Edit Profile (opens in new tab) Bellini, Fabio Compute Distance To: Compute Author ID: bellini.fabio Published as: Bellini, Fabio Documents Indexed: 29 Publications since 2002 Co-Authors: 29 Co-Authors with 27 Joint Publications 446 Co-Co-Authors all top 5 Co-Authors 2 single-authored 5 Rosazza Gianin, Emanuela 3 Bignozzi, Valeria 3 Mercuri, Lorenzo 2 Bottolo, Leonardo 2 Figà-Talamanca, Gianna 2 Klar, Bernhard 2 Koch Medina, Pablo 2 Laeven, Roger J. A. 2 Müller, Alfred 2 Munari, Cosimo 2 Rroji, Edit 2 Sgarra, Carlo 2 Svindland, Gregor 1 Caperdoni, Camilla 1 Cesarone, Francesco 1 Colombo, Christian 1 Delbaen, Freddy 1 Frittelli, Marco 1 Karasan, Oya Ekin 1 Negri, Ilia 1 Pellerey, Franco 1 Peri, Ilaria 1 Pinar, Mustafa Çelebi 1 Puccetti, Giovanni 1 Pyatkova, Mariya 1 Salinelli, Ernesto 1 Tardella, Fabio 1 Yasaei Sekeh, Salimeh 1 Ziegel, Johanna F. all top 5 Serials 4 Insurance Mathematics & Economics 4 Quantitative Finance 3 European Journal of Operational Research 2 Statistics & Probability Letters 2 International Journal of Theoretical and Applied Finance 2 SIAM Journal on Financial Mathematics 1 Journal of Applied Probability 1 Statistics & Decisions 1 Communications in Statistics. Simulation and Computation 1 Finance and Stochastics 1 Mathematical Finance 1 CEJOR. Central European Journal of Operations Research 1 Methodology and Computing in Applied Probability 1 North American Actuarial Journal 1 Statistical Methods and Applications 1 Discrete Optimization 1 Mathematics and Financial Economics all top 5 Fields 22 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Statistics (62-XX) 11 Probability theory and stochastic processes (60-XX) 3 Operations research, mathematical programming (90-XX) 2 Functional analysis (46-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 24 Publications have been cited 309 times in 225 Documents Cited by ▼ Year ▼ Generalized quantiles as risk measures. Zbl 1303.91089Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela 72 2014 On the existence of minimax martingale measures. Zbl 1014.91031Bellini, Fabio; Frittelli, Marco 63 2002 On elicitable risk measures. Zbl 1395.91506Bellini, Fabio; Bignozzi, Valeria 39 2015 Haezendonck-Goovaerts risk measures and Orlicz quantiles. Zbl 1284.91205Bellini, Fabio; Rosazza Gianin, Emanuela 27 2012 Risk measures with the CxLS property. Zbl 1376.91173Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F. 25 2016 Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198Bellini, Fabio; Rosazza Gianin, Emanuela 22 2008 Robust return risk measures. Zbl 1404.91134Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 10 2018 Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023Bellini, Fabio; Klar, Bernhard; Müller, Alfred 7 2018 Isotonicity properties of generalized quantiles. Zbl 1312.62055Bellini, Fabio 7 2012 Conditional expectiles, time consistency and mixture convexity properties. Zbl 1416.91156Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni 5 2018 Implicit expectiles and measures of implied volatility. Zbl 1406.91433Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit 4 2018 Backtesting VaR and expectiles with realized scores. Zbl 1427.62121Bellini, Fabio; Negri, Ilia; Pyatkova, Mariya 4 2019 Option pricing in a conditional bilateral Gamma model. Zbl 1339.91113Bellini, Fabio; Mercuri, Lorenzo 4 2014 Runs tests for assessing volatility forecastability in financial time series. Zbl 1066.91037Bellini, Fabio; Figà-Talamanca, Gianna 3 2005 Detecting and modeling tail dependence. Zbl 1088.91032Bellini, Fabio 3 2004 Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. Zbl 1161.62053Bellini, Fabio; Bottolo, Leonardo 3 2009 Stationarity domains for \(\delta\)-power GARCH process with heavy tails. Zbl 1128.62097Bellini, Fabio; Bottolo, Leonardo 3 2007 Law-invariant functionals that collapse to the mean. Zbl 1466.91250Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 2 2021 Independent component analysis and immunization: An exploratory study. Zbl 1070.62048Bellini, Fabio; Salinelli, Ernesto 1 2003 Conditional tail behaviour and Value at Risk. Zbl 1151.91563Bellini, Fabio; Figà-Talamanca, Gianna 1 2007 Law-invariant functionals on general spaces of random variables. Zbl 1465.62156Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 1 2021 Joint mixability of some integer matrices. Zbl 1387.15036Bellini, Fabio; Karaşan, Oya Ekin; Pınar, Mustafa Ç. 1 2016 Risk parity with expectiles. Zbl 07356127Bellini, Fabio; Cesarone, Francesco; Colombo, Christian; Tardella, Fabio 1 2021 Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 07356135Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 1 2021 Law-invariant functionals that collapse to the mean. Zbl 1466.91250Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 2 2021 Law-invariant functionals on general spaces of random variables. Zbl 1465.62156Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 1 2021 Risk parity with expectiles. Zbl 07356127Bellini, Fabio; Cesarone, Francesco; Colombo, Christian; Tardella, Fabio 1 2021 Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 07356135Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 1 2021 Backtesting VaR and expectiles with realized scores. Zbl 1427.62121Bellini, Fabio; Negri, Ilia; Pyatkova, Mariya 4 2019 Robust return risk measures. Zbl 1404.91134Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 10 2018 Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023Bellini, Fabio; Klar, Bernhard; Müller, Alfred 7 2018 Conditional expectiles, time consistency and mixture convexity properties. Zbl 1416.91156Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni 5 2018 Implicit expectiles and measures of implied volatility. Zbl 1406.91433Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit 4 2018 Risk measures with the CxLS property. Zbl 1376.91173Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F. 25 2016 Joint mixability of some integer matrices. Zbl 1387.15036Bellini, Fabio; Karaşan, Oya Ekin; Pınar, Mustafa Ç. 1 2016 On elicitable risk measures. Zbl 1395.91506Bellini, Fabio; Bignozzi, Valeria 39 2015 Generalized quantiles as risk measures. Zbl 1303.91089Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela 72 2014 Option pricing in a conditional bilateral Gamma model. Zbl 1339.91113Bellini, Fabio; Mercuri, Lorenzo 4 2014 Haezendonck-Goovaerts risk measures and Orlicz quantiles. Zbl 1284.91205Bellini, Fabio; Rosazza Gianin, Emanuela 27 2012 Isotonicity properties of generalized quantiles. Zbl 1312.62055Bellini, Fabio 7 2012 Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. Zbl 1161.62053Bellini, Fabio; Bottolo, Leonardo 3 2009 Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198Bellini, Fabio; Rosazza Gianin, Emanuela 22 2008 Stationarity domains for \(\delta\)-power GARCH process with heavy tails. Zbl 1128.62097Bellini, Fabio; Bottolo, Leonardo 3 2007 Conditional tail behaviour and Value at Risk. Zbl 1151.91563Bellini, Fabio; Figà-Talamanca, Gianna 1 2007 Runs tests for assessing volatility forecastability in financial time series. Zbl 1066.91037Bellini, Fabio; Figà-Talamanca, Gianna 3 2005 Detecting and modeling tail dependence. Zbl 1088.91032Bellini, Fabio 3 2004 Independent component analysis and immunization: An exploratory study. Zbl 1070.62048Bellini, Fabio; Salinelli, Ernesto 1 2003 On the existence of minimax martingale measures. Zbl 1014.91031Bellini, Fabio; Frittelli, Marco 63 2002 all cited Publications top 5 cited Publications all top 5 Cited by 347 Authors 18 Bellini, Fabio 9 Wang, Ruodu 8 Bignozzi, Valeria 7 Frittelli, Marco 7 Rosazza Gianin, Emanuela 6 Gerardi, Anna 6 Mao, Tiantian 5 Klar, Bernhard 5 Laksaci, Ali 5 Pichler, Alois 5 Stricker, Christophe 5 Yang, Fan 4 Asimit, Alexandru V. 4 Bouzebda, Salim 4 Cai, Jun 4 Ceci, Claudia 4 Maume-Deschamps, Véronique 4 Peng, Liang 4 Rullière, Didier 4 Stupfler, Gilles 4 Tsanakas, Andreas 4 Wang, Xing 4 Ziegel, Johanna F. 3 Cheung, Ka Chun 3 Choulli, Tahir 3 Daouia, Abdelaati 3 Delbaen, Freddy 3 Drapeau, Samuel 3 Fissler, Tobias 3 Girard, Stéphane 3 Hu, Taizhong 3 Mercuri, Lorenzo 3 Petrella, Lea 3 Puccetti, Giovanni 3 Rroji, Edit 3 Said, Khalil 3 Tang, Qihe 3 Tardelli, Paola 3 Weng, Chengguo 3 Zähle, Henryk 3 Zhu, Songping 2 Almanjahie, Ibrahim Mufrah 2 Badescu, Alexandru M. 2 Bernardi, Mauro 2 Biagini, Francesca 2 Biagini, Sara 2 Bottolo, Leonardo 2 Cerreia-Vioglio, Simone 2 Chen, Zhiping 2 Chi, Yichun 2 Di Bernardino, Elena 2 Farooq, Muhammad Umar 2 Figà-Talamanca, Gianna 2 Fouque, Jean-Pierre 2 He, Xinjiang 2 Hlavinová, Jana 2 Holzmann, Hajo 2 Hu, Junlei 2 Hu, Qianhui 2 Hubalek, Friedrich 2 Laeven, Roger J. A. 2 Leipus, Remigijus 2 Liu, Fangda 2 Maccheroni, Fabio 2 Marinacci, Massimo 2 Mastrogiacomo, Elisa 2 Meyer-Brandis, Thilo 2 Millossovich, Pietro 2 Mohammedi, Mustapha 2 Montrucchio, Luigi 2 Muhle-Karbe, Johannes 2 Müller, Alfred 2 Munari, Cosimo 2 Owari, Keita 2 Peri, Ilaria 2 Pesenti, Silvana M. 2 Rheinländer, Thorsten 2 Rudloff, Birgit 2 Rüschendorf, Ludger 2 Sgarra, Carlo 2 Šiaulys, Jonas 2 Steinwart, Ingo 2 Svindland, Gregor 2 Tadese, Mekonnen 2 Usseglio-Carleve, Antoine 2 Vanduffel, Steven 2 Weber, Stefan 2 Xun, Li 2 Žitković, Gordan 1 Ahmadi Javid, Amir 1 Ahn, Jae Youn 1 Al-Kandari, Noriah M. A. 1 Amarante, Massimiliano 1 Amini, Hamed 1 Anis, Hassan T. 1 Arab, Idir 1 Arai, Takuji 1 Armenti, Yannick 1 Asano, Takao 1 Babat, Onur ...and 247 more Authors all top 5 Cited in 75 Serials 35 Insurance Mathematics & Economics 14 European Journal of Operational Research 14 Quantitative Finance 11 Statistics & Probability Letters 9 Mathematical Finance 8 Finance and Stochastics 6 Mathematics of Operations Research 5 The Annals of Applied Probability 5 International Journal of Theoretical and Applied Finance 5 Mathematics and Financial Economics 5 Electronic Journal of Statistics 5 SIAM Journal on Financial Mathematics 4 Computational Statistics and Data Analysis 4 Bernoulli 4 Scandinavian Actuarial Journal 4 Statistics & Risk Modeling 3 Journal of Multivariate Analysis 3 Operations Research 3 Communications in Statistics. Theory and Methods 3 Stochastic Processes and their Applications 3 Probability in the Engineering and Informational Sciences 3 Methodology and Computing in Applied Probability 3 Decisions in Economics and Finance 3 ASTIN Bulletin 3 Dependence Modeling 2 Lithuanian Mathematical Journal 2 Journal of Economic Theory 2 Journal of Econometrics 2 Annals of Operations Research 2 Applied Mathematics. Series B (English Edition) 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Asia-Pacific Financial Markets 2 Stochastics 2 European Actuarial Journal 1 Metrika 1 Physica A 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Probability 1 The Annals of Statistics 1 Applied Mathematics and Optimization 1 Journal of Mathematical Economics 1 Mathematics and Computers in Simulation 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Advances in Applied Mathematics 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Optimization 1 Journal of Economics 1 Econometric Reviews 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 European Journal of Applied Mathematics 1 Machine Learning 1 Communications in Statistics. Simulation and Computation 1 Journal of Statistical Computation and Simulation 1 Mathematical Programming. Series A. Series B 1 Applied Mathematical Finance 1 Journal of Nonparametric Statistics 1 Mathematical Methods of Operations Research 1 Journal of Applied Mathematics and Decision Sciences 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 CEJOR. Central European Journal of Operations Research 1 Optimization and Engineering 1 Journal of Applied Mathematics and Computing 1 North American Actuarial Journal 1 Review of Derivatives Research 1 Statistical Methods and Applications 1 Banach Journal of Mathematical Analysis 1 Journal of Geometric Mechanics 1 Probability Surveys 1 Annals of Finance 1 Mathematical Control and Related Fields 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 20 Fields 177 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 102 Statistics (62-XX) 76 Probability theory and stochastic processes (60-XX) 19 Operations research, mathematical programming (90-XX) 9 Systems theory; control (93-XX) 7 Functional analysis (46-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 4 Information and communication theory, circuits (94-XX) 3 Partial differential equations (35-XX) 3 Numerical analysis (65-XX) 2 Measure and integration (28-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Real functions (26-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) Citations by Year