Thanks for your answers. In fact, the problem comes from the LaTeX package "underscore" (I had it in my ~/.emacs).
In this situation:
#+latex_header: \usepackage{underscore}
#+latex_header: \graphicspath{ {./images/} }
[[file:simul001_a-4_b-0-1.pdf]]
=> the image is not displayed
Whereas in this situation:
#+latex_header: \graphicspath{ {./images/} }
[[file:simul001_a-4_b-0-1.pdf]]
=> the image is displayed correctly
Therefore, if one needs to have any underscore in the text as well as in image file names, the only way I found is to use the verbatim mode ("=" in org-mode) to handle underscore in text.
Here is an example that works:
#+latex_header: \graphicspath{ {./images/} }
File name: =simul001_a-4_b-0-1.pdf=
[[file:simul001_a-4_b-0-1.pdf]]
Note also that underscore "_" and hyphen "-" work well separately as well as together.