Details about Giovanni Puccetti

Access statistics for papers by Giovanni Puccetti.

Last updated 2024-02-22. Update your information in the RePEc Author Service.

Short-id: ppu141

Working Papers

2010

1. Multivariate comonotonicity
   Post-Print, HAL View citations (23)
   See also Journal Article Multivariate comonotonicity, Journal of Multivariate Analysis, Elsevier (2010) View citations (40) (2010)

Journal Articles

2022

1. Fair allocation of indivisible goods with minimum inequality or minimum envy
   European Journal of Operational Research, 2022, 297, (2), 741-752 View citations (1)

2021

2. Special Issue on copulas in memory of Abe Sklar (1925-2020)
   Dependence Modeling, 2021, 9, (1), 199-199

2020

3. On the computation of Wasserstein barycenters
   Journal of Multivariate Analysis, 2020, 176, (C) View citations (2)

2019

4. Centers of probability measures without the mean
   Journal of Theoretical Probability, 2019, 32, (3), 1482-1501 View citations (4)
5. Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance
   Quantitative Finance, 2019, 19, (1), 13-14

2018

6. A Journey Beyond The Gaussian World: An interview with Harry Joe
   Dependence Modeling, 2018, 6, (1), 288-297
7. A clustering approach and a rule of thumb for risk aggregation
   Journal of Banking & Finance, 2018, 96, (C), 236-248 View citations (4)
8. Conditional expectiles, time consistency and mixture convexity properties
   Insurance: Mathematics and Economics, 2018, 82, (C), 117-123 View citations (12)
9. Copulas, credit portfolios, and the broken heart syndrome
   Dependence Modeling, 2018, 6, (1), 114-130 View citations (6)

2017

10. My introduction to copulas: An interview with Roger Nelsen
    Dependence Modeling, 2017, 5, (1), 88-98 View citations (1)
11. Reduction of Value-at-Risk bounds via independence and variance information
    Scandinavian Actuarial Journal, 2017, 2017, (3), 245-266 View citations (2)
12. The Vine Philosopher: An interview with Roger Cooke
    Dependence Modeling, 2017, 5, (1), 256-267 View citations (1)

2016

13. Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
    Dependence Modeling, 2016, 4, (1), 14 View citations (2)
14. Stat Trek. An interview with Christian Genest
    Dependence Modeling, 2016, 4, (1), 14
15. VaR bounds for joint portfolios with dependence constraints
    Dependence Modeling, 2016, 4, (1), 14 View citations (15)

2015

16. A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf
    Dependence Modeling, 2015, 3, (1), 14 View citations (1)
17. Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts
    Dependence Modeling, 2015, 3, (1), 12 View citations (4)
18. Reducing model risk via positive and negative dependence assumptions
    Insurance: Mathematics and Economics, 2015, 61, (C), 17-26 View citations (16)
19. Studying mixability with supermodular aggregating functions
    Statistics & Probability Letters, 2015, 100, (C), 48-55 View citations (3)

2014

20. An Academic Response to Basel 3.5
    Risks, 2014, 2, (1), 1-24 View citations (91)

2013

21. Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
    Insurance: Mathematics and Economics, 2013, 53, (3), 821-828 View citations (15)
22. Model uncertainty and VaR aggregation
    Journal of Banking & Finance, 2013, 37, (8), 2750-2764 View citations (128)
23. Sharp bounds on the expected shortfall for a sum of dependent random variables
    Statistics & Probability Letters, 2013, 83, (4), 1227-1232 View citations (15)

2012

24. Bounds for joint portfolios of dependent risks
    Statistics & Risk Modeling, 2012, 29, (2), 107-132 View citations (11)

2010

25. Bounds for the sum of dependent risks having overlapping marginals
    Journal of Multivariate Analysis, 2010, 101, (1), 177-190 View citations (6)
26. Multivariate comonotonicity
    Journal of Multivariate Analysis, 2010, 101, (1), 291-304 View citations (40)
    See also Working Paper Multivariate comonotonicity, Post-Print (2010) View citations (23) (2010)

2006

27. Aggregating risk capital, with an application to operational risk
    The Geneva Risk and Insurance Review, 2006, 31, (2), 71-90 View citations (15)
    Also in The Geneva Papers on Risk and Insurance Theory, 2006, 31, (2), 71-90 (2006) View citations (15)
28. Bounds for Functions of Dependent Risks
    Finance and Stochastics, 2006, 10, (3), 341-352 View citations (48)
29. Bounds for functions of multivariate risks
    Journal of Multivariate Analysis, 2006, 97, (2), 526-547 View citations (59)

2005

30. Worst VaR scenarios
    Insurance: Mathematics and Economics, 2005, 37, (1), 115-134 View citations (26)

Editor

1. Dependence Modeling
   De Gruyter