Carole Bernard

Carole Bernard graduated from “Ecole Normale Supérieure de Cachan” (France) in 2003 and obtained her Ph.D. in Finance from the Institute of Financial and Actuarial Sciences in Lyon (France) in 2005. She has then been working at the University of Waterloo in Canada from 2006 to 2015, at the Grenoble Ecole de Management since 2015 and VUB since 2016.

Her research interests are in finance, behavioural modelling, insurance and theoretical economics. Carole has published articles in leading international journals, such as Management Science, Journal of Risk and Insurance, Journal of Banking and Finance, Journal of Economics Dynamics and Control, European Journal of Operational Research, Mathematical Finance and Journal of Mathematical Economics among others.

Some of her papers have received awards such as the 2006 North American Actuarial Journal best paper award, the 2011 EGRIE (European Group of Risk and Insurance Economics) Young Economist Best Paper Award, the 2012 Johan de Witt prize from the Dutch Actuarial Society, the 2014 PRMIA award for Frontiers in Risk Management and the 2018 R.C. Witt award from the American Risk and Insurance Association.

She is on the editorial board of several leading journals in finance and insurance such as the Journal of Risk and Insurance and the Journal of Banking and Finance.

Research

Optimal Decision Modelling

Portfolio Choice

Quantitative Finance

Options

Insurance

Key publications

Bernard, C., Vanduffel, S., & Ye, J. (2019). Optimal strategies under Omega ratio. European Journal of Operational Research, 275(2), 755-767. [275]. https://doi.org/10.1016/j.ejor.2018.11.046

Bernard, C., Rheinberger, C., & Treich, N. (2018). Catastrophe aversion and risk equity in an interdependent world. Management Science, 64(10), 4490-4504. https://doi.org/10.1287/mnsc.2017.2859

Bernard, C., Bondarenko, O., & Vanduffel, S. (2018). Rearrangement algorithm and maximum entropy. Annals of Operations Research, 261(1-2), 107-134. https://doi.org/10.1007/s10479-017-2612-2

Bernard, C., Rüschendorf, L., & Vanduffel, S. (2017). Value-at-Risk Bounds with Variance Constraints. The Journal of Risk and Insurance, 84(3), 923-959. https://doi.org/10.1111/jori.12108

Bernard, C., & Vanduffel, S. (2015). A new approach to assessing model risk in high dimensions. Journal of Banking and Finance, 58, 166-178. https://doi.org/10.1016/j.jbankfin.2015.03.007

Bernard, C., Chen, J. S., & Vanduffel, S. (2015). Rationalizing Investors' choices. Journal of Mathematical Economics, 59, 10-23. https://doi.org/10.1016/j.jmateco.2015.05.002