Valeria Bignozzi

Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Senior researcher (rtd B)

Via Bicocca degli Arcimboldi, 8

Milano, 20126

Italy

SCHOLARLY PAPERS

11

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Top 21,632

in Total Papers Downloads

2,491

SSRN CITATIONS
Rank 18,651

SSRN RANKINGS

Top 18,651

in Total Papers Citations

30

CROSSREF CITATIONS

22

Scholarly Papers (11)

1.

Elicitable Risk Measures

Quant. Finance, Vol 15(5), 725-733, 2015 (doi 10.1080/14697688.2014.946955)
Number of pages: 19 Posted: 03 Oct 2013 Last Revised: 12 May 2015
Fabio Bellini and Valeria Bignozzi
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 837 (31,746)
Citation 21

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Elicitability, expectiles, shortfall risk measures, VaR, mixture continuity

2.
Downloads 369 ( 89,859)
Citation 3

Model Uncertainty in Risk Capital Measurement

Journal of Risk, Forthcoming
Number of pages: 21 Posted: 03 Oct 2013 Last Revised: 12 May 2015
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 369 (89,155)
Citation 2

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Model uncertainty, Model error, Historical simulation, Worst-case approach, Bayesian model averaging, Value-at-Risk.

Model Uncertainty in Risk Capital Measurement

Journal of Risk, Vol. 18, No. 3, 2016
Number of pages: 24 Posted: 15 Jun 2016
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 0
Citation 2
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model uncertainty, model error, historical simulation, worst-case approach, Bayesian, model averaging, value-at-risk

3.
Downloads 277 (123,109)
Citation 9

Parameter Uncertainty and Residual Estimation Risk

This is a preprint of an article accepted for publication in the Journal of Risk and Insurance, (c) 2004 the American Risk and Insurance Association.
Number of pages: 40 Posted: 10 Oct 2012 Last Revised: 10 Oct 2014
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 277 (122,459)
Citation 1

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Parameter uncertainty, model uncertainty, bootstrap, predictive distribution, location-scale families, risk measures, solvency

Parameter Uncertainty and Residual Estimation Risk

Journal of Risk and Insurance, Vol. 83, Issue 4, pp. 949-978, 2016
Number of pages: 30 Posted: 11 Nov 2016
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 0
Citation 3
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4.

How Superadditive Can a Risk Measure Be?

Forthcoming in SIAM Journal on Financial Mathematics (SIFIN)
Number of pages: 32 Posted: 01 Jan 2014 Last Revised: 04 Jun 2015
Ruodu Wang, Valeria Bignozzi and Andreas Tsanakas
University of Waterloo - Department of Statistics and Actuarial Science, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 259 (132,180)
Citation 4

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distortion risk measures; shortfall risk measures; expectiles; model uncertainty; risk aggregation; superadditivity; coherence

5.

Risk Measures Based on Benchmark Loss Distributions

Swiss Finance Institute Research Paper No. 18-48
Number of pages: 34 Posted: 19 Dec 2017 Last Revised: 27 Nov 2018
Valeria Bignozzi, Matteo Burzoni and Cosimo Munari
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Università degli studi di Milano - Dipartimento di Matematica and University of Zurich - Department of Banking and Finance
Downloads 242 (141,443)
Citation 2

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risk measures, loss distributions, tail risk, capital adequacy, portfolio management, catastrophic risk, robustness, backtestability

6.

Reducing Model Risk via Positive and Negative Dependence Assumptions

Insurance Math. Econ. 61(1), 17-26, 2015
Number of pages: 12 Posted: 05 Sep 2014 Last Revised: 12 May 2015
Valeria Bignozzi, Giovanni Puccetti and Ludger Rüschendorf
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 160 (206,277)
Citation 3

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7.

Robust and Pareto Optimality of Insurance Contracts

European Journal of Operational Research, 262(2), pp. 720–732. doi:10.1016/j.ejor.2017.04.029.
Number of pages: 32 Posted: 03 Sep 2016 Last Revised: 08 Feb 2018
Cass Business School, City, University of London, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, The University of Hong Kong, University of Essex and Queen Mary, University of London
Downloads 92 (310,570)
Citation 3

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Uncertainty modelling, Linear programming, Robust/Pareto optimal insurance, Risk measure, Robust optimisation

8.

Conditional Expectiles, Time Consistency and Mixture Convexity Properties

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 16 Posted: 28 Jul 2017 Last Revised: 21 Jul 2018
Fabio Bellini, Valeria Bignozzi and Giovanni Puccetti
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 85 (326,237)

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Conditional expectiles, dynamic risk measures, mixture concavity, time consistency, sequential consistency, supermartingale property

9.

Diversification Limit of Quantiles Under Dependence Uncertainty

Extremes. Statistical Theory and Applications in Science, Engineering and Economics ISSN: 1386-1999 (Print) 1572-915X (Online). 2016
Number of pages: 26 Posted: 23 Apr 2015 Last Revised: 23 Feb 2016
Valeria Bignozzi, Tiantian Mao, Bin Wang and Ruodu Wang
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Beijing Technology and Business University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 74 (353,901)

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Value-at-Risk, diversification ratio, extreme value analysis, asymptotics, dependence uncertainty

10.

Studying Mixability with Supermodular Aggregating Functions

Statist. Probab. Lett. 100, 48-55, 2015
Number of pages: 9 Posted: 02 Dec 2014 Last Revised: 12 May 2015
Valeria Bignozzi and Giovanni Puccetti
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 62 (388,682)

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φ-mixability, joint mixability, complete mixability, convex order, supermodular functions.

11.

Characterization and Construction of Sequentially Consistent Risk Measures

Number of pages: 30 Posted: 04 Oct 2013
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 34 (496,992)

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dynamic risk measures, sequential consistency, TVaR, Choquet risk measure, coherent entropic risk measure