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Marlon Ruoso Moresco

Personal Details

First Name:Marlon
Middle Name:Ruoso
Last Name:Moresco
Suffix:
RePEc Short-ID:pmo1574
[This author has chosen not to make the email address public]

Affiliation

Departamento de Economia e Relações Internacionais
Universidade Federal do Rio Grande do Sul

Porto Alegre, Brazil
https://www.ufrgs.br/fce/departamentos/economia-relacoes-internacionais/
RePEc:edi:cufrgbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Akif Ince & Marlon Moresco & Ilaria Peri & Silvana M. Pesenti, 2025. "Constructing elicitable risk measures," Papers 2503.03471, arXiv.org.
  2. Marcelo Righi & Eduardo Horta & Marlon Moresco, 2024. "Set risk measures," Papers 2407.18687, arXiv.org, revised Nov 2025.
  3. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
  4. Marlon Moresco & M'elina Mailhot & Silvana M. Pesenti, 2023. "Uncertainty Propagation and Dynamic Robust Risk Measures," Papers 2308.12856, arXiv.org, revised Feb 2024.
  5. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  6. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
  7. Marlon Moresco & Marcelo Brutti Righi, 2021. "On the link between monetary and star-shaped risk measures," Papers 2108.13500, arXiv.org.
  8. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  9. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.
  10. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.

Articles

  1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2025. "A risk measurement approach from risk-averse stochastic optimization of score functions," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 42-50.
  2. Marlon R. Moresco & Mélina Mailhot & Silvana M. Pesenti, 2025. "Uncertainty Propagation and Dynamic Robust Risk Measures," Mathematics of Operations Research, INFORMS, vol. 50(3), pages 1939-1964, August.
  3. Santos, Samuel S. & Moresco, Marlon R. & Righi, Marcelo B. & Horta, Eduardo, 2024. "A note on the induction of comonotonic additive risk measures from acceptance sets," Statistics & Probability Letters, Elsevier, vol. 208(C).
  4. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
  5. Moresco Marlon & Brutti Righi Marcelo & Horta Eduardo, 2023. "Minkowski deviation measures," Statistics & Risk Modeling, De Gruyter, vol. 40(1-2), pages 1-19, January.
  6. Moresco, Marlon Ruoso & Righi, Marcelo Brutti, 2022. "On the link between monetary and star-shaped risk measures," Statistics & Probability Letters, Elsevier, vol. 184(C).
  7. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  8. Marlon Ruoso Moresco & Angélica Pott de Medeiros & José de Pietro Neto, 2016. "Impacto da liquidez na rentabilidade: um estudo com as empresas listadas no à ndice de Sustentabilidade Empresarial ISE," Observatorio de la Economía Latinoamericana, Servicios Académicos Intercontinentales SL. Hasta 31/12/2022, issue 224, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marlon Moresco & M'elina Mailhot & Silvana M. Pesenti, 2023. "Uncertainty Propagation and Dynamic Robust Risk Measures," Papers 2308.12856, arXiv.org, revised Feb 2024.

    Cited by:

    1. Wanting He & Wenyuan Li & Yunran Wei, 2025. "Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach," Papers 2508.05241, arXiv.org.
    2. Brandon Tam & Silvana M. Pesenti, 2025. "Dimension Reduction of Distributionally Robust Optimization Problems," Papers 2504.06381, arXiv.org, revised Nov 2025.
    3. Marcelo Righi & Fernanda Muller, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Jul 2025.

  2. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.

    Cited by:

    1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2025. "A risk measurement approach from risk-averse stochastic optimization of score functions," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 42-50.
    2. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
    3. Santos, Samuel S. & Moresco, Marlon R. & Righi, Marcelo B. & Horta, Eduardo, 2024. "A note on the induction of comonotonic additive risk measures from acceptance sets," Statistics & Probability Letters, Elsevier, vol. 208(C).
    4. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.

  3. Marlon Moresco & Marcelo Brutti Righi, 2021. "On the link between monetary and star-shaped risk measures," Papers 2108.13500, arXiv.org.

    Cited by:

    1. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
    2. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2025. "A risk measurement approach from risk-averse stochastic optimization of score functions," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 42-50.
    3. Bingchu Nie & Dejian Tian & Long Jiang, 2025. "Set-valued star-shaped risk measures," Mathematics and Financial Economics, Springer, volume 19, number 4, November.
    4. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
    5. Santos, Samuel S. & Moresco, Marlon R. & Righi, Marcelo B. & Horta, Eduardo, 2024. "A note on the induction of comonotonic additive risk measures from acceptance sets," Statistics & Probability Letters, Elsevier, vol. 208(C).
    6. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
    7. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    8. Dejian Tian & Xunlian Wang, 2023. "Dynamic star-shaped risk measures and $g$-expectations," Papers 2305.02481, arXiv.org.
    9. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.
    10. Bingchu Nie & Dejian Tian & Long Jiang, 2024. "Set-valued Star-Shaped Risk Measures," Papers 2402.18014, arXiv.org, revised Feb 2025.

  4. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.

    Cited by:

    1. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
    2. Feng Runhuan & Liang Zongxia & Song Yilun, 2025. "Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security," Papers 2502.13742, arXiv.org.

  5. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.

    Cited by:

    1. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
    2. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2025. "A risk measurement approach from risk-averse stochastic optimization of score functions," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 42-50.
    3. Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Müller, Fernanda Maria & Spindler, Leonardo Teixeira & Righi, Marcelo Brutti, 2025. "Comparative analysis of risk measures for optimal hedge ratio determination," Finance Research Letters, Elsevier, vol. 75(C).
    5. Müller, Fernanda Maria & Santos, Samuel Solgon & Gössling, Thalles Weber & Righi, Marcelo Brutti, 2022. "Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk," Finance Research Letters, Elsevier, vol. 48(C).

Articles

  1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2025. "A risk measurement approach from risk-averse stochastic optimization of score functions," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 42-50.

    Cited by:

    1. Shanyu Han & Yang Liu & Xiang Yu, 2025. "Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions," Papers 2505.04553, arXiv.org, revised May 2025.

  2. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
    See citations under working paper version above.
  3. Moresco, Marlon Ruoso & Righi, Marcelo Brutti, 2022. "On the link between monetary and star-shaped risk measures," Statistics & Probability Letters, Elsevier, vol. 184(C).
    See citations under working paper version above.
  4. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (6) 2017-08-06 2020-03-30 2021-09-06 2022-10-10 2023-09-25 2024-08-26. Author is listed
  2. NEP-ISF: Islamic Finance (1) 2021-09-06
  3. NEP-UPT: Utility Models and Prospect Theory (1) 2022-10-10

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