Research

Dr. Pasquale Cirillo

My research is mainly related to risk theory and management. I like to work on topics like alarm systems, catastrophe prediction, modeling of extremes, shock and default models — most of the times with applications in economics and finance, as for market, credit, operational and sanitary risk. Very recently also terrorism risk.
Another important part of my research work involves
urn models and combinatorial stochastic processes, which I like for their powerful probabilistic properties and the possibility of having a constructive approach to probability.
Finally, I have a great interest for
scaling laws in economics and the validation of agent-based models.
I am not the kind of guy always doing the same old stuff. Sorry.



Recent research projects

  • 2015-2019: Marie Curie ITN EID: WakeUpCall, together with colleagues from CWI, Università di Bologna, Universidade da Coruña, Banco Santander, Ernst & Young, etc.
  • 2013-2017: Marie Curie CIG: “When bad things come together: multivariate shocks, interacting risks and their applications in economics”. Within this project I coordinated and organized many activities, such as for example a very interesting (at least for me) workshop on multivariate extremes and risks.
  • 2012-2014: Sanitary Risk Assessment, joint with Bocconi University, SDA School of Managament, AON, Marsh and Willis.
Two applications have been recently submitted. Fingers crossed.


Recent Publications


For a complete list of publications, including
working papers and non academic publications, feel free to download it by clicking on the pdf icon on the right.
PDF

If you need some pre-print of my articles, feel free to
contact me.


Books


For more info about my forthcoming book on Fat Tails with Prof. Nassim Taleb, have
a look here, where you will find pre-prints and supplementary materials.


PhD Students

At present I am supervising two PhD students:
Please notice that I cannot accept solicitations for PhD and research positions. For opportunities at TU Delft, please visit this website.


Conferences and Seminars

I am not that sadistic, I will not bother you with the very boring list of the conferences, workshops and seminars I attended as a speaker. If you really like to know, feel free to
contact me.
But I would be very happy if you could visit the website of the conference I am co-organizing:
EVA 2017 (June 26-30, 2017).