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Emanuele Borgonovo
Bocconi University
120Publications
26H-index
2,592Citations
Publications 120
Newest
#1Elmar PlischkeH-Index: 10
#2Emanuele Borgonovo (Bocconi University)H-Index: 26
Abstract Copula theory is concerned with defining dependence structures given appropriate marginal distributions. Probabilistic sensitivity analysis is concerned with quantifying the strength of the dependence among the output of a simulator and the uncertain simulator inputs. In this work, we investigate the connection between these two families of methods. We define four classes of sensitivity measures based on the distance between the empirical copula and the product copula. We discuss the ne...
#1Isadora Antoniano-Villalobos (Ca' Foscari University of Venice)H-Index: 3
#2Emanuele Borgonovo (Bocconi University)H-Index: 26
Last.Xuefei Lu (Bocconi University)H-Index: 1
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Computer experiments are becoming increasingly important in scientific investigations. In the presence of uncertainty, analysts employ probabilistic sensitivity methods to identify the key-drivers of change in the quantities of interest. Simulation complexity, large dimensionality and long running times may force analysts to make statistical inference at small sample sizes. Methods designed to estimate probabilistic sensitivity measures at relatively low computational costs are attracting increa...
#2Emanuele BorgonovoH-Index: 26
Last.Xuefei LuH-Index: 1
view all 3 authors...
Computer experiments are becoming increasingly important in scientific investigations. In the presence of uncertainty, analysts employ probabilistic sensitivity methods to identify the key-drivers of change in the quantities of interest. Simulation complexity, large dimensionality and long running times may force analysts to make statistical inference at small sample sizes. Methods designed to estimate probabilistic sensitivity measures at relatively low computational costs are attracting increa...
#1Emanuele BorgonovoH-Index: 26
#2Stefano CaselliH-Index: 11
view all 5 authors...
The recent work of Owen [SIAM/ASA J. Uncertainty Quantification, 2 (2014), pp. 245--251] has introduced the Shapley value as an importance measure for global sensitivity analysis (Shapley effect, h...
#1Isadora Antoniano-Villalobos (Bocconi University)H-Index: 3
#2Emanuele Borgonovo (Bocconi University)H-Index: 26
Last.Sumeda Nilamani Siriwardena (FAO: Food and Agriculture Organization)H-Index: 1
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In probabilistic risk assessment, attention is often focused on the expected value of a risk metric. The sensitivity of this expectation to changes in the parameters of the distribution characterizing uncertainty in the inputs becomes of interest. Approaches based on differentiation encounter limitations when (i) distributional parameters are expressed in different units or (ii) the analyst wishes to transfer sensitivity insights from individual parameters to parameter groups, when alternating b...
#1Emanuele Borgonovo (Bocconi University)H-Index: 26
#2Alessandra Cillo (Bocconi University)H-Index: 5
Last.Curtis Smith (INL: Idaho National Laboratory)H-Index: 13
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Risk analysts are often concerned with identifying key safety drivers, that is, the systems, structures, and components (SSCs) that matter the most to safety. SSCs importance is assessed both in the design phase (i.e., before a system is built) and in the implementation phase (i.e., when the system has been built) using the same importance measures. However, in a design phase, it would be necessary to appreciate whether the failure/success of a given SSC can cause the overall decision to change ...
#1Emanuele BorgonovoH-Index: 26
#2Stefano CaselliH-Index: 11
Last.Donato MasciandaroH-Index: 24
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The aim of this paper is to analyse the demand of a central bank digital currency (CBDC). Using a financial portfolio approach and assuming that individual preferences and policy votes are consistent, we identify the drivers of the political consensus in favour or against such as new currency. Given three different properties of a currency – where the first two are the standard functions of medium of exchange and store of value and the third one is the less explored function of store of informat...
The functional ANOVA expansion of a multivariate mapping plays a fundamental role in statistics. The expansion is unique once a unique distribution is assigned to the covariates. Recent investigati...
#1Emanuele BorgonovoH-Index: 26
#2Stefano CaselliH-Index: 11
Last.Giovanno RabittiH-Index: 1
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The aim of this paper is to analyze the demand of both traditional and new media of exchange – as cryptocurrencies and central bank digital currencies – proposing a novel specification of the demand for money. In this specification, the medium of payment (MOP) has three properties: the first two are the MOP’s standard functions as a medium of exchange and as a store of value, while the third is a novel function as a store of privacy (anonymity value). The proposed framework is tested using a lab...
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