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Author ID: bellini.fabio Recent zbMATH articles by "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

Publications by Year

Citations contained in zbMATH Open

24 Publications have been cited 309 times in 225 Documents Cited by Year
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
72
2014
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
63
2002
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
39
2015
Haezendonck-Goovaerts risk measures and Orlicz quantiles. Zbl 1284.91205
Bellini, Fabio; Rosazza Gianin, Emanuela
27
2012
Risk measures with the CxLS property. Zbl 1376.91173
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.
25
2016
Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198
Bellini, Fabio; Rosazza Gianin, Emanuela
22
2008
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
10
2018
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
7
2018
Isotonicity properties of generalized quantiles. Zbl 1312.62055
Bellini, Fabio
7
2012
Conditional expectiles, time consistency and mixture convexity properties. Zbl 1416.91156
Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni
5
2018
Implicit expectiles and measures of implied volatility. Zbl 1406.91433
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit
4
2018
Backtesting VaR and expectiles with realized scores. Zbl 1427.62121
Bellini, Fabio; Negri, Ilia; Pyatkova, Mariya
4
2019
Option pricing in a conditional bilateral Gamma model. Zbl 1339.91113
Bellini, Fabio; Mercuri, Lorenzo
4
2014
Runs tests for assessing volatility forecastability in financial time series. Zbl 1066.91037
Bellini, Fabio; Figà-Talamanca, Gianna
3
2005
Detecting and modeling tail dependence. Zbl 1088.91032
Bellini, Fabio
3
2004
Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. Zbl 1161.62053
Bellini, Fabio; Bottolo, Leonardo
3
2009
Stationarity domains for \(\delta\)-power GARCH process with heavy tails. Zbl 1128.62097
Bellini, Fabio; Bottolo, Leonardo
3
2007
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
2
2021
Independent component analysis and immunization: An exploratory study. Zbl 1070.62048
Bellini, Fabio; Salinelli, Ernesto
1
2003
Conditional tail behaviour and Value at Risk. Zbl 1151.91563
Bellini, Fabio; Figà-Talamanca, Gianna
1
2007
Law-invariant functionals on general spaces of random variables. Zbl 1465.62156
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
1
2021
Joint mixability of some integer matrices. Zbl 1387.15036
Bellini, Fabio; Karaşan, Oya Ekin; Pınar, Mustafa Ç.
1
2016
Risk parity with expectiles. Zbl 07356127
Bellini, Fabio; Cesarone, Francesco; Colombo, Christian; Tardella, Fabio
1
2021
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 07356135
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
1
2021
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
2
2021
Law-invariant functionals on general spaces of random variables. Zbl 1465.62156
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
1
2021
Risk parity with expectiles. Zbl 07356127
Bellini, Fabio; Cesarone, Francesco; Colombo, Christian; Tardella, Fabio
1
2021
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 07356135
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
1
2021
Backtesting VaR and expectiles with realized scores. Zbl 1427.62121
Bellini, Fabio; Negri, Ilia; Pyatkova, Mariya
4
2019
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
10
2018
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
7
2018
Conditional expectiles, time consistency and mixture convexity properties. Zbl 1416.91156
Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni
5
2018
Implicit expectiles and measures of implied volatility. Zbl 1406.91433
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit
4
2018
Risk measures with the CxLS property. Zbl 1376.91173
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.
25
2016
Joint mixability of some integer matrices. Zbl 1387.15036
Bellini, Fabio; Karaşan, Oya Ekin; Pınar, Mustafa Ç.
1
2016
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
39
2015
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
72
2014
Option pricing in a conditional bilateral Gamma model. Zbl 1339.91113
Bellini, Fabio; Mercuri, Lorenzo
4
2014
Haezendonck-Goovaerts risk measures and Orlicz quantiles. Zbl 1284.91205
Bellini, Fabio; Rosazza Gianin, Emanuela
27
2012
Isotonicity properties of generalized quantiles. Zbl 1312.62055
Bellini, Fabio
7
2012
Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. Zbl 1161.62053
Bellini, Fabio; Bottolo, Leonardo
3
2009
Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198
Bellini, Fabio; Rosazza Gianin, Emanuela
22
2008
Stationarity domains for \(\delta\)-power GARCH process with heavy tails. Zbl 1128.62097
Bellini, Fabio; Bottolo, Leonardo
3
2007
Conditional tail behaviour and Value at Risk. Zbl 1151.91563
Bellini, Fabio; Figà-Talamanca, Gianna
1
2007
Runs tests for assessing volatility forecastability in financial time series. Zbl 1066.91037
Bellini, Fabio; Figà-Talamanca, Gianna
3
2005
Detecting and modeling tail dependence. Zbl 1088.91032
Bellini, Fabio
3
2004
Independent component analysis and immunization: An exploratory study. Zbl 1070.62048
Bellini, Fabio; Salinelli, Ernesto
1
2003
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
63
2002
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

Citations by Year