13 citations · 15 across the 4 of their papers we have counts for
6 papers
Inter-order relations between moments of a Student distribution, with an application to -quantiles
Valeria Bignozzi, Luca Merlo, Lea Petrella
This paper introduces inter-order formulas for partial and complete moments of a Student distribution with degrees of freedom. We show how the partial moment of order $n -…
Insurance valuation: A two-step generalised regression approach
Karim Barigou, Valeria Bignozzi, Andreas Tsanakas
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obt…
Large deviations for risk measures in finite mixture models
Valeria Bignozzi, Claudio Macci, Lea Petrella
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically…
Large deviations for method-of-quantiles estimators of one-dimensional parameters
Valeria Bignozzi, Claudio Macci, Lea Petrella
We consider method-of-quantiles estimators of unknown parameters, namely the analogue of method-of-moments estimators obtained by matching empirical and theoretical quantiles at so…
On the Lp-quantiles for the Student t distribution
Mauro Bernardi, Valeria Bignozzi, Lea Petrella
L_p-quantiles represent an important class of generalised quantiles and are defined as the minimisers of an expected asymmetric power function, see Chen (1996). For p=1 and p=2 the…
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…