1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2022
The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model
Alessandro Ramponi, Maria Elisabetta Tessitore
We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized throu…
q-fin.RM2014★ 1 cited
On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
Alessandro Ramponi
In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterize…