34 citations · 92 across the 18 of their papers we have counts for
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stat.ME2017★ 2 cited
The Sparse Multivariate Method of Simulated Quantiles
Mauro Bernardi, Lea Petrella, Paola Stolfi
In this paper the method of simulated quantiles (MSQ) of Dominicy and Veredas (2013) and Dominick et al. (2013) is extended to a general multivariate framework (MMSQ) and to provid…
q-fin.RM2017
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…