Static portfolio choice under cumulative prospect theory C Bernard, M Ghossoub Mathematics and financial economics 2, 277-306, 2010 | 196 | 2010 |
Optimal reinsurance arrangements under tail risk measures C Bernard, W Tian Journal of risk and insurance 76 (3), 709-725, 2009 | 147 | 2009 |
Risk aggregation with dependence uncertainty C Bernard, X Jiang, R Wang Insurance: Mathematics and Economics 54, 93-108, 2014 | 140 | 2014 |
Optimal Insurance Design under Rank-Dependent Expected Utility C Bernard, XD He, JA Yan, XY Zhou Mathematical finance, 2012 | 124 | 2012 |
Value-at-Risk bounds with variance constraints C Bernard, L Rüschendorf, S Vanduffel Available at SSRN 2342068, Journal of Risk and Insurance, 2013 | 119* | 2013 |
Conditional quantiles and tail dependence C Bernard, C Czado Journal of Multivariate Analysis 138, 104-126, 2015 | 95 | 2015 |
Market value of life insurance contracts under stochastic interest rates and default risk C Bernard, O Le Courtois, F Quittard-Pinon Insurance: Mathematics and Economics 36 (3), 499-516, 2005 | 95 | 2005 |
Explicit representation of cost-efficient strategies C Bernard, P Boyle, S Vanduffel Available at SSRN 1561272, Finance, 2014, 25(2) 25 (2), 6-55, 2013 | 87 | 2013 |
A new approach to assessing model risk in high dimensions C Bernard, S Vanduffel Journal of Banking & Finance 58, 166-178, 2015 | 78 | 2015 |
Prices and Asymptotics for Discrete Variance Swaps C Bernard, Z Cui Applied Mathematical Finance, 2012 | 71 | 2012 |
Locally capped investment products and the retail investor C Bernard, PP Boyle, W Gornall Journal of Derivatives 18 (4), 72, 2011 | 70 | 2011 |
A new procedure for pricing Parisian options C Bernard, O Le Courtois, F Quittard-Pinon Journal of Derivatives 12 (4), 2005 | 62 | 2005 |
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 | 57 | 2017 |
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 | 56 | 2017 |
Risk bounds for factor models C Bernard, L Rüschendorf, S Vanduffel, R Wang Finance and Stochastics 21, 631-659, 2017 | 55 | 2017 |
Measuring portfolio risk under partial dependence information C Bernard, M Denuit, S Vanduffel Journal of Risk and Insurance 85 (3), 843-863, 2018 | 54 | 2018 |
Optimal surrender policy for variable annuity guarantees C Bernard, A MacKay, M Muehlbeyer Insurance: Mathematics and Economics 55, 116-128, 2014 | 54 | 2014 |
State-dependent fees for variable annuity guarantees C Bernard, MR Hardy, A MacKay ASTIN Bulletin - Available at SSRN 2258199 44 (3), 559-585, 2014 | 52 | 2014 |
Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection C Bernard, S Vanduffel European Journal of Operational Research, 2012 | 51 | 2012 |
Mr. Madoff's amazing returns: An analysis of the split-strike conversion strategy C Bernard, P Boyle Journal of Derivatives 17 (1), 62, 2009 | 47 | 2009 |