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Silvana Pesenti
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Robust distortion risk measures
C Bernard, SM Pesenti, S Vanduffel
Mathematical Finance 34 (3), 774-818, 2024
502024
Robust risk-aware reinforcement learning
S Jaimungal, SM Pesenti, YS Wang, H Tatsat
SIAM Journal on Financial Mathematics 13 (1), 213-226, 2022
372022
Portfolio optimization within a Wasserstein ball
SM Pesenti, S Jaimungal
SIAM Journal on Financial Mathematics 14 (4), 1175-1214, 2023
282023
Reverse sensitivity testing: What does it take to break the model?
SM Pesenti, P Millossovich, A Tsanakas
European Journal of Operational Research 274 (2), 654-670, 2019
282019
Optimizing distortion riskmetrics with distributional uncertainty
SM Pesenti, Q Wang, R Wang
Mathematical Programming, 1-56, 2024
192024
Cascade sensitivity measures
SM Pesenti, P Millossovich, A Tsanakas
Risk Analysis 41 (12), 2392-2414, 2021
162021
Robustness regions for measures of risk aggregation
SM Pesenti, P Millossovich, A Tsanakas
Dependence Modeling 4 (1), 000010151520160020, 2016
152016
Sensitivity measures based on scoring functions
T Fissler, SM Pesenti
European Journal of Operational Research 307 (3), 1408-1423, 2023
132023
Reverse sensitivity analysis for risk modelling
SM Pesenti
Risks 10 (7), 141, 2022
122022
Scenario Weights for Importance Measurement (SWIM)–an R package for sensitivity analysis
SM Pesenti, A Bettini, P Millossovich, A Tsanakas
Annals of Actuarial Science 15 (2), 458-483, 2021
112021
Risk Budgeting Portfolios from Simulations
B FP da Costa, SM Pesenti, R Targino
Silvana M. and Targino, Rodrigo, Risk Budgeting Portfolios from Simulations …, 2023
72023
Uncertainty propagation and dynamic robust risk measures
MR Moresco, M Mailhot, SM Pesenti
Mathematics of Operations Research, 2024
52024
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
S Jaimungal, SM Pesenti, L Sánchez-Betancourt
SIAM Journal on Control and Optimization 62 (2), 982-1005, 2024
52024
Stressing dynamic loss models
E Kroell, SM Pesenti, S Jaimungal
Insurance: Mathematics and Economics 114, 56-78, 2024
52024
Risk budgeting allocation for dynamic risk measures
SM Pesenti, S Jaimungal, YF Saporito, RS Targino
arXiv preprint arXiv:2305.11319, 2023
52023
Risk contributions of lambda quantiles
A Ince, I Peri, S Pesenti
Quantitative Finance 22 (10), 1871-1891, 2022
52022
Optimal transport divergences induced by scoring functions
SM Pesenti, S Vanduffel
Operations Research Letters 57, 107146, 2024
22024
Optimal Robust Reinsurance with Multiple Insurers
E Kroell, S Jaimungal, SM Pesenti
arXiv preprint arXiv:2308.11828, 2023
22023
Kullback-Leibler Barycentre of Stochastic Processes
S Jaimungal, SM Pesenti
arXiv preprint arXiv:2407.04860, 2024
12024
Euler allocations in the presence of non-linear reinsurance: comment on Major (2018)
SM Pesenti, A Tsanakas, P Millossovich
Insurance: Mathematics and Economics 83, 29-31, 2018
12018
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