Giovanni Puccetti

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Affiliations

• Università degli Studi di Milano / Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
  • EDIRC entry
  • location:

Research profile

author of:

• Bounds for joint portfolios of dependent risks (RePEc:bpj:strimo:v:29:y:2012:i:2:p:107-132:n:4)
  by Puccetti Giovanni & Rüschendorf Ludger
• Fair allocation of indivisible goods with minimum inequality or minimum envy (RePEc:eee:ejores:v:297:y:2022:i:2:p:741-752)
  by Cornilly, Dries & Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven
• Worst VaR scenarios (RePEc:eee:insuma:v:37:y:2005:i:1:p:115-134)
  by Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (RePEc:eee:insuma:v:53:y:2013:i:3:p:821-828)
  by Puccetti, Giovanni & Wang, Bin & Wang, Ruodu
• Reducing model risk via positive and negative dependence assumptions (RePEc:eee:insuma:v:61:y:2015:i:c:p:17-26)
  by Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger
• Conditional expectiles, time consistency and mixture convexity properties (RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123)
  by Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni
• Model uncertainty and VaR aggregation (RePEc:eee:jbfina:v:37:y:2013:i:8:p:2750-2764)
  by Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger
• A clustering approach and a rule of thumb for risk aggregation (RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248)
  by Di Lascio, F. Marta L. & Giammusso, Davide & Puccetti, Giovanni
• Bounds for the sum of dependent risks having overlapping marginals (RePEc:eee:jmvana:v:101:y:2010:i:1:p:177-190)
  by Embrechts, Paul & Puccetti, Giovanni
• Multivariate comonotonicity (RePEc:eee:jmvana:v:101:y:2010:i:1:p:291-304)
  by Puccetti, Giovanni & Scarsini, Marco
• On the computation of Wasserstein barycenters (RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19302544)
  by Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven
• Bounds for functions of multivariate risks (RePEc:eee:jmvana:v:97:y:2006:i:2:p:526-547)
  by Embrechts, Paul & Puccetti, Giovanni
• Studying mixability with supermodular aggregating functions (RePEc:eee:stapro:v:100:y:2015:i:c:p:48-55)
  by Bignozzi, Valeria & Puccetti, Giovanni
• Sharp bounds on the expected shortfall for a sum of dependent random variables (RePEc:eee:stapro:v:83:y:2013:i:4:p:1227-1232)
  by Puccetti, Giovanni
• An Academic Response to Basel 3.5 (RePEc:gam:jrisks:v:2:y:2014:i:1:p:25-48:d:33505)
  by Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj
• Multivariate comonotonicity (RePEc:hal:journl:hal-00528400)
  by Marco Scarsini & Giovanni Puccetti
• Aggregating risk capital, with an application to operational risk (RePEc:kap:geneva:v:31:y:2006:i:2:p:71-90)
  by Paul Embrechts & Giovanni Puccetti
• Aggregating risk capital, with an application to operational risk (RePEc:pal:genrir:v:31:y:2006:i:2:p:71-90)
  by Paul Embrechts & Giovanni Puccetti
• Bounds for Functions of Dependent Risks (RePEc:spr:finsto:v:10:y:2006:i:3:p:341-352)
  by Paul Embrechts & Giovanni Puccetti
• Centers of probability measures without the mean (RePEc:spr:jotpro:v:32:y:2019:i:3:d:10.1007_s10959-018-0815-3)
  by Giovanni Puccetti & Pietro Rigo & Bin Wang & Ruodu Wang
• Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance (RePEc:taf:quantf:v:19:y:2019:i:1:p:13-14)
  by Giovanni Puccetti
• Reduction of Value-at-Risk bounds via independence and variance information (RePEc:taf:sactxx:v:2017:y:2017:i:3:p:245-266)
  by Giovanni Puccetti & Ludger Rüschendorf & Daniel Small & Steven Vanduffel
• Dependence Modeling (RePEc:vrs:demode)
  from De Gruyter as editor
• Building bridges between Mathematics, Insurance and Finance (RePEc:vrs:demode:v:3:y:2015:i:1:p:12:n:2)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias
• A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf (RePEc:vrs:demode:v:3:y:2015:i:1:p:14:n:13)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias
• Stat Trek (RePEc:vrs:demode:v:4:y:2016:i:1:p:109-122:n:5)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven
• Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio (RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:14)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven
• VaR bounds for joint portfolios with dependence constraints (RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:21)
  by Puccetti Giovanni & Rüschendorf Ludger & Manko Dennis
• The Vine Philosopher: An interview with Roger Cooke (RePEc:vrs:demode:v:5:y:2017:i:1:p:256-267:n:15)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven
• My introduction to copulas: An interview with Roger Nelsen (RePEc:vrs:demode:v:5:y:2017:i:1:p:88-98:n:6)
  by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven
• Copulas, credit portfolios, and the broken heart syndrome (RePEc:vrs:demode:v:6:y:2018:i:1:p:114-130:n:7)
  by Puccetti Giovanni & Scherer Matthias
• A Journey Beyond The Gaussian World: An interview with Harry Joe (RePEc:vrs:demode:v:6:y:2018:i:1:p:288-297:n:16)
  by Genest Christian & Puccetti Giovanni
• Special Issue on copulas in memory of Abe Sklar (1925-2020) (RePEc:vrs:demode:v:9:y:2021:i:1:p:199-199:n:3)
  by Puccetti Giovanni