3 citations · 11 across the 22 of their papers we have counts for
25 papers
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
Jennifer Alonso-Garcia, Caroline Hillairet, Sarah Kaakai +1
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism.…
A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
Caroline Hillairet, Olivier Lopez, Lionel Sopgoui
This work evaluates the impact of contagious cyber-events, over a finite horizon, on firms' financial health and on a cyber insurance portfolio. Our approach builds on key empirica…
Disaster Risk Financing through Taxation: A Framework for Regional Participation in Collective Risk-Sharing
Fallou Niakh, Arthur Charpentier, Caroline Hillairet +1
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events in…
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
Giorgia Callegaro, Claudio Fontana, Caroline Hillairet +1
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, captu…
Multivariate Self-Exciting Processes with Dependencies
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, in…
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
Poisson imbedding meets the Clark-Ocone formula
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
In this paper we develop a representation formula of Clark-Ocone type for any integrable Poisson functionals, which extends the Poisson imbedding for point processes. This represen…
Cyber risk modeling using a two-phase Hawkes process with external excitation
Alexandre Boumezoued, Yousra Cherkaoui, Caroline Hillairet
With the growing digital transformation of the worldwide economy, cyber risk has become a major issue. As 1 % of the world's GDP (around $1,000 billion) is allegedly lost to cyberc…
The value of the information in the Moral Hazard setting
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Prin…
Explicit correlations for the Hawkes processes
Caroline Hillairet, Anthony Reveillac
In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our m…
On the chaotic expansion for counting processes
Caroline Hillairet, Anthony Reveillac
We introduce and study an alternative form of the chaotic expansion for counting processes using the Poisson imbedding representation; we name this alternative form \textit{pseudo-…
Time-consistent pension policy with minimum guarantee and sustainability constraint
Caroline Hillairet, Sarah Kaakai, Mohamed Mrad
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to…
Fair Active Learning: Solving the Labeling Problem in Insurance
Romuald Elie, Caroline Hillairet, François Hu +1
This paper addresses significant obstacles that arise from the widespread use of machine learning models in the insurance industry, with a specific focus on promoting fairness. The…
The Malliavin-Stein method for Hawkes functionals
Caroline Hillairet, Lorick Huang, Mahmoud Khabou +1
In this paper, following Nourdin-Peccati's methodology, we combine the Malliavin calculus and Stein's method to provide general bounds on the Wasserstein distance between functiona…
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Caroline Hillairet, Anthony Reveillac, Mathieu Rosenbaum
In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known…
Optimal stopping contract for Public Private Partnerships under moral hazard
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif
This paper studies optimal Public Private Partnerships contract between a public entity and a consortium, in continuous-time and with a continuous payment, with the possibility for…
Pricing formulae for derivatives in insurance using the Malliavin calculus
Caroline Hillairet, Ying Jiao, Anthony Réveillac
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In…
Optimal Contract with Moral Hazard for Public Private Partnerships
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif +1
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospit…
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui, Mohamed Mrad, Caroline Hillairet
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and…
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…
Shapes of implied volatility with positive mass at zero
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and t…
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the ex…
Portfolio optimization with insider's initial information and counterparty risk
Caroline Hillairet, Ying Jiao
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τis modelled as the first time a stoc…