Dependence Modeling. Computational and Applied Mathematics/Probability. Model uncertainty in Quantitative Risk Management. Mathematical models for risk aggregation and diversification. Complete and Joint mixability. Monge-Kantorovich mass transportation problems applied to insurance and finance. Comonotonicity in risk management and risk theory. Copula methods, risk measures and stochastic ordering of risks. Quantitative modeling of Operational Risk.
Puccetti, G. (2023). Matematica per il corso di Economia & Management. OPEN ACCESS
Progetto Matematica Open - la matematica aperta a tutti
WP. Puccetti, G. and G. Cagliani (2025). Correlation: the most common mistakes made in Risk Management practice. SSRN
WP. Puccetti, G., Rüschendorf, L., and S. Vanduffel (2025). MinCovTarget+: a fast heuristic algorithm for fair allocation. SSRN
38. Puccetti, G. (2025). The beautiful art of rearranging matrices. To appear in Annals of Operations Research SSRN
37. Mancini, M., Taucci R., and Puccetti, G. (2024). Valuto: an algorithm for the fair valuation of real estate market values. Valori & Valutazioni 35, 163--172. PAPER
36. Puccetti, G., Rüschendorf, L. (2023). General construction and classes of explicit L1-optimal couplings. Bernoulli 29(1), 839-874 SSRN FREE PDF as it appears in BERNOULLI CODE
35. Puccetti, G. (2022). Measuring linear correlation between random vectors. Information Sciences 607, 1328-1347 SSRN PAPER
34. Cornilly, D., Puccetti, G., Rüschendorf, L., and S. Vanduffel (2022). Fair allocation of indivisible goods with minimum inequality or minimum envy. Eur. J. Oper. Res. 297, 741-752. SSRN paper
33. Cornilly, D., Puccetti, G., Rüschendorf, L., and S. Vanduffel (2022). On a synchronization problem with multiple instances. J. Comp. Appl. Math 400, 113697, 15 pp. SSRN paper
32. Puccetti, G., Rüschendorf, L., and S. Vanduffel (2020). On the computation of Wasserstein barycenters. J. Multivariate Anal. 176, 104581, 16 pp. SSRN paper
31. Puccetti, G., Rigo, P., Wang, B. and R. Wang (2019). Centers of probability measures without the mean. J. Theor. Probab. 32(3), 1482-1501. SSRN arXiv free-access paper
30. Di Lascio, F. M. L., Giammusso, D. and G. Puccetti (2018). A clustering approach and a rule of thumb for risk aggregation. J. Bank. Financ. 96, 236-248. SSRN paper
29. Bellini, F., Bignozzi, V. and G. Puccetti (2018). Conditional expectiles, time consistency and mixture convexity properties. Insurance Math. Econ. 82, 117-123. SSRN paper
28. Puccetti, G. (2017). An algorithm to approximate the optimal expected product of two vectors with given marginals. J. Math. Anal. Appl. 451, 132-145. paper SSRN
27. Puccetti, G., Rüschendorf, L., Small, D., and S. Vanduffel (2017). Reduction of Value-at-Risk bounds via independence and variance information. Scand. Actuar. J. 2017(3), 245-266. paper SSRN
26. Puccetti, G., Rüschendorf, L. and D. Manko (2016). VaR bounds for joint portfolios with dependence constraints. Depend. Model. 4, 368-381. paper OPEN ACCESS
25. Puccetti, G. and R. Wang (2015). Extremal dependence concepts. Statistical Science 30(4), 485-517. paper updated version
24. Bignozzi, V. and G. Puccetti (2015). Studying mixability with supermodular aggregating functions. Stat. Probabil. Lett., 100, 48-55 paper SSRN.
23. Bignozzi, V., Puccetti, G., and L. Rüschendorf (2015). Reducing model risk via positive and negative dependence assumptions. Insurance Math. Econ. 61, 17-26. paper SSRN
22. Puccetti, G. and R. Wang (2015). Detecting complete and joint mixability. J. Comp. Appl. Math. 280, 174-187. paper SSRN
21. Puccetti, G. and L. Rüschendorf (2015). Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals. Commun. Stat. Simulat., 44 (3), 705-718. SSRN paper
20. Aas, K. and G. Puccetti (2014). Bounds for total economic capital: the DNB case study. Extremes, 17(4), 693-715 paper SSRN
19. Embrechts, P., Puccetti, G., Rüschendorf, L., Wang, R. and A. Beleraj (2014). An Academic Response to Basel 3.5. Risks 2(1), 25-48. paper OPEN ACCESS
18. Puccetti, G. and L. Rüschendorf (2014). Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges. J. Risk, 16(3), 3-22 preprint - paper
17. Puccetti, G., Wang, B., and R. Wang (2013). Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insurance Math. Econ., 53(3), 821-828. preprint - paper
16. Embrechts, P., Puccetti, G. and L. Rüschendorf (2013). Model uncertainty and VaR aggregation. J. Bank. Financ., 37(8), 2750-2764. paper - post-print (updated) version
15. Puccetti, G. and L. Rüschendorf (2013). Sharp bounds for sums of dependent risks. J. Appl. Probab., 50(1), 42-53. paper -preprint
14. Puccetti, G. (2013). Sharp bounds on the expected shortfall for a sum of dependent random variables. Stat. Probabil. Lett., 83(4), 1227-1232 paper - preprint
13. Arbenz, P., Embrechts, P., and G. Puccetti (2012). The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables. Stochastics, 84(5-6), 569-597.paper -preprint
12. Puccetti, G. and L. Rüschendorf (2012). Bounds for joint portfolios of dependent risks. Statistics & Risk Modeling, 29(2), 107-132. paper - preprint
11. Puccetti, G., Wang, B., and R. Wang (2012). Advances in complete mixability. J. Appl. Probab., 49(2), 430-440 paper - preprint
10. Puccetti, G. andL. Rüschendorf (2012). Computation of sharp bounds on the distribution of a function of dependent risks. J. Comp. Appl. Math., 236 (7), 1833-1840. paper OPEN ACCESS
9. Arbenz, P., Embrechts, P., and G. Puccetti (2011).The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables.Bernoulli, 17(2), 562-591. paper OPEN ACCESS
8. Embrechts, P. and G. Puccetti (2010). Risk Aggregation. In P.Jaworski et al. (eds.), Copula Theory and Its Applications, pp.111-126, Lecture Notes in Statistics 198, Springer, Berlin/Heidelberg paper - preprint
7. Embrechts, P. and G. Puccetti (2010). Bounds for the sum of dependent risks having overlapping marginals. J. Multivariate Anal. 101(1), 177–190. paper OPEN ACCESS
6. Puccetti, G. and M. Scarsini (2010). Multivariate comonotonicity. J. Multivariate Anal. 101(1), 291-304.paper OPEN ACCESS
5. Embrechts, P. and G. Puccetti (2008). Aggregating operational risk across matrix structured loss data, J. Operational Risk 3 (2), 29-44.paper - preprint
4. Embrechts, P. and G. Puccetti (2006). Aggregating risk capital, with an application to operational risk. Geneva Risk Insur. Rev. 31(2), 71–90. paper - preprint OPEN ACCESS
3. Embrechts, P. and G. Puccetti (2006). Bounds for functions of multivariate risks. J. Multivariate Anal. 97(2), 526–547. paper OPEN ACCESS
2. Embrechts, P. and G. Puccetti (2006). Bounds for functions of dependent risks. Finance Stoch. 10(3), 341–352. paper - SSRN
1. Embrechts, P., Höing, A., and G. Puccetti (2005). Worst VaR scenarios. Insurance Math. Econ. 37(1), 115-134.paper - preprint
I8. Genest, C. & Puccetti, G. (2018). A Journey Beyond The Gaussian World. Depend. Model. 6, 288-297. OPEN ACCESS
I7. Puccetti, G. and M. Scherer (2018). Copulas, credit portfolios, and the broken heart syndrome. Depend. Model. 6, 114-130. OPEN ACCESS
I6. Durante, F., Puccetti, G., Scherer, M. and S. Vanduffel (2017). The Vine Philosopher. Depend. Model. 5, 256-267. OPEN ACCESS
I5. Durante, F., Puccetti, G., Scherer, M. and S. Vanduffel (2017). My introduction to copulas. Depend. Model. 5, 88-98. OPEN ACCESS
I4. Durante, F., Puccetti, G., Scherer, M. and S. Vanduffel (2016). Distributions with given marginals: the beginnings. Depend. Model. 4, 237-250. OPEN ACCESS
Translated in Italian in “Distribuzioni con marginali assegnate: gli inizi.“ (2017) Lettera Matematica Pristem 101, 4-16. link
I3. Durante, F., Puccetti, G., Scherer, M. and S. Vanduffel (2016). Stat Trek. Depend. Model., 4, 109-122. OPEN ACCESS
I2. Durante, F., Puccetti, G. & Scherer, M. (2015). A Journey from Statistics and Probability to Risk Theory. Depend. Model. 3, 182-195. OPEN ACCESS
I1. Durante, F., Puccetti, G. & Scherer, M. (2015). Building bridges between Mathematics, Insurance and Finance. Depend. Model. 3, 17-28. OPEN ACCESS
Translated in German in “Die Copulae fanden mich ... “ (2015) Risiko Manager 17, 23-28. link
Translated in Chinese in "架起数学、保险与金融的桥梁"(2015) Actuarial Communications 10(2), 26-35. link
E1. Puccetti, G. (2021). Editorial: Special Issue on Copulas in memory of Abe Sklar (1925-2020). Depend. Model. 9, 199-199. OPEN ACCESS
R1. Puccetti, G. (2019). Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance. Quantitative Finance, 19:1, 13-14 link free (first 50 copies)