Silvana Pesenti
University of Toronto
H-index: 8
North America-Canada
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 |