Giovanni Puccetti

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)

Via Conservatorio, 7

Milan, 20122

Italy

  • University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)

SCHOLARLY PAPERS

16

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14

CROSSREF CITATIONS

90

Scholarly Papers (16)

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1.

Model Uncertainty and VaR Aggregation

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Number of pages: 19 Posted: 16 Oct 2014
Paul Embrechts, Giovanni Puccetti and Ludger Rüschendorf
Swiss Federal Institute of Technology Zurich, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 278 (110,375)
Citation 5

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Copula, Fréchet class, Model Uncertainty, Operational Risk, Positive Dependence, Rearrangement Algorithm, Risk Aggregation, Value-at-Risk, VaR-bounds.

2.

Extremal Dependence Concepts

Number of pages: 34 Posted: 14 May 2014 Last Revised: 12 Jun 2015
Giovanni Puccetti and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 203 (150,982)
Citation 5

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Dependence Modeling, Rearrangements, Copulas, Comonotonicity, Countermonotonicity, Mutual Exclusivity, Joint Mixability

3.

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 157 (189,727)
Citation 2

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4.

Reduction of Value-at-Risk Bounds via Independence and Variance Information

Forthcoming in Scandinavian Actuarial Journal
Number of pages: 18 Posted: 27 Mar 2015 Last Revised: 11 Nov 2015
Giovanni Puccetti, Ludger Rüschendorf, Daniel Small and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 156 (190,761)
Citation 7

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Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall

5.

Bounds on Total Economic Capital: The DNB Case Study

Forthcoming in Extremes
Number of pages: 25 Posted: 07 Aug 2014
Kjersti Aas and Giovanni Puccetti
Norwegian Computing Center and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 156 (190,761)

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Model risk, Risk Aggregation, Total economic capital, Value-at-Risk, Diversification benefit, Rearrangement Algorithm.

6.

Measuring Linear Correlation Between Random Vectors

Number of pages: 23 Posted: 13 Feb 2018 Last Revised: 19 Sep 2019
Giovanni Puccetti
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 155 (191,861)

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multivariate correlation, cyclical monotonicity, optimal couplings, dissimilarity measure, multivariate Cauchy-Schwarz inequality

7.

On the Computation of Wasserstein Barycenters

Number of pages: 18 Posted: 28 Nov 2018 Last Revised: 11 May 2019
Giovanni Puccetti, Ludger Rüschendorf and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 136 (216,010)

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Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing

8.

A Clustering Approach and a Rule of Thumb for Risk Aggregation

Journal of Banking and Finance, Forthcoming
Number of pages: 14 Posted: 06 Nov 2017 Last Revised: 18 Jul 2018
F. Marta L. Di Lascio, Davide Giammusso and Giovanni Puccetti
Free University of Bozen-Bolzano - Faculty of Economics and Management, University of Trento - Department of Economics and Management and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 104 (260,264)

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(T)VaR Bounds, Model Uncertainty, Hierarchical Clustering, Risk Aggregation, Operational Risk, Market Risk

9.

VaR Bounds for Joint Portfolios with Dependence Constraints

Number of pages: 16 Posted: 13 Jun 2016
Giovanni Puccetti, Ludger Rüschendorf and Dennis Manko
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik
Downloads 88 (290,287)
Citation 1

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Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk

10.

Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals

Forthcoming in Commun. Stat. Simulat.
Number of pages: 13 Posted: 07 Aug 2014
Giovanni Puccetti and Ludger Rüschendorf
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 84 (298,769)

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Moment bounds for dependent risks, distribution functions, rearrangements

11.

An Algorithm to Approximate the Optimal Expected Inner Product of Two Vectors with Given Marginals

Forthcoming in Journal of Mathematical Analysis and Applications
Number of pages: 16 Posted: 03 Mar 2016 Last Revised: 04 Feb 2017
Giovanni Puccetti
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 78 (312,349)
Citation 1

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Swapping algorithm, Covariance between vectors, p-Wasserstein distance, Earth Mover’s Distance, Linear Sum Assignment Problem, Optimal transportations.

12.

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 70 (334,649)

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

13.

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 60 (359,722)

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

14.

Detecting Complete and Joint Mixability

Journal of Computational and Applied Mathematics, 280, 174–187
Number of pages: 19 Posted: 07 Aug 2014 Last Revised: 02 Jun 2015
Giovanni Puccetti and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 55 (375,242)
Citation 4

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Joint mixability, Complete mixability, Degree of mixability, Variance reduction, Rearrangement algorithm.

15.

Centers of Probability Measures Without the Mean

Number of pages: 18 Posted: 07 Apr 2017 Last Revised: 09 Aug 2017
Giovanni Puccetti, Pietro Rigo, Bin Wang and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Pavia, Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 31 (466,518)

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Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

16.

Bounds for Functions of Dependent Risks

Finance Stoch. 10(3), 341-352, 2006
Number of pages: 14 Posted: 05 Aug 2014
Paul Embrechts and Giovanni Puccetti
Swiss Federal Institute of Technology Zurich and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 27 (486,578)

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copulas, dependent risks, dependency bounds, Fréchet bounds