VALERIA BIGNOZZI

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Statistica Corso Base, Economia e Finanza, Canale A-D

DATI DI CONTATTO
Indirizzo: Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza, Sapienza Università di Roma,
Via del Castro Laurenziano 9, 00161, Roma, Italia
Email: valeria.bignozzi@uniroma1.it
FORMAZIONE
2008–2012 PhD in Scienze Attuariali e Assicurative, Cass Business School, City University London, Regno Unito
2005–2008 Laurea Magistrale (con Lode) in Matematica Applicata, Sapienza Università di Roma, Italia
2001–2005 Laurea Triennale (con Lode) in Matematica, Sapienza Università di Roma, Italia
ESPERIENZA PROFESSIONALE
2025–presente Professore Associato di Statistica, Sapienza Università di Roma, Italia
2020–2025 Professore Associato di Metodi Matematici dell’Economia, della Finanza e delle Scienze Attuariali, Università di Milano-Bicocca, Italia
2016–2020 Ricercatore Senior, Dipartimento di Statistica e Metodi Quantitativi, Università di Milano-Bicocca, Italia
2015–2016 Assegnista di ricerca, Sapienza Università di Roma, Italia
2014–2015 Assegnista di ricerca, Università di Firenze, Italia
2013–2014 Assegnista di ricerca, RiskLab, ETH Zurigo, Svizzera
PREMI E RICONOSCIMENTI
Casualty Actuarial Society Honorable Mention (2017), conferito dall’American Risk and Insurance Association per l’articolo Bignozzi and Tsanakas (2016) “Parameter Uncertainty and Residual Estimation Risk”
Premio della Fondazione Dimitris N. Chorafas per la tesi di dottorato (2012)
Premio per il miglior contributo alla conferenza, 6th Conference in Actuarial Science and Finance, Samos, Grecia (2010)
ATTIVITÀ EDITORIALE E DI REFERAGGIO
Revisore per riviste scientifiche, tra cui:
Decisions in Economics and Finance, Quantitative Finance, Astin Bulletin, Journal of Mathematical Analysis and Applications, Applied Stochastic Models in Business and Industry, Stochastics and Risk Modeling, Insurance: Mathematics and Economics, The European Journal of Finance, Scandinavian Actuarial Journal, Mathematics and Financial Economics, Annals of Operations Research, Operations Research Letters, Mathematical Finance, Risks, Methodology and Computing in Applied Probability, European Journal of Operational Research, Dependence Modeling

CONTACT DETAILS
ADDRESS: Department of Methods and Models for Economics, Territory and Finance, Sapienza University of Rome, Via del Castro Laurenziano 9, 00161, Rome, Italy, valeria.bignozzi@uniroma1.it

EDUCATION
2008-2012 PhD Actuarial Science and Insurance, Cass Business School, City University London, UK
2005-2008 MSc (Distinction) in Applied Mathematics, Sapienza University of Rome, Italy
2001-2005 BSc (Distinction) in Mathematics, Sapienza University of Rome, Italy

EMPLOYMENT HISTORY
2025-present Associate Professor of Statistics, Sapienza University of Rome, Italy
2020-2025 Associate Professor of Mathematical methods of economics, finance and actuarial sciences, University of Milano-Bicocca, Italy
2016-2020 Senior researcher. Dept. Statistics and Quantitative Methods, University of Milano-Bicocca, Italy
2015-2016 Postdoc position, Sapienza University of Rome, Italy
2014-2015 Postdoc position, University of Florence, Italy
2013-2014 Postdoc position, RiskLab, ETH Zurich, Switzerland

AWARDS
Casualty Actuarial Society Honorable Mention (2017) awarded by the American Risk and Insurance Association for the paper Bignozzi and Tsanakas (2016) ‘Parameter Uncertainty and Residual Estimation Risk’
Dimitris N. Chorafas foundation award for the PhD Thesis (2012)
Award for best contribution to the conference, 6th Conference in Actuarial Science and Finance in Samos, Greece (2010)

EDITORIAL AND REVIEWING ACTIVITY
Reviewer for journals including: Decisions in Economics and Finance, Quantitative Finance, Astin Bulletin; Journal of Mathematical Analysis and Applications; Applied Stochastic Models in Business and Industry, Stochastics and Risk Modeling; Insurance: Mathematics and Economics; The European Journal of Finance; Scandinavian Actuarial Journal; Mathematics and Financial Economics; Annals of Operations Research; Operations Research Letters, Mathematical Finance, Risks, Methodology and Computing in Applied Probability, European Journal of Operational Research, Dependence Modeling

ESPERIENZA LAVORATIVA
2025-present Professore Associato in Statistica, Università di Roma Sapienza, Italia
2020–2025 – Professore Associato in Metodi matematici per l’economia, la finanza e le scienze attuariali, Università degli Studi di Milano-Bicocca, Italia
2016–2020 – Ricercatore senior, Dipartimento di Statistica e Metodi Quantitativi, Università degli Studi di Milano-Bicocca, Italia
2015–2016 – Assegnista di ricerca, Università “La Sapienza” di Roma, Italia
2014–2015 – Assegnista di ricerca, Università di Firenze, Italia
2013–2014 – Assegnista di ricerca, RiskLab, ETH Zurigo, Svizzera

FORMAZIONE

2008–2012 – Dottorato di Ricerca in Scienze Attuariali e Assicurative, Cass Business School, City University London, Regno Unito
2005–2008 – Laurea Magistrale con lode in Matematica Applicata, Università “La Sapienza” di Roma, Italia
2001–2005 – Laurea Triennale con lode in Matematica, Università “La Sapienza” di Roma, Italia

PREMI

Casualty Actuarial Society Honorable Mention (2017), conferito dall’American Risk and Insurance Association per l’articolo Bignozzi e Tsanakas (2016) “Parameter Uncertainty and Residual Estimation Risk”

Premio della Fondazione Dimitris N. Chorafas per la tesi di dottorato (2012)

Premio per il miglior contributo alla conferenza, 6ª Conferenza di Scienze Attuariali e Finanza, Samos, Grecia (2010)

ATTIVITÀ EDITORIALE E DI REFERAGGIO

Revisore per riviste tra cui: Decisions in Economics and Finance, Quantitative Finance, Astin Bulletin, Journal of Mathematical Analysis and Applications, Applied Stochastic Models in Business and Industry, Stochastics and Risk Modeling, Insurance: Mathematics and Economics, The European Journal of Finance, Scandinavian Actuarial Journal, Mathematics and Financial Economics, Annals of Operations Research, Operations Research Letters, Mathematical Finance, Risks, Methodology and Computing in Applied Probability, European Journal of Operational Research, Dependence Modeling.

PUBBLICAZIONI

Articoli su riviste scientifiche

V. Bignozzi e C. De Vecchi. Risk bounds under tail uncertainty. Decisions in Economics and Finance, online, 1–35, 2025

V. Bignozzi, L. Merlo e L. Petrella. Inter-order relations between equivalence for Lp-quantiles of the Student t distribution. Insurance Math. Econ., 116, 44–50, 2024

K. Barigou, V. Bignozzi e A. Tsanakas. Insurance valuation: a two-step generalised regression approach. Astin Bulletin, 52, 211–245, 2022

V. Bignozzi, C. Macci e L. Petrella. Large deviations for method-of-quantiles estimators of one-dimensional parameters. Comm. Statist. Theory Methods, 49, 1132–1157, 2020

V. Bignozzi, M. Burzoni e C. Munari. Risk measures based on benchmark loss distributions. Journal of Risk and Insurance, 87, 437–475, 2020

F. Bellini, V. Bignozzi e G. Puccetti. Conditional expectiles, time consistency and mixture convexity properties. Insurance Math. Econ., 82, 117–123, 2018

V. Bignozzi, C. Macci e L. Petrella. Large deviations for risk measures in finite mixture models. Insurance Math. Econ., 80, 84–90, 2018

A. V. Asimit, V. Bignozzi, K. C. Cheung, J. Hu e E.-S. Kim. Robust and Pareto optimality of insurance contracts. European J. Oper. Res., 262(2), 720–732, 2017

M. Bernardi, V. Bignozzi e L. Petrella. On the Lp-quantiles for the Student t distribution. Statist. Probab. Lett., 128, 77–83, 2017

V. Bignozzi, A. Tsanakas. Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), 949–978, 2016

V. Bignozzi. On the Lp-quantiles and the Student t distribution. Atti della 48ª Riunione Scientifica della Società Italiana di Statistica, ISBN: 9788861970618, 2016

V. Bignozzi, T. Mao, B. Wang e R. Wang. Diversification limit of quantiles under dependence uncertainty. Extremes 19(2), 143–170, 2016

V. Bignozzi e A. Tsanakas. Model uncertainty in risk capital measurement. The Journal of Risk 18(3), 1–24, 2016

F. Delbaen, F. Bellini, V. Bignozzi e J. Ziegel. Risk Measures with CxLS. Finance Stoch., 20(2), 433–453, 2016

V. Bignozzi, G. Puccetti e L. Rüschendorf. Reducing model risk using positive and negative dependence assumptions. Insurance Math. Econ., 61(1), 17–26, 2015

R. Wang, V. Bignozzi e A. Tsanakas. How superadditive can a risk measure be? SIAM J. Finan. Math., 6(1), 776–803, 2015

F. Bellini e V. Bignozzi. On Elicitable Risk Measures. Quant. Finance, 15(5), 725–733, 2015

V. Bignozzi e G. Puccetti. Studying mixability with supermodular aggregating functions. Statist. Probab. Lett., 100, 48–55, 2015

V. Bignozzi. Open problems in risk aggregation under dependence modelling. Oberwolfach Report (OBW) No. 20/2015, DOI: 10.4171/OWR/2015/20