Следене
Fabio Bellini
Заглавие
Позовавания
Позовавания
Година
Generalized quantiles as risk measures
F Bellini, B Klar, A Müller, ER Gianin
Insurance: Mathematics and Economics 54, 41-48, 2014
3192014
On the existence of minimax martingale measures
F Bellini, M Frittelli
Mathematical Finance 12 (1), 1-21, 2002
2642002
Risk management with expectiles
F Bellini, E Di Bernardino
The European Journal of Finance 23 (6), 487-506, 2017
2202017
On elicitable risk measures
F Bellini, V Bignozzi
Quantitative Finance 15 (5), 725-733, 2015
2202015
On Haezendonck risk measures
F Bellini, ER Gianin
Journal of Banking & Finance 32 (6), 986-994, 2008
742008
Risk measures with the CxLS property
F Delbaen, F Bellini, V Bignozzi, JF Ziegel
Finance and Stochastics 20 (2), 433-453, 2016
592016
Haezendonck-Goovaerts risk measures and Orlicz quantiles
F Bellini, E ROSAZZA GIANIN
Insurance: Mathematics and Economics 51 (1), 107-114, 2011
562011
Expectiles, Omega ratios and stochastic ordering
F Bellini, B Klar, A Müller
Methodology and Computing in Applied Probability 20, 855-873, 2018
362018
Risk parity with expectiles
F Bellini, F Cesarone, C Colombo, F Tardella
European journal of operational research 291 (3), 1149-1163, 2021
352021
Robust return risk measures
F Bellini, RJA Laeven, E Rosazza Gianin
Mathematics and Financial Economics 12, 5-32, 2018
332018
Optimal portfolios with Haezendonck risk measures
F Bellini, E Rosazza Gianin
Statistics & Decisions 26 (2), 89-108, 2008
312008
Isotonicity properties of generalized quantiles
F Bellini
Statistics & Probability Letters 82 (11), 2017-2024, 2012
252012
Conditional Expectiles, Time Consistency and Mixture Convexity Properties
F Bellini, V Bignozzi, G Puccetti
Insurance: Mathematics and Economics 82, 117-123, 2017
232017
Law-invariant functionals that collapse to the mean
F Bellini, P Koch-Medina, C Munari, G Svindland
Insurance: Mathematics and Economics 98, 83-91, 2021
192021
Backtesting VaR and Expectiles with Realized Scores
F Bellini, I Negri, M Pyatkova
Statistical Methods and Applications, 2017
182017
Coherent distortion risk measures and higher-order stochastic dominances
F Bellini, C Caperdoni
North American Actuarial Journal 11 (2), 35-42, 2007
162007
Parametric measures of variability induced by risk measures
F Bellini, T Fadina, R Wang, Y Wei
Insurance: Mathematics and Economics 106, 270-284, 2022
152022
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
F Bellini, RJA Laeven, ER Gianin
European Journal of Operational Research 291 (2), 438-446, 2021
152021
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance, 2018
132018
Option pricing in a conditional bilateral gamma model
F Bellini, L Mercuri
Central European Journal of Operations Research 22, 373-390, 2014
132014
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