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Giovanni Puccetti

Personal Details

First Name:Giovanni
Middle Name:
Last Name:Puccetti
Suffix:
RePEc Short-ID:ppu141
[This author has chosen not to make the email address public]
https://sites.google.com/site/giovannipuccetti/

Affiliation

Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
Università degli Studi di Milano

Milano, Italy
http://www.demm.unimi.it/
RePEc:edi:damilit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Marco Scarsini & Giovanni Puccetti, 2010. "Multivariate comonotonicity," Post-Print hal-00528400, HAL.

Articles

  1. Cornilly, Dries & Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven, 2022. "Fair allocation of indivisible goods with minimum inequality or minimum envy," European Journal of Operational Research, Elsevier, vol. 297(2), pages 741-752.
  2. Puccetti Giovanni, 2021. "Special Issue on copulas in memory of Abe Sklar (1925-2020)," Dependence Modeling, De Gruyter, vol. 9(1), pages 199-199, January.
  3. Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven, 2020. "On the computation of Wasserstein barycenters," Journal of Multivariate Analysis, Elsevier, vol. 176(C).
  4. Giovanni Puccetti & Pietro Rigo & Bin Wang & Ruodu Wang, 2019. "Centers of probability measures without the mean," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1482-1501, September.
  5. Giovanni Puccetti, 2019. "Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance," Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 13-14, January.
  6. Puccetti Giovanni & Scherer Matthias, 2018. "Copulas, credit portfolios, and the broken heart syndrome," Dependence Modeling, De Gruyter, vol. 6(1), pages 114-130, June.
  7. Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni, 2018. "Conditional expectiles, time consistency and mixture convexity properties," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 117-123.
  8. Genest Christian & Puccetti Giovanni, 2018. "A Journey Beyond The Gaussian World: An interview with Harry Joe," Dependence Modeling, De Gruyter, vol. 6(1), pages 288-297, December.
  9. Di Lascio, F. Marta L. & Giammusso, Davide & Puccetti, Giovanni, 2018. "A clustering approach and a rule of thumb for risk aggregation," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 236-248.
  10. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "My introduction to copulas: An interview with Roger Nelsen," Dependence Modeling, De Gruyter, vol. 5(1), pages 88-98, January.
  11. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "The Vine Philosopher: An interview with Roger Cooke," Dependence Modeling, De Gruyter, vol. 5(1), pages 256-267, December.
  12. Giovanni Puccetti & Ludger Rüschendorf & Daniel Small & Steven Vanduffel, 2017. "Reduction of Value-at-Risk bounds via independence and variance information," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(3), pages 245-266, March.
  13. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek," Dependence Modeling, De Gruyter, vol. 4(1), pages 109-122, May.
  14. Puccetti Giovanni & Rüschendorf Ludger & Manko Dennis, 2016. "VaR bounds for joint portfolios with dependence constraints," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, December.
  15. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, November.
  16. Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger, 2015. "Reducing model risk via positive and negative dependence assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 17-26.
  17. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "Building bridges between Mathematics, Insurance and Finance," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-12, May.
  18. Bignozzi, Valeria & Puccetti, Giovanni, 2015. "Studying mixability with supermodular aggregating functions," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 48-55.
  19. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-14, October.
  20. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
  21. Puccetti, Giovanni & Wang, Bin & Wang, Ruodu, 2013. "Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 821-828.
  22. Puccetti, Giovanni, 2013. "Sharp bounds on the expected shortfall for a sum of dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1227-1232.
  23. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
  24. Puccetti Giovanni & Rüschendorf Ludger, 2012. "Bounds for joint portfolios of dependent risks," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 107-132, June.
  25. Embrechts, Paul & Puccetti, Giovanni, 2010. "Bounds for the sum of dependent risks having overlapping marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 177-190, January.
  26. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
  27. Paul Embrechts & Giovanni Puccetti, 2006. "Aggregating risk capital, with an application to operational risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 71-90, December.
  28. Embrechts, Paul & Puccetti, Giovanni, 2006. "Bounds for functions of multivariate risks," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 526-547, February.
  29. Paul Embrechts & Giovanni Puccetti, 2006. "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, vol. 10(3), pages 341-352, September.
  30. Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.

Editorship

  1. Dependence Modeling, De Gruyter.

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