| Robust distortion risk measures C Bernard, SM Pesenti, S Vanduffel Mathematical Finance 34 (3), 774-818, 2024 | 50 | 2024 |
| Robust risk-aware reinforcement learning S Jaimungal, SM Pesenti, YS Wang, H Tatsat SIAM Journal on Financial Mathematics 13 (1), 213-226, 2022 | 37 | 2022 |
| Portfolio optimization within a Wasserstein ball SM Pesenti, S Jaimungal SIAM Journal on Financial Mathematics 14 (4), 1175-1214, 2023 | 28 | 2023 |
| 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 | 28 | 2019 |
| Optimizing distortion riskmetrics with distributional uncertainty SM Pesenti, Q Wang, R Wang Mathematical Programming, 1-56, 2024 | 19 | 2024 |
| Cascade sensitivity measures SM Pesenti, P Millossovich, A Tsanakas Risk Analysis 41 (12), 2392-2414, 2021 | 16 | 2021 |
| Robustness regions for measures of risk aggregation SM Pesenti, P Millossovich, A Tsanakas Dependence Modeling 4 (1), 000010151520160020, 2016 | 15 | 2016 |
| Sensitivity measures based on scoring functions T Fissler, SM Pesenti European Journal of Operational Research 307 (3), 1408-1423, 2023 | 13 | 2023 |
| Reverse sensitivity analysis for risk modelling SM Pesenti Risks 10 (7), 141, 2022 | 12 | 2022 |
| 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 | 11 | 2021 |
| Risk Budgeting Portfolios from Simulations B FP da Costa, SM Pesenti, R Targino Silvana M. and Targino, Rodrigo, Risk Budgeting Portfolios from Simulations …, 2023 | 7 | 2023 |
| Uncertainty propagation and dynamic robust risk measures MR Moresco, M Mailhot, SM Pesenti Mathematics of Operations Research, 2024 | 5 | 2024 |
| 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 | 5 | 2024 |
| Stressing dynamic loss models E Kroell, SM Pesenti, S Jaimungal Insurance: Mathematics and Economics 114, 56-78, 2024 | 5 | 2024 |
| Risk budgeting allocation for dynamic risk measures SM Pesenti, S Jaimungal, YF Saporito, RS Targino arXiv preprint arXiv:2305.11319, 2023 | 5 | 2023 |
| Risk contributions of lambda quantiles A Ince, I Peri, S Pesenti Quantitative Finance 22 (10), 1871-1891, 2022 | 5 | 2022 |
| Optimal transport divergences induced by scoring functions SM Pesenti, S Vanduffel Operations Research Letters 57, 107146, 2024 | 2 | 2024 |
| Optimal Robust Reinsurance with Multiple Insurers E Kroell, S Jaimungal, SM Pesenti arXiv preprint arXiv:2308.11828, 2023 | 2 | 2023 |
| Kullback-Leibler Barycentre of Stochastic Processes S Jaimungal, SM Pesenti arXiv preprint arXiv:2407.04860, 2024 | 1 | 2024 |
| 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 | 1 | 2018 |
Pietro MillossovichBayes Business School確認したメール アドレス: city.ac.uk