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Frittelli, Marco; Mancini, Loriano; Peri, Ilaria - 2014 - This version: Feb. 2014

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We now introduce the novel class of Scientific Research Measures (SRMs) to...

Persistent link: https://www.econbiz.de/10010256260

Risk measures on P(R) and value at risk with probability/loss function

Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463

Persistent link: https://www.econbiz.de/10010484275

Law invariant convex risk measures

Frittelli, Marco; Rosazza Gianin, Emanuela - In: Advances in mathematical economics 7 (2005), pp. 33-46

Persistent link: https://www.econbiz.de/10002904244

Risk measures and capital requirements for processes

Frittelli, Marco; Scandolo, Giacomo - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 589-612

Persistent link: https://www.econbiz.de/10003394174

On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures

Biagini, Sara; Frittelli, Marco - In: Optimality and risk - modern trends in mathematical …, (pp. 1-28). 2009

Persistent link: https://www.econbiz.de/10003948442

Multivariate systemic risk measures and computation by deep learning algorithms

Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444

Persistent link: https://www.econbiz.de/10014419169

On fairness of systemic risk measures

Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; … - In: Finance and stochastics 24 (2020) 2, pp. 513-564

Persistent link: https://www.econbiz.de/10012253395

Disentangling price, risk and model risk : V&R measures

Frittelli, Marco; Maggis, Marco - In: Mathematics and financial economics 12 (2018) 2, pp. 219-247

Persistent link: https://www.econbiz.de/10011963851

Collective dynamic risk measures

Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Frontiers of mathematical finance : FMF 3 (2024) 3, pp. 376-399

Persistent link: https://www.econbiz.de/10015376040