Silvana M. Pesenti

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
Robust elicitable functionals European Journal of Operational Research	2025-10-06	Paper
Uncertainty propagation and dynamic robust risk measures Mathematics of Operations Research	2025-09-30	Paper
Optimizing distortion riskmetrics with distributional uncertainty Mathematical Programming. Series A. Series B	2025-09-09	Paper
Risk budgeting allocation for dynamic risk measures Operations Research	2025-07-17	Paper
Optimal robust reinsurance with multiple insurers* Scandinavian Actuarial Journal	2025-07-08	Paper
Differential quantile-based sensitivity in discontinuous models European Journal of Operational Research	2025-05-19	Paper
Optimal transport divergences induced by scoring functions Operations Research Letters	2025-05-05	Paper
Robust distortion risk measures Mathematical Finance	2024-11-20	Paper
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes SIAM Journal on Control and Optimization	2024-03-26	Paper
Stressing dynamic loss models Insurance Mathematics & Economics	2024-02-13	Paper
Portfolio Optimization within a Wasserstein Ball SIAM Journal on Financial Mathematics	2023-11-23	Paper
Risk budgeting portfolios from simulations European Journal of Operational Research	2023-09-15	Paper
Sensitivity measures based on scoring functions European Journal of Operational Research	2023-07-10	Paper
Risk contributions of lambda quantiles Quantitative Finance	2022-10-14	Paper
Robust risk-aware reinforcement learning SIAM Journal on Financial Mathematics	2022-03-18	Paper
Reverse sensitivity testing: what does it take to break the model? European Journal of Operational Research	2018-12-18	Paper
Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018) Insurance Mathematics & Economics	2018-11-19	Paper
Robustness regions for measures of risk aggregation Dependence Modeling	2016-12-20	Paper

Research outcomes over time

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