Sfoglia per Autore
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
2024 Doldi, A; Frittelli, M; Rosazza Gianin, E
On entropy martingale optimal transport theory
2024 Doldi, A; Frittelli, M; Rosazza Gianin, E
Generalized PELVE and applications to risk measures
2023 Fiori, A; Rosazza Gianin, E
Mathematical Finance : Theory Review and Exercises. 2. ed
2023 Rosazza Gianin, E; Sgarra, C
Dynamic capital allocation rules via BSDEs: an axiomatic approach
2022 Mastrogiacomo, E; Rosazza Gianin, E
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
2021 Bellini, F; Laeven, R; Rosazza Gianin, E
Haezendonck-Goovaerts capital allocation rules
2021 Canna, G; Centrone, F; Rosazza Gianin, E
The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
2021 Beißner, P; Rosazza Gianin, E
Capital allocation rules and the no-undercut property
2021 Canna, G; Centrone, F; Rosazza Gianin, E
Capital allocation rules and acceptance sets
2020 Canna, G; Centrone, F; Rosazza Gianin, E
Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
2020 Calvia, A; Rosazza Gianin, E
Capital Allocation for Set-Valued Risk Measures
2020 Centrone, F; Rosazza Gianin, E
Time-consistency of risk measures: how strong is such a property?
2019 Mastrogiacomo, E; Rosazza Gianin, E
Capital allocations for risk measures: a numerical and comparative study
2019 Canna, G; Centrone, F; Rosazza Gianin, E
Robust return risk measures
2018 Bellini, F; Laeven, R; Rosazza Gianin, E
Capital allocation à la Aumann–Shapley for non-differentiable risk measures
2018 Centrone, F; Rosazza Gianin, E
Risk Aversion, Loss Aversion, and the Demand for Insurance
2018 Eeckhoudt, L; Fiori, A; Rosazza Gianin, E
Dual representation of minimal supersolutions of convex BSDEs
2016 Drapeau, S; Kupper, M; ROSAZZA GIANIN, E; Tangpi, L
Loss-averse preferences and portfolio choices: An extension
2016 Eeckhoudt, L; Fiori, A; ROSAZZA GIANIN, E
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
2015 Mastrogiacomo, E; ROSAZZA GIANIN, E
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