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Silvana M. Pesenti

Observed names: Pesenti, Silvana, Pesenti, Silvana M, Pesenti, Silvana M., S. Pesenti
ORCID: 0000-0002-6661-6970
Observed ORCID: 0000-0002-6661-6970
OpenAlex ID: A5005873558
Robust distortion risk measures
2023 · Carole Bernard, Silvana M. Pesenti, et al. · Mathematical Finance · 50
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Sensitivity measures based on scoring functions
2022 · Tobias Fissler, Silvana M. Pesenti · European Journal of Operational Research · 43
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Robust Risk-Aware Reinforcement Learning
2022 · Sebastian Jaimungal, Silvana M. Pesenti, et al. · SIAM Journal on Financial Mathematics · 31
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Reverse sensitivity testing: What does it take to break the model?
2018 · Silvana M. Pesenti, Pietro Millossovich, et al. · European Journal of Operational Research · 20
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Portfolio Optimization within a Wasserstein Ball
2023 · Silvana M. Pesenti, Sebastian Jaimungal · SIAM Journal on Financial Mathematics · 18
Cascade Sensitivity Measures
2018 · Silvana M. Pesenti, Pietro Millossovich, et al. · Risk Analysis · 17
Reverse Sensitivity Analysis for Risk Modelling
2022 · Silvana M. Pesenti · Risks · 14
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Optimizing Distortion Riskmetrics With Distributional Uncertainty
2021 · Silvana M. Pesenti, Qiuqi Wang, et al. · SSRN Electronic Journal · 13
Portfolio Optimisation within a Wasserstein Ball
2020 · Silvana M. Pesenti, Sebastian Jaimungal · SSRN Electronic Journal · 11
Robustness Regions for Measures of Risk Aggregation
2016 · Silvana M. Pesenti, Pietro Millossovich, et al. · Dependence Modeling · 11
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Optimizing distortion riskmetrics with distributional uncertainty
2024 · Silvana M. Pesenti, Qiuqi Wang, et al. · Mathematical Programming · 10
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Stressing dynamic loss models
2023 · Emma Kroell, Silvana M. Pesenti, et al. · Insurance Mathematics and Economics · 8
Risk budgeting portfolios from simulations
2023 · B. Freitas Paulo da Costa, Silvana M. Pesenti, et al. · European Journal of Operational Research · 7
Risk contributions of lambda quantiles*
2022 · A. Ince, I. Peri, et al. · Quantitative Finance · 7
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Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
2024 · Sebastian Jaimungal, Silvana M. Pesenti, et al. · SIAM Journal on Control and Optimization · 6
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
2021 · Silvana M. Pesenti, Alberto Bettini, et al. · Annals of Actuarial Science · 6
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Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis
2020 · Silvana M. Pesenti, Alberto Bettini, et al. · SSRN Electronic Journal · 6
Robust Distortion Risk Measures
2020 · Carole Bernard, Silvana M. Pesenti, et al. · SSRN Electronic Journal · 6
Risk Budgeting Allocation for Dynamic Risk Measures
2024 · Silvana M. Pesenti, Sebastian Jaimungal, et al. · Operations Research · 5
Risk Budgeting Allocation for Dynamic Risk Measures
2023 · Silvana M. Pesenti, Sebastian Jaimungal, et al. · SSRN Electronic Journal · 5
Differential quantile-based sensitivity in discontinuous models
2024 · Silvana M. Pesenti, Pietro Millossovich, et al. · European Journal of Operational Research · 4
Optimal transport divergences induced by scoring functions
2024 · Silvana M. Pesenti, Steven Vanduffel · Operations Research Letters · 3
Optimal Transport Divergences induced by Scoring Functions
2023 · Pesenti, Silvana M., Vanduffel, Steven · RePEc: Research Papers in Economics · 3
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Optimal Robust Reinsurance with Multiple Insurers
2023 · Emma Kroell, Sebastian Jaimungal, et al. · SSRN Electronic Journal · 3
Robust Risk-Aware Reinforcement Learning
2021 · Sebastian Jaimungal, Silvana M. Pesenti, et al. · SSRN Electronic Journal · 3
Works count: 81
Citation count: 324
H-index: 10
I10-index: 11
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