City Research Online - Items where Author is "Pesenti, S. M."

Items where Author is "Pesenti, S. M."

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Number of items: 10.

Article

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-3509-6551 (2025). Differential quantile-based sensitivity in discontinuous models. European Journal of Operational Research, 322(2), pp. 554-572. doi: 10.1016/j.ejor.2024.12.008

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021). Cascade sensitivity measures. Risk Analysis: an international journal, 41(12), pp. 2392-2414. doi: 10.1111/risa.13758

Pesenti, S. M., Bettini, A., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021). Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis. Annals of Actuarial Science, 15(2), pp. 458-483. doi: 10.1017/s1748499521000130

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2019). Reverse sensitivity testing: What does it take to break the model?. European Journal of Operational Research, 274(2), pp. 654-670. doi: 10.1016/j.ejor.2018.10.003

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). Insurance: Mathematics and Economics, 83, pp. 29-31. doi: 10.1016/j.insmatheco.2018.09.001

Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2016). Robustness Regions for Measures of Risk Aggregation. Dependence Modeling, 4(1), pp. 348-367. doi: 10.1515/demo-2016-0020

Thesis

Pesenti, S. M. (2018). Robustness and sensitivity of risk evaluations. (Unpublished Doctoral thesis, Cass Business School, City, University of London)

Working Paper

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2023). Differential Sensitivity in Discontinuous Models. .

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). .

Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2018). Reverse sensitivity testing: What does it take to break the model?. .

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