Giovanni Puccetti : Citation Profile

Università degli Studi di Milano

12

H index

12

i10 index

501

Citations

RESEARCH PRODUCTION:

31

Articles

1

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 29
   Journals where Giovanni Puccetti has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 14 (2.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppu141
   Updated: 2026-01-17    RAS profile: 2024-02-22    
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Relations with other researchers

Works with:

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 (34)

Henry, Marc (9)

Laeven, Roger (9)

Galichon, Alfred (8)

Durante, Fabrizio (7)

Dhaene, Jan (6)

luciano, elisa (6)

Rulliere, Didier (4)

Paterlini, Sandra (4)

Curti, Filippo (4)

Lütkebohmert, Eva (4)

Cites to:

Dhaene, Jan (8)

Vanduffel, Steven (6)

Cooke, Roger (5)

Durante, Fabrizio (5)

Müller, Alfred (4)

Scarsini, Marco (4)

Acerbi, Carlo (4)

NAPP, Clotilde (3)

Remillard, Bruno (3)

Jouini, Elyès (3)

Scandolo, Giacomo (3)

Main data

Where Giovanni Puccetti has published?

Journals with more than one article published# docs
Dependence Modeling10
Insurance: Mathematics and Economics4
Journal of Multivariate Analysis4
Statistics & Probability Letters2
Journal of Banking & Finance2

Recent works citing Giovanni Puccetti (2025 and 2024)

YearTitle of citing document
2024Convolution Bounds on Quantile Aggregation. (2024). Liu, Yang ; Wang, Ruodu ; Blanchet, Jose ; Lam, Henry. In: Papers. RePEc:arx:papers:2007.09320.

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2024Simultaneous Optimal Transport. (2024). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483.

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2024Lorenz map, inequality ordering and curves based on multidimensional rearrangements. (2024). Henry, Marc ; Fan, Yanqin ; Rivero, Jorge A ; Pass, Brendan. In: Papers. RePEc:arx:papers:2203.09000.

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2024Joint mixability and notions of negative dependence. (2024). Koike, Takaaki ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2204.11438.

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2024Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679.

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2025On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao. In: Papers. RePEc:arx:papers:2212.04848.

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2025Distorted optimal transport. (2023). Zhuang, Sheng Chao ; Wang, Ruodu ; Liu, Haiyan. In: Papers. RePEc:arx:papers:2308.11238.

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2024Improved model-free bounds for multi-asset options using option-implied information and deep learning. (2024). Liu, Shuaiqiang ; Dragazi, Evangelia ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2404.02343.

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2025Robust Lambda-quantiles and extreme probabilities. (2024). Han, Xia ; Liu, Peng. In: Papers. RePEc:arx:papers:2406.13539.

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2024Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2024). Nendel, Max ; Streicher, Jan ; de Vecchi, Corrado. In: Papers. RePEc:arx:papers:2406.19242.

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2024Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement. (2024). Zaugg, Nicola F ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2407.02901.

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2024Infinite-mean models in risk management: Discussions and recent advances. (2024). Chen, Yuyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2408.08678.

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2025Robust Elicitable Functionals. (2025). Pesenti, Silvana M ; Miao, Kathleen E. In: Papers. RePEc:arx:papers:2409.04412.

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2024Robust Bernoulli mixture models for credit portfolio risk. (2024). Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2411.11522.

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2024Diversification quotient based on expectiles. (2024). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2411.14646.

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2024Quantiles under ambiguity and risk sharing. (2024). Liu, Peng ; Wang, Ruodu ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2412.19546.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025PELVaR: Probability equal level representation of Value at Risk through the notion of Flexible Expected Shortfall. (2025). Papayiannis, Georgios I ; Psarrakos, Georgios. In: Papers. RePEc:arx:papers:2507.13562.

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2025Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. (2025). Dhaene, Jan ; Linders, Daniel ; Hanbali, Hamza. In: Papers. RePEc:arx:papers:2508.12606.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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2025PELVE from a regulatory perspective. (2025). Laudag, Christian ; Sass, Jorn. In: Papers. RePEc:arx:papers:2511.03551.

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2025Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2025). de Vecchi, Corrado ; Streicher, Jan ; Nendel, Max. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:739.

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2024Robust distortion risk measures. (2024). Vanduffel, Steven ; Bernard, Carole ; Pesenti, Silvana M. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:774-818.

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2024Machine Learning techniques in joint default assessment. (2024). luciano, elisa ; Semeraro, Patrizia ; Fadda, Edoardo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:723.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2024A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Monotonicity of equilibria in nonatomic congestion games. (2024). Scarsini, Marco ; Dose, Valerio ; Cominetti, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:754-766.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2025Optimal reinsurance with multivariate risks and dependence uncertainty. (2025). Xia, YI ; Liu, Peng ; Hu, Junlei ; Fadina, Tolulope. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:231-242.

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2025Monitoring bank risk around the world using unsupervised learning. (2025). TARAZI, Amine ; Lardy, Jean-Pierre ; Armand, Paul ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:2:p:590-615.

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2025Robust elicitable functionals. (2025). Miao, Kathleen E ; Pesenti, Silvana M. In: European Journal of Operational Research. RePEc:eee:ejores:v:326:y:2025:i:2:p:311-325.

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2024Risk quantization by magnitude and propensity. (2024). Faugeras, Olivier P ; Pages, Gilles. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:134-147.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Bignozzi, Valeria ; Merlo, Luca ; Petrella, Lea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization. (2024). Stadje, Mitja ; Zhang, Fangyuan ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:114-129.

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2025Pricing insurance contracts with an existing portfolio as background risk. (2025). de Vecchi, Corrado ; Scherer, Matthias. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:180-193.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Asymptotic normality of the local linear estimator of the functional expectile regression. (2024). Litimein, Ouahiba ; Rachdi, Mustapha ; Ait-Hennani, Larbi ; Mechab, Boubaker ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x23001276.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Boudt, Kris ; Bouamara, Nabil ; Laurent, Sebastien. In: Working Papers. RePEc:fip:fedlwp:97969.

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2025Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System. (2025). Boutchaktchiev, Vilislav. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1462-:d:1645779.

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2024A Basic Asymptotic Test for Value-at-Risk Subadditivity. (2024). Hofert, Marius. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:199-:d:1540391.

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2024A framework for measures of risk under uncertainty. (2024). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00528-2.

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2024Group Risky Choice and Resource Allocation Under Social Comparison Effects. (2024). He, Ying ; Dong, Yucheng ; Chen, Xia. In: Group Decision and Negotiation. RePEc:spr:grdene:v:33:y:2024:i:5:d:10.1007_s10726-024-09875-z.

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2024Robust Risk Management via Multi-marginal Optimal Transport. (2024). Merigot, Quentin ; Nenna, Luca ; Ennaji, Hamza ; Pass, Brendan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:202:y:2024:i:2:d:10.1007_s10957-024-02438-x.

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2024The Distributions of the Mean of Random Vectors with Fixed Marginal Distribution. (2024). Labuschagne, Jacques ; Komisarski, Andrzej. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:3:d:10.1007_s10959-023-01277-2.

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2024Real-time changepoint detection in a nonlinear expectile model. (2024). Peta, Michal ; MacIak, Mat ; Ciuperca, Gabriela. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:87:y:2024:i:2:d:10.1007_s00184-023-00904-6.

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2025Generalized Hoeffding-Fréchet functionals and mass transportation. (2025). Ludger, Rschendorf. In: Dependence Modeling. RePEc:vrs:demode:v:13:y:2025:i:1:p:15:n:1001.

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2024A spatially‐weighted AMH copula‐based dissimilarity measure for clustering variables: An application to urban thermal efficiency. (2024). Di Lascio, F. Marta L. ; Pappada, Roberta ; Marta, F ; Menapace, Andrea. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:1:n:e2828.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Righi, Marcelo ; Gossling, Thalles Weber ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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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.
[Full Text][Citation analysis]		article9
2022Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2005Worst VaR scenarios In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article24
2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2015Reducing model risk via positive and negative dependence assumptions In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article16
2018Conditional expectiles, time consistency and mixture convexity properties In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2013Model uncertainty and VaR aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article124
2018A clustering approach and a rule of thumb for risk aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2010Bounds for the sum of dependent risks having overlapping marginals In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article5
2010Multivariate comonotonicity In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article40
2010Multivariate comonotonicity.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2020On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2006Bounds for functions of multivariate risks In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article57
2015Studying mixability with supermodular aggregating functions In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article3
2013Sharp bounds on the expected shortfall for a sum of dependent random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article14
2014An Academic Response to Basel 3.5 In: Risks.
[Full Text][Citation analysis]		article93
2006Aggregating risk capital, with an application to operational risk In: The Geneva Papers on Risk and Insurance Theory.
[Full Text][Citation analysis]		article12
2006Aggregating risk capital, with an application to operational risk.(2006) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2006Bounds for Functions of Dependent Risks In: Finance and Stochastics.
[Full Text][Citation analysis]		article42
2019Centers of probability measures without the mean In: Journal of Theoretical Probability.
[Full Text][Citation analysis]		article4
2019Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2017Reduction of Value-at-Risk bounds via independence and variance information In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article2
2015Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts In: Dependence Modeling.
[Full Text][Citation analysis]		article3
2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Stat Trek. An interview with Christian Genest In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2016VaR bounds for joint portfolios with dependence constraints In: Dependence Modeling.
[Full Text][Citation analysis]		article15
2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2018Copulas, credit portfolios, and the broken heart syndrome In: Dependence Modeling.
[Full Text][Citation analysis]		article6
2018A Journey Beyond The Gaussian World: An interview with Harry Joe In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2021Special Issue on copulas in memory of Abe Sklar (1925-2020) In: Dependence Modeling.
[Full Text][Citation analysis]		article0

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