PUCCETTI, GIOVANNI
PUCCETTI, GIOVANNI
Dipartimento di Economia, Management e Metodi Quantitativi
A clustering approach and a rule of thumb for risk aggregation
2018 M. Di Lascio, D. Giammusso, G. Puccetti
A Journey Beyond The Gaussian World : An interview with Harry Joe
2018 C. Genest, G. Puccetti, H. Joe
A Journey from Statistics and Probability to Risk Theory : an interview with Ludger Rüschendorf
2015 F. Durante, G. Puccetti, M. Scherer
Advances in complete mixability
2012 G. Puccetti, B. Wang, R. Wang
Aggregating operational risk across matrix structured loss data
2008 P. Embrechts, G. Puccetti
Aggregating risk capital, with an application to operational risk
2006 P. Embrechts, G. Puccetti
An Academic Response to Basel 3.5
2014 P. Embrechts, G. Puccetti, L. Rüschendorf, R. Wang, A. Beleraj
An algorithm to approximate the optimal expected inner product of two vectors with given marginals
2017 G. Puccetti
Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
2014 G. Puccetti, L. Rüschendorf
Bounds for functions of dependent risks
2006 P. Embrechts, G. Puccetti
Bounds for functions of multivariate risks
2006 P. Embrechts, G. Puccetti
Bounds for joint portfolios of dependent risks
2012 G. Puccetti, L. Rüschendorf
Bounds for the sum of dependent risks having overlapping marginals
2010 P. Embrechts, G. Puccetti
Bounds on total economic capital : the DNB case study
2014 K. Aas, G. Puccetti
Building bridges between mathematics, insurance and finance : an interview with Paul Embrechts
2015 F. Durante, G. Puccetti, M. Scherer
Centers of probability measures without the mean
2019 G. Puccetti, P. Rigo, B. Wang, R. Wang
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
2013 G. Puccetti, B. Wang, R. Wang
Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
2015 G. Puccetti, L. Rüschendorf
Computations of sharp bounds on the distribution of a function of dependent risks
2012 G. Puccetti, L. Rüschendorf
Conditional expectiles, time consistency and mixture convexity properties
2018 F. Bellini, V. Bignozzi, G. Puccetti