# Dr. Pasquale Cirillo

Applied Probability & Risk Management

#### Publications

At present I have 2 papers under review.

International journals:

International journals:

- Cirillo P., Taleb N.N., 2016. Expected shortfall estimation for apparently infinite-mean models of operational risk. Quantitative Finance. To appear.
- 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.
- 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.
- 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.
- 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.
- Cirillo P., 2013. Are your data really Pareto distributed?. Physica A: Statistical Mechanics and its Applications 392, 5947-5962.
- Cirillo P., Muliere P., 2013. An urn-based Bayesian block bootstrap. Metrika 76, 93-106.
- 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.
- Cirillo P., Hüsler J., 2012. A Polya model for cascading failures on a lattice. Probability in Engineering and Informational Sciences 26, 509-534.
- 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.
- Cirillo P., Gallegati M., 2011. The empirical validation of an agent-based model. Eastern Economic Journal 38, 525–547.
- 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.
- Cirillo P., Hüsler J., 2011. Generalized extreme shock models with a possibly increasing threshold. Probability in the Engineering and Informational Sciences 29, 1-16.
- Cirillo P., 2010. An analysis of the size distribution of Italian firms by age. Physica A: Statistical Mechanics and its Applications 389, 459-466.
- Cirillo P., Hüsler J., 2010. Extreme shock models: an alternative perspective. Statistics and Probability Letters 81, 25-30.
- 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.
- Cirillo P., Hüsler J., 2009. An urn approach to generalized extreme shock models. Statistics and Probability Letters 79, 969-976.
- Cirillo P., Hüsler J., 2009. On the upper tail of Italian firms’ size distribution. Physica A: Statistical Mechanics and its Applications 388, 1546-1554.
- Cirillo P., 2009. Some Evidence about the evolution of the size distribution of Italian firms by age. Economics Bulletin 29(3), 1727-1734.
- 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.
- 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
- 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:**

- Cirillo P., Taleb N.N., 2016. What are the chances of war? Significance 13(2), 44-45.
- Delli Gatti D., Desiderio S., Gaffeo E., Cirillo P., Gallegati M., 2011. Macroeconomics from the bottom up. Springer. (Monograph)
- 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:**

- Cirillo P., 2012. Some selected papers on urn models. Habilitationsschrift Statistik (Professorial thesis), Bern University.
- Cirillo P., 2011. Book Review of Aoyama et al. (2010), Econophysics and Companies, Cambridge University Press. The American Statistician 65 (4), 286.
- 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.