Giovanni Puccetti : Citation Profile


Are you Giovanni Puccetti?

Università degli Studi di Milano

7

H index

6

i10 index

228

Citations

RESEARCH PRODUCTION:

25

Articles

1

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 17
   Journals where Giovanni Puccetti has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 9 (3.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppu141
   Updated: 2019-04-20    RAS profile: 2019-02-08    
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Relations with other researchers


Works with:

Durante, Fabrizio (6)

Vanduffel, Steven (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giovanni Puccetti.

Is cited by:

Vanduffel, Steven (14)

Wang, Bin (13)

Galichon, Alfred (8)

Laeven, Roger (7)

Henry, Marc (4)

Durante, Fabrizio (4)

Rulliere, Didier (4)

Charpentier, Arthur (3)

TANKOV, PETER (3)

Sarabia, José María (2)

Guillen, Montserrat (2)

Cites to:

Dhaene, Jan (8)

Goovaerts, Marc (8)

Wang, Bin (8)

Acerbi, Carlo (4)

NAPP, Clotilde (3)

Artzner, Philippe (3)

Tasche, Dirk (3)

Jouini, Elyès (3)

Nenovsky, Nikolay (3)

Remillard, Bruno (3)

Scandolo, Giacomo (3)

Main data


Where Giovanni Puccetti has published?


Journals with more than one article published# docs
Dependence Modeling9
Insurance: Mathematics and Economics4
Journal of Multivariate Analysis3
Journal of Banking & Finance2
Statistics & Probability Letters2

Recent works citing Giovanni Puccetti (2018 and 2017)


YearTitle of citing document
2017Actuarial Applications and Estimation of Extended~CreditRisk$^+$. (2017). Hirz, Jonas ; Shevchenko, Pavel V. ; Schmock, Uwe . In: Papers. RePEc:arx:papers:1505.04757.

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2017On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, Matteo ; Ruffo, Chiara Maria ; Peri, Ilaria. In: Papers. RePEc:arx:papers:1603.09491.

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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2017Worst-Case Expected Shortfall with Univariate and Bivariate Marginals. (2017). Dhara, Anulekha ; Natarajan, Karthik ; Das, Bikramjit. In: Papers. RePEc:arx:papers:1701.04167.

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2018On representing and hedging claims for coherent risk measures. (2018). Berkaoui, Abdelkarem ; Armstrong, Seb ; Jacka, Saul. In: Papers. RePEc:arx:papers:1703.03638.

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2018Multivariate Geometric Expectiles. (2018). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius. In: Papers. RePEc:arx:papers:1704.01503.

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2018Extended Gini-type measures of risk and variability. (2018). Berkhouch, Mohammed ; Lakhnati, Ghizlane. In: Papers. RePEc:arx:papers:1707.07322.

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2018Marginal and dependence uncertainty: bounds, optimal transport, and sharpness. (2018). Bartl, Daniel ; Papapantoleon, Antonis ; Lux, Thibaut ; Kupper, Michael. In: Papers. RePEc:arx:papers:1709.00641.

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2019New copulas based on general partitions-of-unity and their applications to risk management (part II). (2019). Pfeifer, Dietmar ; Ragulina, Olena ; Mandle, Andreas. In: Papers. RePEc:arx:papers:1709.07682.

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2019Computation of optimal transport and related hedging problems via penalization and neural networks. (2018). Eckstein, Stephan ; Kupper, Michael. In: Papers. RePEc:arx:papers:1802.08539.

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2018Scenario-based Risk Evaluation. (2018). Wang, Ruodu ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1808.07339.

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2018Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. In: Papers. RePEc:arx:papers:1809.09268.

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2018Robust risk aggregation with neural networks. (2018). Eckstein, Stephan ; Pohl, Mathias ; Kupper, Michael. In: Papers. RePEc:arx:papers:1811.00304.

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2018Weak comonotonicity. (2018). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1812.04827.

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2017Value-at-Risk Bounds With Variance Constraints. (2017). Bernard, Carole ; Vanduffel, Steven ; Ruschendorf, Ludger. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959.

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2017Improved algorithms for computing worst Value-at-Risk. (2017). Marius, Hofert ; Tony, Wirjanto ; David, Saunders ; Amir, Memartoluie . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:13-31:n:3.

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2017Partial identification of functionals of the joint distribution of “potential outcomes”. (2017). Fan, Yanqin ; Zhu, Dongming ; Guerre, Emmanuel . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:42-59.

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2018Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts. (2018). Bassetti, Federico ; Tarantola, Claudia ; Nicolino, Enrica ; De Giuli, Maria Elena ; DeGiuli, Maria Elena . In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1107-1121.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2018Stochastic orders and co-risk measures under positive dependence. (2018). Sordo, M A ; Suarez-Llorens, A ; Bello, A J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:105-113.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2018Which eligible assets are compatible with comonotonic capital requirements?. (2018). Koch-Medina, Pablo ; Svindland, Gregor ; Munari, Cosimo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:18-26.

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2018Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

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2017Vector quantile regression beyond the specified case. (2017). Chernozhukov, Victor ; Carlier, Guillaume ; Galichon, Alfred. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:161:y:2017:i:c:p:96-102.

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2018Cone distribution functions and quantiles for multivariate random variables. (2018). Hamel, Andreas H ; Kostner, Daniel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:97-113.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2019Lift expectations of random sets. (2019). Diaye, Marc-Arthur ; Molchanov, Ilya ; Koshevoy, Gleb A. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:110-117.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2017Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account. (2017). Jiang, Wenjun ; Zitikis, Riardas ; Ren, Jiandong. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:11-:d:89417.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Wuthrich, Mario V ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Garcin, Matthieu ; Hassani, Bertrand ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01467857.

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2018An introduction to multivariate and dynamic risk measures. (2018). Charpentier, Arthur. In: Working Papers. RePEc:hal:wpaper:hal-01831481.

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2017A novel multivariate risk measure: the Kendall VaR. (2017). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Garcin, Matthieu ; Hassani, Bertrand ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008r.

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2017Extended Gini-type measures of risk and variability. (2017). Berkhouch, Mohammed ; Lakhnati, Ghizlane. In: MPRA Paper. RePEc:pra:mprapa:80329.

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2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

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2018Rearrangement algorithm and maximum entropy. (2018). Bernard, Carole ; Vanduffel, Steven ; Bondarenko, Oleg. In: Annals of Operations Research. RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2.

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2018When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. (2018). Barnard, Roger W ; Trindade, Alexandre A ; Pearce, Kent. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2547-7.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2019The effect of possible EU diversification requirements on the risk of banks sovereign bond portfolios. (2019). Paterlini, Sandra ; Giuzio, Margherita ; Craig, Ben. In: ESRB Working Paper Series. RePEc:srk:srkwps:201989.

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2018Economic cycles and downside commodities risk. (2018). Vo, Duc ; Powell, Robert ; Pham, Thach. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:258-263.

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2017New perspectives on bank risk in Malaysia. (2017). Powell, R J ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1326217.

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2017THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT. (2017). Kato, Takashi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500327.

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Giovanni Puccetti is editor of


Journal
Dependence Modeling

Works by Giovanni Puccetti:


YearTitleTypeCited
2012Bounds for joint portfolios of dependent risks In: Statistics & Risk Modeling.
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article1
2005Worst VaR scenarios In: Insurance: Mathematics and Economics.
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article15
2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates In: Insurance: Mathematics and Economics.
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article8
2015Reducing model risk via positive and negative dependence assumptions In: Insurance: Mathematics and Economics.
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article5
2018Conditional expectiles, time consistency and mixture convexity properties In: Insurance: Mathematics and Economics.
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article0
2013Model uncertainty and VaR aggregation In: Journal of Banking & Finance.
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article53
2018A clustering approach and a rule of thumb for risk aggregation In: Journal of Banking & Finance.
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article0
2010Bounds for the sum of dependent risks having overlapping marginals In: Journal of Multivariate Analysis.
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article4
2010Multivariate comonotonicity In: Journal of Multivariate Analysis.
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article25
2010Multivariate comonotonicity.(2010) In: Post-Print.
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paper
2006Bounds for functions of multivariate risks In: Journal of Multivariate Analysis.
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article39
2015Studying mixability with supermodular aggregating functions In: Statistics & Probability Letters.
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article1
2013Sharp bounds on the expected shortfall for a sum of dependent random variables In: Statistics & Probability Letters.
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article6
2014An Academic Response to Basel 3.5 In: Risks.
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article41
2006Aggregating risk capital, with an application to operational risk In: The Geneva Papers on Risk and Insurance Theory.
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article3
2006Aggregating risk capital, with an application to operational risk.(2006) In: The Geneva Risk and Insurance Review.
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article
2006Bounds for Functions of Dependent Risks In: Finance and Stochastics.
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article26
2015Building bridges between Mathematics, Insurance and Finance In: Dependence Modeling.
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article0
2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling.
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article0
2016Stat Trek In: Dependence Modeling.
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article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
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article0
2016VaR bounds for joint portfolios with dependence constraints In: Dependence Modeling.
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article1
2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
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article0
2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
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article0
2018Copulas, credit portfolios, and the broken heart syndrome In: Dependence Modeling.
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article0
2018A Journey Beyond The Gaussian World: An interview with Harry Joe In: Dependence Modeling.
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article0

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