2f17442508.2011.575944&partnerID=40&md5=4d5136f760efbfe83c6aae39bb10e92e}, document_type={Article}, source={Scopus}, }

2011

  • Information asymmetry in pricing of credit derivatives

    International journal of theoretical and applied finance, vol. 14, iss. 5, pp. 611-633, 2011.
    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2011611,
    author={Hillairet, C. and Jiao, Y.},
    title={Information asymmetry in pricing of credit derivatives},
    journal={International Journal of Theoretical and Applied Finance},
    year={2011},
    volume={14},
    number={5},
    pages={611-633},
    doi={10.1142/S0219024911006413},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860400360&doi=10.1142%2fS0219024911006413&partnerID=40&md5=5f68d185c963aca137ab6bb2fd7ed09b}, document_type={Article}, source={Scopus}, }

2005

  • Comparison of insiders' optimal strategies depending on the type of side-information

    Stochastic processes and their applications, vol. 115, iss. 10, pp. 1603-1627, 2005.
    By C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Hillairet20051603,
    author={Hillairet, C.},
    title={Comparison of insiders' optimal strategies depending on the type of side-information},
    journal={Stochastic Processes and their Applications},
    year={2005},
    volume={115},
    number={10},
    pages={1603-1627},
    doi={10.1016/j.spa.2005.05.005},
    note={cited 
    By 5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-24144456493&doi=10.1016%2fj.spa.2005.05.005&partnerID=40&md5=f334810c6310e5c7951c0d096ed2790a}, document_type={Article}, source={Scopus}, }
  • Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields

    Mathematical finance, vol. 15, iss. 1, pp. 99-117, 2005.
    By C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Hillairet200599,
    author={Hillairet, C.},
    title={Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields},
    journal={Mathematical Finance},
    year={2005},
    volume={15},
    number={1},
    pages={99-117},
    doi={10.1111/j.0960-1627.2005.00212.x},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-14544284005&doi=10.1111%2fj.0960-1627.2005.00212.x&partnerID=40&md5=886c7341942037820d0737b3ae2b3f04}, document_type={Article}, source={Scopus}, }