Pasquale Cirillo

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions Journal of Computational and Applied Mathematics	2024-08-26	Paper
Portfolio risk and the quantum majorization of correlation matrices IMA Journal of Management Mathematics	2023-01-09	Paper
Gini estimation under infinite variance Physica A	2022-06-28	Paper
Gini estimation under infinite variance Physica A	2022-06-28	Paper
Joint and survivor annuity valuation with a bivariate reinforced urn process Insurance Mathematics & Economics	2021-07-06	Paper
Lorenz-generated bivariate Archimedean copulas Dependence Modeling	2021-01-14	Paper
Shock models for defaults: parametric and nonparametric approaches Nonparametric Statistics and Mixture Models	2019-06-03	Paper
On the statistical properties and tail risk of violent conflicts Physica A	2018-11-13	Paper
Expected shortfall estimation for apparently infinite-mean models of operational risk Quantitative Finance	2018-11-13	Paper
Are your data really Pareto distributed? Physica A	2018-09-11	Paper
From concentration profiles to concentration maps. New tools for the study of loss distributions Insurance Mathematics & Economics	2018-02-15	Paper
Alarm systems and catastrophes from a diverse point of view Methodology and Computing in Applied Probability	2015-01-28	Paper
Duality and stationary distributions of wealth distribution models Journal of Physics A: Mathematical and Theoretical	2014-04-10	Paper
Macroeconomics from the bottom-up New Economic Windows	2013-07-25	Paper
An urn-based Bayesian block bootstrap Metrika	2013-02-25	Paper
AN URN MODEL FOR CASCADING FAILURES ON A LATTICE Probability in the Engineering and Informational Sciences	2013-01-15	Paper
GENERALIZED EXTREME SHOCK MODELS WITH A POSSIBLY INCREASING THRESHOLD Probability in the Engineering and Informational Sciences	2011-11-22	Paper
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling International Journal of Theoretical and Applied Finance	2011-01-20	Paper
Extreme shock models: an alternative perspective Statistics & Probability Letters	2011-01-14	Paper
An urn approach to generalized extreme shock models Statistics & Probability Letters	2009-04-15	Paper
Validating and calibrating agent-based models: a case study Computational Economics	2007-11-21	Paper

Research outcomes over time

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