Silvia Romagnoli

Publication Activity (10 Years)

Years Active: 2000-2023
Publications (10 Years): 6

Top Topics

Dependency Structure

Probability Distribution

Top Venues

Int. J. Gen. Syst.

J. Comput. Appl. Math.

Fuzzy Sets Syst.

Publications

Enrico Bernardi, Daniele Ritelli, Silvia Romagnoli
Fuzzy Esscher changes of measure and copula invariance in Lévy markets. Fuzzy Sets Syst. 466 (2023)
Enrico Bernardi, Silvia Romagnoli
A distorted copula-based evolution model: risks' aggregation in a Bonus-Malus migration system. Soft Comput. 25 (17) (2021)
Silvia Romagnoli
A vague multidimensional dependency structure: Conditional versus Unconditional fuzzy copula models. Inf. Sci. 512 (2020)
Enrico Bernardi, Silvia Romagnoli, Matteo Doti
The impact of the dependence structure in risk management: a focus on credit-risk. Int. J. Gen. Syst. 48 (4) (2019)
Silvia Romagnoli
Measure-invariance of copula functions as tool for testing no-arbitrage assumption. J. Comput. Appl. Math. 338 (2018)
Enrico Bernardi, Silvia Romagnoli
Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application. Int. J. Inf. Technol. Decis. Mak. 15 (2) (2016)
Enrico Bernardi, Silvia Romagnoli
Computing the volume of a high-dimensional semi-unsupervised hierarchical copula. Int. J. Comput. Math. 88 (12) (2011)
Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli
A copula-based model of speculative price dynamics in discrete time. J. Multivar. Anal. 102 (6) (2011)
Silvia Romagnoli, Tiziano Vargiolu
Robustness of the Black-Scholes approach in the case of options on several assets. Finance Stochastics 4 (3) (2000)