Published in Working paper, 2024
Recommended citation: Moresco, M., & Righi, M. B. (2022). Corporate Cash holdings through the lens of Risk Measures. https://www.researchgate.net/profile/Marlon-Moresco/publication/356289811_Corporate_Cash_holdings_through_the_lens_of_Risk_Measures/links/61956da661f0987720ab83c0/Corporate-Cash-holdings-through-the-lens-of-Risk-Measures.pdf
Published in Working paper, 2024
Recommended citation: Righi, M., Horta, E., & Moresco, M. (2024). Set risk measures. arXiv preprint arXiv:2407.18687. https://arxiv.org/pdf/2407.18687
Published in MATHEMATICS OF OPERATIONS RESEARCH, 2024
Recommended citation: Marlon R. Moresco, Mélina Mailhot, Silvana M. Pesenti (2024) Uncertainty Propagation and Dynamic Robust Risk Measures. Mathematics of Operations Research 0(0). https://pubsonline.informs.org/doi/abs/10.1287/moor.2023.0267
Published in Annals of Operations Research , 2024
Recommended citation: Righi, M. B., & Moresco, M. R. (2024). Inf-convolution and optimal risk sharing with countable sets of risk measures. Annals of Operations Research, 1-32. https://link.springer.com/article/10.1007/s10479-022-04593-8
Published in Working paper, 2022
Recommended citation: Righi, M. B., Müller, F. M., & Moresco, M. R. (2022). A risk measurement approach from risk-averse stochastic optimization of score functions. arXiv preprint arXiv:2208.14809. https://arxiv.org/pdf/2208.14809.pdf
Published in Statistics & Risk Modeling, 2022
Recommended citation: Moresco, M., Righi, M. B., & Horta, E. (2022). Minkowski deviation measures. https://doi.org/10.1515/strm-2021-0033
Published in Operations Research Letters, 2022
Recommended citation: Righi, M. B., & Moresco, M. R. (2022). Star-Shaped deviations. Operations Research Letters, 50(5), 548-554. https://www.sciencedirect.com/science/article/pii/S0167637722000980
Published in Statistics & Probability Letters, 2022
Recommended citation: Moresco, M. R., & Righi, M. B. (2022). On the link between monetary and star-shaped risk measures. Statistics & Probability Letters, 184, 109345. https://doi.org/10.1016/j.spl.2021.109345
Published in Insurance: Mathematics and Economics, 2020
Recommended citation: Righi, M. B., Müller, F. M., & Moresco, M. R. (2020). On a robust risk measurement approach for capital determination errors minimization. Insurance: Mathematics and Economics, 95, 199-211. https://doi.org/10.1016/j.insmatheco.2020.10.007