{"id":56,"date":"2019-11-01T16:05:05","date_gmt":"2019-11-01T20:05:05","guid":{"rendered":"https:\/\/utstat.toronto.edu\/pesenti\/?page_id=56"},"modified":"2026-08-24T05:29:00","modified_gmt":"2026-08-24T09:29:00","slug":"research-papers","status":"publish","type":"page","link":"https:\/\/pesenti.utstat.utoronto.ca\/?page_id=56","title":{"rendered":"Research papers"},"content":{"rendered":"

My research interests include, but is not limited to, quantitative risk management<\/em><\/strong>, dependence uncertainty<\/em><\/strong>, sensitivity analysis<\/strong> for insurance<\/em>, risk measures,<\/em> and stress testing<\/em><\/strong>.<\/p>\n

My research is supported by Natural Sciences and Engineering Research Council of Canada<\/a>, the Connaught New Researcher Award<\/a>, CANSSI, the Data Science Institute University of Toronto, the Canadian Institute of Actuaries.<\/p>\n\n\n

Papers under Review<\/h2>\n\n\n\n

Bernard, C. and Pesenti, S.M., (2026) Preference robust distortion risk measures<\/a>, available at ArXiv<\/a>\/SSRN<\/a><\/p>\n\n\n\n

Beiglb\u00f6ck, M., Pesenti S.M., Sylvestre, M., (2026) Adapted law invariance and time consistent dynamic risk measures<\/a>, available at ArXiv <\/p>\n\n\n\n

Hu A., Pesenti S.M., Shi X., (2026) Dynamic portfolio optimization under CVaR constraints<\/a>, available at ArXiv\/SSRN<\/a><\/p>\n\n\n\n

Moresco M.R., Righi, M., Pesenti, S.M., (2026) Dual representation of robust risk measures and uncertainty sets<\/a>, available at SSRN<\/a>\/ArXiv<\/a><\/p>\n\n\n\n

Nguyen T., Pesenti S.M., (2026) Outperforming a benchmark with \u03b1-Bregman Wasserstein divergence<\/a>, available at SSRN<\/a>\/ArXiv<\/p>\n\n\n\n

Tam, B., Ghoussoub, M., Pesenti S.M., (2026) Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies<\/a>, available at SSRN<\/a>\/ArXiv<\/p>\n\n\n\n

Miao, K.E., Pesenti S.M., (2026) Discrimination-insensitive pricing<\/a>, available at SSRN<\/a>\/ArXiv<\/p>\n\n\n\n

Perreault, S., Pesenti, S.M., Shahzad, D. (2025) Distributional regression for seasonal data: an application to river flow<\/a>, available at SSRN\/ArXiv<\/a><\/p>\n\n\n\n

Huang, F., Pesenti, S.M. (2025) Marginal fairness: fair decision-making under risk measures<\/a>, available at SSRN\/ArXiv<\/a><\/p>\n\n\n\n

Tam, B., Pesenti, S.M. (2025) Bounds for Distributionally Robust Optimization Problems<\/a>, available at SSRN<\/a>\/ArXiv<\/p>\n\n\n\n

Kroell, E., Jaimungal, S., Pesenti, S.M. (2025) Model ambiguity in risk sharing with Monotone Mean-Variance<\/a>, available at SSRN\/ArXiv<\/a><\/p>\n\n\n\n

Ince, A., Moresco, M., Pesenti, S.M., Peri, I. (2025) Constructing elicitable risk measures<\/a>, available at SSRN\/ArXiv<\/a><\/p>\n\n\n\n

Pesenti, S. M., Vanduffel, S., Yang Y., Yao J. (2024) Optimal payoff under Bregman-Wasserstein divergence constraints<\/a>, available at SSRN\/ArXiv<\/a><\/p>\n\n\n\n

<\/p>\n\n\n\n

Published \/Accepted papers<\/h2>\n\n\n\n

Jaimungal, S., and Pesenti, S.M. (2026) Kullback-Leibler Barycentre of Stochastic Processes<\/a>, SIAM J. Financial Mathematics, 17(2), pp. 371-405 , available at SSRN<\/a>\/ArXiv<\/a><\/p>\n\n\n\n

Miao, K. E. and Pesenti, S.M. (2025) Robust Elicitable Functionals<\/a>, European Journal of Operational Research, 326(2), pp 311-325, available at SSRN<\/a>\/ArXiv<\/a><\/p>\n\n\n\n

Kroell, E., Jaimungal S., Pesenti, S. M.,(2025) Optimal Robust Reinsurance with Multiple Insurers<\/a>, Scandinavian Actuarial Journal, 2025:5, pp. 479-509, available at SSRN<\/a>\/ArXiv<\/a><\/p>\n\n\n\n

Pesenti, S.M., Jaimungal, S., Saporito, Y., Targino, R., (2024) Risk Budgeting Allocation for Dynamic Risk Measures<\/a>, Operations Research, 73(3), pp. 311-325, available at SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Pesenti, S. M., Millossovich P. and Tsanakas A. (2024) Differential Quantile-Based Sensitivity in Discontinuous Models<\/a>, European Journal of Operational Research, 322(2), pp. 554-572, available at SSRN<\/a>\/ArXiv<\/a><\/p>\n\n\n\n

Pesenti, S. M., Vanduffel, S., (2024) Optima<\/a>l <\/a>Transport Divergences induced by Scoring Functions<\/a>, Operations Research Letters 57:107146, available at SSRN<\/a> \/ ArXiv<\/a>.<\/p>\n\n\n\n

Pesenti, S.M., Wang, Q., Wang, R. (2024) Optimizing distortion riskmetrics with distributional uncertainty<\/a>, Mathematical Programming (Article in advance), available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Moresco, M., Mailhot, M., Pesenti S.M., (2024) Uncertainty Propagation and Dynamic Robust Risk Measures<\/a>, Mathematics of Operations Research (Article in advance), available at SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Jaimungal, S. , Pesenti. S.M., S\u00e1nchez-Betancourt, L. (2024) Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes<\/a>, SIAM J. Control and Optimization 62(2), pp. 982-1005, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Kroell, E., Pesenti, S. M., Jaimungal S., (2023) Stressing Dynamic Loss Models<\/a>, Insurance, Mathematics and Economics, 114, pp. 56-78, available at SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Bernard, C., Pesenti S., Vanduffel, S. (2023) Robust Distortion Risk Measures<\/a>, Mathematical Finance 34(3),pp. 774-818, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Pesenti, S.M and Jaimungal S., (2023) S. Portfolio Optimisation within a Wasserstein Ball<\/a>, SIAM J. Financial Mathematics, 14(4), pp. 1175-1214, available on SSRN<\/a> \/<\/a>ArXiv<\/a>.<\/p>\n\n\n\n

da Costa, B. F. P., Pesenti, S. M., Targino, R., (2023) Risk Budgeting Portfolios from Simulation<\/a>, European Journal of Operational Research, 3(311), pp. 1040-1056, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Fissler, T., Pesenti, S. M., (2023) Sensitivity Measures Based on Scoring Functions<\/a>, European Journal of Operational Research 307 (3), 1408-1423, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Pesenti, S.M., (2022) Reverse Sensitivity Analysis for Risk Modelling<\/a>, Risks<\/em>, 10.7, 141, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Ince, A., Peri, I., Pesenti, S.M., (2022) Risk Contributions of Lambda Quantiles<\/a>, Quantitative Finance<\/em> 22:10, 1871-1891, available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Jaimungal, S., Pesenti, S. M., Wang, Y. S., Tatsat, H., (2021) Robust Risk-Aware Reinforcement Learning<\/a>, SIAM J. Financial Mathematics<\/em>, 13(1), pp.213-226; also available on SSRN<\/a>\/ArXiv<\/a>.<\/p>\n\n\n\n

Pesenti, S. M., Millossovich P. and Tsanakas A. (2021) Cascade Sensitivity Measures <\/a>, Risk Analysis<\/em>, 41(12), pp. 2392-2414; also available on SSRN<\/a>.<\/p>\n\n\n\n

Pesenti, S. M., Bettini, A., Millossovich, P., Tsanakas A. (2021) Scenario Weights for Importance Measurement (SWIM) – an R<\/strong> package for sensitivity analysis,<\/a> Annals of Actuarial Science<\/em>, 15<\/em>(2), 458-483; also available on SSRN<\/a>.<\/p>\n\n\n\n

Pesenti, S. M., Millossovich P. and Tsanakas A., (2019). Reverse sensitivity testing: What does it take to break the model?<\/a> European Journal of Operational Research<\/em>, 274(2), pp. 654-670; also available on SSRN<\/a>.<\/p>\n\n\n\n

Pesenti, S. M., Millossovich P. and Tsanakas A., (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018)<\/a>. Insurance, Mathematics and Economics<\/em>, 83, pp. 29-31; also available on SSRN<\/a>. <\/p>\n\n\n\n

Pesenti, S. M., Millossovich P. and Tsanakas A., (2016). Robustness regions for measures of risk aggregation<\/a>. Dependence Modeling<\/em>, 4(1), pp. 348-367, also available on SSRN<\/a>. <\/p>\n\n\n\n

Software<\/h2>\n\n\n\n

Pesenti, S. M., Bettini, A., Millossovich, P., Tsanakas A. (2022). SWIM: Scenario Weights for Importance Measurement. <\/em>R package version 1.0.0.<\/p>\n","protected":false},"excerpt":{"rendered":"

My research interests include, but is not limited to, quantitative risk management, dependence uncertainty, sensitivity analysis for insurance, risk measures, and stress testing. My research is supported by Natural Sciences and Engineering Research Council of Canada, the Connaught New Researcher Award, CANSSI, the Data Science Institute University of Toronto, the Canadian Institute of Actuaries. Papers … <\/p>\n

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