Dr. Pasquale Cirillo



Applied Probability & Risk Management

Publications


At present I have 2 papers under review.

International journals:

  1. Cirillo P., Taleb N.N., 2016. Expected shortfall estimation for apparently infinite-mean models of operational risk. Quantitative Finance. To appear.
  2. Bonetti M., Cirillo P., Musile Tanzi P., Trinchero E., 2016. An analysis of the number of medical malpractice claims and their amounts. Plos ONE. To appear.
  3. Cirillo P., Taleb N.N., 2015. On the statistical properties and tail risk of violent conflicts. Physica A: Statistical Mechanics and its Applications. To appear.
  4. Cirillo P., Redig F., Ruszel W., 2014. Duality and stationary distributions of wealth distribution models. Journal of Physics A: Mathematical and Theoretical 47, 085203. Doi:10.1088/1751-8113/47/8/085203.
  5. Cirillo P., Hüsler J., Muliere P., 2013. Alarm systems and catastrophes from a diverse point of view. Methodology and Computing in Applied Probability 15, 821-839.
  6. Cirillo P., 2013. Are your data really Pareto distributed?. Physica A: Statistical Mechanics and its Applications 392, 5947-5962.
  7. Cirillo P., Muliere P., 2013. An urn-based Bayesian block bootstrap. Metrika 76, 93-106.
  8. Cirillo P., Gallegati M., Hüsler J., 2012. A Pólya lattice model to study leverage dynamics and contagious financial fragility. Advances in Complex Systems 15, 1250069. Doi: 10.1142/ S0219525912500695.
  9. Cirillo P., Hüsler J., 2012. A Polya model for cascading failures on a lattice. Probability in Engineering and Informational Sciences 26, 509-534.
  10. Cirillo P., Tedeschi G., Gallegati M., 2012. The Boulogne fish market: the social structure and the role of loyalty. Applied Economics Letters 19, 1075-1079.
  11. Cirillo P., Gallegati M., 2011. The empirical validation of an agent-based model. Eastern Economic Journal 38, 525–547.
  12. Cirillo P., Vagliasindi P., Bianchi C., Bruno G., 2011. New insights on the size distribution of Italian firms. Giornale degli Economisti -Italian Journal of Economics 70, 59-91.
  13. Cirillo P., Hüsler J., 2011. Generalized extreme shock models with a possibly increasing threshold. Probability in the Engineering and Informational Sciences 29, 1-16.
  14. Cirillo P., 2010. An analysis of the size distribution of Italian firms by age. Physica A: Statistical Mechanics and its Applications 389, 459-466.
  15. Cirillo P., Hüsler J., 2010. Extreme shock models: an alternative perspective. Statistics and Probability Letters 81, 25-30.
  16. Cirillo P., Hüsler J., Muliere P., 2010. A nonparametric approach to interacting failing systems with an application to credit risk modeling. International Journal of Theoretical and Applied Finance 13, 1-18.
  17. Cirillo P., Hüsler J., 2009. An urn approach to generalized extreme shock models. Statistics and Probability Letters 79, 969-976.
  18. Cirillo P., Hüsler J., 2009. On the upper tail of Italian firms’ size distribution. Physica A: Statistical Mechanics and its Applications 388, 1546-1554.
  19. Cirillo P., 2009. Some Evidence about the evolution of the size distribution of Italian firms by age. Economics Bulletin 29(3), 1727-1734.
  20. Bianchi C., Cirillo P., Gallegati M., Vagliasindi P. A., 2008. Validation in agent-based models: an investigation on the C@S model. Journal of Economic Behavior and Organization 67, 947-964.
  21. Bianchi C., Cirillo P., Gallegati M., Vagliasindi P. A., 2007. Validating and calibrating agent- based models: a case study. Computational Economics 30, 245-264. IF: 0.514
  22. Vagliasindi P. A., Verga G., Cirillo P., 2006. Mercato del credito e imprese in un modello con agenti interagenti. Rivista Internazionale di Scienze Sociali 3, 459-490.

Books, articles in books and media:
  1. Cirillo P., Taleb N.N., 2016. What are the chances of war? Significance 13(2), 44-45.
  2. Delli Gatti D., Desiderio S., Gaffeo E., Cirillo P., Gallegati M., 2011. Macroeconomics from the bottom up. Springer. (Monograph)
  3. Cirillo P., Hüsler J., 2011. Shock models for defaults: parametric and nonparametric approaches. In Nonparametric Statistics and Mixture Models, Hunter D., Rosenberger J., Richards D. (eds). World Scientific Press, 90-113.

Other publications:
  1. Cirillo P., 2012. Some selected papers on urn models. Habilitationsschrift Statistik (Professorial thesis), Bern University.
  2. Cirillo P., 2011. Book Review of Aoyama et al. (2010), Econophysics and Companies, Cambridge University Press. The American Statistician 65 (4), 286.
  3. Cirillo P., 2008. New urn approaches to shock and default models. PhD Thesis, Bocconi University in Milan.


If you are interested in the pre-prints of my papers, do not hesitate to contact me.

In most publications I am the first/main author, i.e. the one contributing to the greatest extent.
When I am not the first author, my role in each work is well represented by the position of my name in the list of authors.
© 2016 Dr. Pasquale Cirillo