Andrea Fontanari

Delft University of Technology - Delft Institute of Applied Mathematics (DIAM)

Mekelweg 4

Delft, Holland 2628

Netherlands

SCHOLARLY PAPERS

4

DOWNLOADS

1,715

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

From Concentration Profiles to Concentration Maps. New Tools for the Study of Loss Distributions.

Number of pages: 34 Posted: 13 Oct 2016 Last Revised: 01 Dec 2017
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 564 (93,412)
Citation 2

Abstract:

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concentration profile, concentration map, Gini index, Lorenz curve, CAES, ES, VaR

2.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 22 Posted: 12 Jan 2019 Last Revised: 10 Feb 2020
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Tel Aviv University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 562 (93,845)
Citation 2

Abstract:

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quantum majorization, portfolio risk, risk measures, order

3.

Gini Estimation Under Infinite Variance

Number of pages: 22 Posted: 21 Jul 2017 Last Revised: 22 Dec 2017
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), New York University (NYU) - NYU Tandon School of Engineering and ZHAW School of Management and Law
Downloads 353 (161,959)
Citation 2

Abstract:

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Gini index; inequality measure; size distribution; extremes; α-stable distribution

4.

Lorenz-Generated Bivariate Archimedean Copulas

Number of pages: 22 Posted: 07 Jun 2019 Last Revised: 26 Jun 2020
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 236 (245,113)
Citation 1

Abstract:

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Copula, Lorenz Curve, Lorenz Copula, Kendall's tau, Generator

Other Papers (1)

Total Downloads: 73
1.

A note on the view of the Pickands dependence function as a Lorenz curve

Number of pages: 13 Posted: 18 Nov 2021
Andrea Fontanari and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and ZHAW School of Management and Law
Downloads 73 (589,475)

Abstract:

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Extremal copula, Pickands function, Lorenz Curve, Inequality Indices