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Sensitivity measures based on scoring functions
Fissler, Tobias
;
Pesenti, Silvana M.
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1408-1423
Persistent link: https://www.econbiz.de/10014282998
Saved in:
2
Elicitability and identifiability of set-valued measures of systemic risk
Fissler, Tobias
;
Hlavinová, Jana
;
Rudloff, Birgit
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10012433518
Saved in:
3
Deep quantile and deep composite triplet regression
Fissler, Tobias
;
Merz, Michael
;
Wüthrich, Mario V.
- In:
Insurance / Mathematics & economics
109
(
2023
),
pp. 94-112
Persistent link: https://www.econbiz.de/10014282471
Saved in:
4
Backtesting systemic risk forecasts using multi-objective elicitability
Fissler, Tobias
;
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10015053421
Saved in:
5
Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da
;
Pesenti, Silvana M.
; …
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
Saved in:
6
Reverse sensitivity testing : what does it take to break the model?
Pesenti, Silvana M.
;
Millossovich, Pietro
;
Tsanakas, Andreas
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 654-670
Persistent link: https://www.econbiz.de/10011990176
Saved in:
7
Euler allocations in the presence of non-linear reinsurance : comment on Major (2018)
Pesenti, Silvana M.
;
Tsanakas, Andreas
;
Millossovich, Pietro
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 29-31
Persistent link: https://www.econbiz.de/10011944091
Saved in:
8
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
Pesenti, Silvana M.
;
Bettini, Alberto
;
Millossovich, Pietro
- In:
Annals of actuarial science : publ. by the Institute of …
15
(
2021
)
2
,
pp. 458-483
Persistent link: https://www.econbiz.de/10012593589
Saved in:
9
Robust distortion risk measures
Bernard, Carole
;
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
10
Stressing dynamic loss models
Kroell, Emma
;
Pesenti, Silvana M.
;
Jaimungal, Sebastian
- In:
Insurance : mathematics and economics
114
(
2024
),
pp. 56-78
Persistent link: https://www.econbiz.de/10015049360
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