Silvana Pesenti

University of Toronto

H-index: 8

North America-Canada

About Silvana Pesenti

Silvana Pesenti, With an exceptional h-index of 8 and a recent h-index of 8 (since 2020), a distinguished researcher at University of Toronto, specializes in the field of Quantitative Risk Management, Dependence Quantification, Sensitivity Analysis with Application to Insurance and Finance.

His recent articles reflect a diverse array of research interests and contributions to the field:

Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes

Stressing dynamic loss models

Sensitivity measures based on scoring functions

Portfolio optimization within a Wasserstein ball

Risk Budgeting Allocation for Dynamic Risk Measures

Optimal Transport Divergences induced by Scoring Functions

Robust distortion risk measures

Differential Sensitivity in Discontinuous Models

Silvana Pesenti Information

University	University of Toronto
Position	___
Citations(all)	158
Citations(since 2020)	152
Cited By	20
hIndex(all)	8
hIndex(since 2020)	8
i10Index(all)	7
i10Index(since 2020)	6
Email	Access Email
University Profile Page	University of Toronto
Google Scholar	View Google Scholar Profile

Silvana Pesenti Skills & Research Interests

Quantitative Risk Management

Dependence Quantification

Sensitivity Analysis with Application to Insurance and Finance

Top articles of Silvana Pesenti

Title	Journal	Author(s)	Publication Date
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes	SIAM Journal on Control and Optimization	Sebastian Jaimungal Silvana M Pesenti Leandro Sánchez-Betancourt	2024/4/30
Stressing dynamic loss models	Insurance: Mathematics and Economics	Emma Kroell Silvana M Pesenti Sebastian Jaimungal	2024/1/1
Sensitivity measures based on scoring functions	European Journal of Operational Research	Tobias Fissler Silvana M Pesenti	2023/6/16
Portfolio optimization within a Wasserstein ball	SIAM Journal on Financial Mathematics	Silvana M Pesenti Sebastian Jaimungal	2023/12/31
Risk Budgeting Allocation for Dynamic Risk Measures	arXiv preprint arXiv:2305.11319	Sebastian Jaimungal Silvana M Pesenti Yuri F Saporito Rodrigo S Targino	2023/5/18
Optimal Transport Divergences induced by Scoring Functions	arXiv preprint arXiv:2311.12183	Silvana M Pesenti Steven Vanduffel	2023/11/20
Robust distortion risk measures	Mathematical Finance	Carole Bernard Silvana M Pesenti Steven Vanduffel	2023/2/3
Differential Sensitivity in Discontinuous Models	arXiv preprint arXiv:2310.06151	Silvana M Pesenti Pietro Millossovich Andreas Tsanakas	2023/10/9
Risk Budgeting Portfolios from Simulations	Silvana M. and Targino, Rodrigo, Risk Budgeting Portfolios from Simulations (February 02, 2023)	Bernardo FP da Costa Silvana M Pesenti Rodrigo Targino	2023/2/2
Uncertainty Propagation and Dynamic Robust Risk Measures	arXiv preprint arXiv:2308.12856	Marlon Moresco Mélina Mailhot Silvana Pesenti	2023/8/24
Optimal Robust Reinsurance with Multiple Insurers	arXiv preprint arXiv:2308.11828	Emma Kroell Sebastian Jaimungal Silvana M Pesenti	2023/8/22
Reverse sensitivity analysis for risk modelling	Risks	Silvana M Pesenti	2022/7/18
Robust risk-aware reinforcement learning	SIAM Journal on Financial Mathematics	Sebastian Jaimungal Silvana M Pesenti Ye Sheng Wang Hariom Tatsat	2022
Risk contributions of lambda quantiles	Quantitative Finance	Akif Ince Ilaria Peri Silvana Pesenti	2022/10/3
Cascade sensitivity measures	Risk Analysis	Silvana M Pesenti Pietro Millossovich Andreas Tsanakas	2021/12
Scenario Weights for Importance Measurement (SWIM)–an R package for sensitivity analysis	Annals of Actuarial Science	Silvana M Pesenti Alberto Bettini Pietro Millossovich Andreas Tsanakas	2021/7
Optimizing distortion riskmetrics with distributional uncertainty	arXiv preprint arXiv:2011.04889	Silvana Pesenti Qiuqi Wang Ruodu Wang	2020/11/10
SWIMming Lessons		Pietro Millossovich Silvana Pesenti Alberto Bettini Andreas Tsanakas	2020