3 papers
math.ST2026
Second order mixed moment inequalities based on Gram matrices
Sergio Scarlatti
Recently [LT; Theorem 3.1] showed an extension of Walker's inequality [W] based on random variables. In this note we prove that extension is just a particular three-dimension…
q-fin.RM2025
Credit risk for large portfolios of green and brown loans: extending the ASRF model
Alessandro Ramponi, Sergio Scarlatti
We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using po…
math.GM2025
A note on D-functions and P-covariances on Hilbert spaces and related inequalities
Sergio Scarlatti
In this note we first review the concept of D-function, closely connected with Cauchy-Schwarz inequality, and then introduce the notion of P-covariance on a Hilbert space, where $P…