Personal profile
Personal profile
Caroline Hillairet is Professor at ENSAE Paris since September 2015, in charge of the actuarial program. She is member of CREST, LFA (Finance and actuarial science). She is associate actuary of Institut des Actuaires since 2018. She is co-head with Olivier Lopez of the Research Initiative on "Actuarial modeling of cyber risk" (AXA Joint Research Initiative). She was a member of the ANR Lolita (Dynamic models for human Longevity with Lifestyle Adjustments) on longevity risk, particularly interested in the financial aspects, such as long term interest rate modeling and intergenerational risk sharing. Her research fields also include credit risk and asymetric information modeling. Before 2015, she was associate professor at Ecole Polytechnique, in the team of Mathematical finance in the lab CMAP (Centre de Mathématiques Appliquées).
Research interests
Actuarial assessment of cyber risk (co-sponsor of a research initiative)
Risk of Longevity
Uses Dynamics and long-term interest rates
Intergenerational risk
Asymmetric information and magnification of filtrations
Credit risk
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Collaborations and top research areas from the last five years
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A NON-COMPENSATED CLARK–OCONE FORMULA FOR FUNCTIONALS OF COUNTING PROCESSES
Hillairet, C., Peyrat, T. & Réveillac, A., 1 Jan 2025, In: ESAIM - Probability and Statistics. 29, p. 158-183 26 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Explicit correlations for the Hawkes processes
Hillairet, C. & Réveillac, A., 1 Jan 2025, (Accepted/In press) In: Stochastics.Research output: Contribution to journal › Article › peer-review
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The value of the information in the Moral Hazard setting
Hajjej, I., Hillairet, C. & Mnif, M., 1 Jan 2025, (Accepted/In press) In: Stochastics.Research output: Contribution to journal › Article › peer-review
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Bi-revealed utilities in a defaultable universe: A new point of view on consumption
El Karoui, N., Hillairet, C. & Mrad, M., 1 Jan 2024, In: Probability, Uncertainty and Quantitative Risk. 9, 1, p. 13-34 22 p.Research output: Contribution to journal › Article › peer-review
Open Access -
On the chaotic expansion for counting processes
Hillairet, C. & Réveillac, A., 1 Jan 2024, In: Electronic Journal of Probability. 29, 131.Research output: Contribution to journal › Article › peer-review
Open Access -
Time-consistent pension policy with minimum guarantee and sustainability constraint
Hillairet, C., Kaakaï, S. & Mrad, M., 1 Jan 2024, In: Probability, Uncertainty and Quantitative Risk. 9, 1, p. 35-64 30 p.Research output: Contribution to journal › Article › peer-review
Open Access -
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Hillairet, C., Réveillac, A. & Rosenbaum, M., 1 Jun 2023, In: Stochastic Processes and their Applications. 160, p. 89-119 31 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Cyber-contagion model with network structure applied to insurance
Hillairet, C., Lopez, O., d'Oultremont, L. & Spoorenberg, B., 1 Nov 2022, In: Insurance: Mathematics and Economics. 107, p. 88-101 14 p.Research output: Contribution to journal › Article › peer-review
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OPTIMAL STOPPING CONTRACT FOR PUBLIC PRIVATE PARTNERSHIPS UNDER MORAL HAZARD
Hajjej, I., Hillairet, C. & Mnif, M., 1 Dec 2022, In: Frontiers of Mathematical Finance. 1, 4, p. 539-573 35 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, N., Hillairet, C. & Mrad, M., 1 Jun 2022, In: Decisions in Economics and Finance. 45, 1, p. 375-414 40 p.Research output: Contribution to journal › Article › peer-review
Open Access