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Ilaria Peri

  1. From Risk Measures to Research Measures.

    Mon, 05/07/2012 - 15:01 — SomNambul
    Authors: Marco Frittelli, Ilaria Peri
    Subjects: Risk Management
    Abstract

    In order to evaluate the quality of the scientific research, we introduce a
    new family of scientific performance measures, called Scientific Research
    Measures (SRM). Our proposal originates from the more recent developments in
    the theory of risk measures and is an attempt to resolve the many problems of
    the existing bibliometric indices.

  2. Risk Measures on $\mathcal{P}(\mathbb{R})$ and Ambiguity for the Value At Risk: $\Lambda V@R$.

    Thu, 01/12/2012 - 15:01 — SomNambul
    Authors: Marco Frittelli, Marco Maggis, Ilaria Peri
    Subjects: Risk Management
    Abstract

    We propose a generalization of the classical notion of the $V@R_{\lambda}$
    that takes into account not only the probability of the losses, but the balance
    between such probability and the amount of the loss. This is obtained by
    defining a new class of law invariant risk measures based on an appropriate
    family of acceptance sets. The $V@R_{\lambda}$ and other known law invariant
    risk measures turn out to be special cases of our proposal.

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