Research | Pasquale Cirillo The Logic of Risk

What do I like to study?

My research interests lie at the intersection of probability, statistics, machine learning and risk theory. Extreme values, tail risk and small probability events are my daily bread.

An important field of application of my studies is quantitative risk management. For instance, I like to work with credit risk (PD, LGD, CVA, recovery processes), operational losses and dependence modeling. My approach combines tools from extreme value theory, inequality studies, distortion measures and machine learning.

Since my PhD studies, I have been investigating combinatorial stochastic processes, and urn models in particular, studying their properties, and applying them to very different fields, from fatigue analysis to risk management. Using urns, I have worked on alarm systems, as well as on alternative machine learning approaches.

Over the years I have also performed several empirical analyses, from the study of size distributions in industrial dynamics, to the tail risk of armed conflicts and the distribution of war casualties. More details can be found in my publications here below.

Publications

For my recent working papers, you can visit my SSRN page.

Peer-reviewed papers

L. Souto, P. Cirillo, C. Oosterlee (2025). The Heston-Queue-Hawkes Process: A New Self-Exciting Jump-Diffusion Model for Options Pricing, and an Extension of the COS Method for Discrete Distributions. Journal of Computational and Applied Mathematics 454, 116177.
J R. Montana, L. Souto, P. Cirillo, C. Oosterlee (2024). Quantum Majorization in Market Crashes. Risks 12(12), 204.
P. Carr, P. Cirillo (2024). A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. Royal Society Open Science 11, 231690.
L. Souto, C. Oosterlee, P. Cirillo (2023). AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm. Pattern Recognition 141, 109607.
L. Souto, P. Cirillo, C. Oosterlee (2023). Estimation of reinforced urn processes under left-truncation and right-censoring. Royal Society Open Science 10, 221223.
F. Petropoulos,...,P. Cirillo et al. (2022). Forecasting: theory and practice. International Journal of Forecasting. Doi: 10.1016/j.ijforecast.2021.11.001.
L. Souto, P. Cirillo (2021). Joint and survivor annuity valuation with a bivariate reinforced urn process. Insurance:Mathematics and Economics 99, 174-189.
N.N. Taleb, Y. Bar-Yam, P. Cirillo (2020). On single point forecasts for fat-tailed variables. International Journal of Forecasting, Doi: 10.1016/j.ijforecast.2020.08.008.
A. Fontanari, P. Cirillo, C. Oosterlee (2020). Lorenz-Generated Bivariate Archimedean Copulas. Dependence Modeling 8, 186-209.
P. Cirillo, N.N. Taleb (2020). Tail risk of contagious diseases. Nature Physics 16, 606-613
A. Fontanari, P. Cirillo, I. Eliazar, C. Oosterlee (2020). Portfolio risk and the quantum majorization of correlation matrices. IMA Journal of Management Mathematics, dpaa011.
M. Bonetti, P. Cirillo, A. Ogay (2019). Computing the exact distributions of some functions of the ordered multinomial counts: maximum, minimum, range and sums of order statistics. Royal Society Open Science 6, 190198
D. Chen, P. Cirillo (2019). An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages. Risks 7(3), 76
D. Chen, P. Cirillo (2018). A reinforced urn process modeling of recovery rates and recovery times. Journal of Banking and Finance 96, 1-17
A. Fontanari, P. Cirillo, C. Oosterlee (2018). From concentration profiles to concentration maps. New tools for the study of loss distributions. Insurance: Mathematics and Economics 78, 13-29
A. Fontanari, N.N. Taleb, P. Cirillo (2018). Gini estimation under infinite variance. Physica A: Statistical Mechanics and its Applications 502, 256-269
P. Cirillo, N.N. Taleb (2016). Expected shortfall estimation for apparently infinite-mean models of operational risk. Quantitative Finance 16, 1485-1494
M. Bonetti, P. Cirillo, P. Musile Tanzi, E. Trinchero (2016). An analysis of the number of medical malpractice claims and their amounts. PLOS One 0153362
P. Cirillo, N.N. Taleb (2016). What are the chances of war? Significance 13(2), 44-45
P. Cirillo, N.N. Taleb (2016). On the statistical properties and tail risk of violent conflicts. Physica A: Statistical Mechanics and its Applications 452, 29-45
P. Cirillo, F. Redig, W. Ruszel (2014). Duality and stationary distributions of wealth distribution models. Journal of Physics A: Mathematical and Theoretical 47, 085203
P. Cirillo, J. Hüsler, P. Muliere (2013). Alarm systems and catastrophes from a diverse point of view. Methodology and Computing in Applied Probability 15, 821-839
P. Cirillo (2013). Are your data really Pareto distributed? Physica A: Statistical Mechanics and its Applications 392, 5947-5962
P. Cirillo, P. Muliere (2013). An urn-based Bayesian block bootstrap. Metrika 76, 93-106
P. Cirillo, M. Gallegati, J. Hüsler (2012). A Polya lattice model to study leverage dynamics and contagious financial fragility. Advances in Complex Systems 15, 1250069
P. Cirillo, J. Hüsler (2012). A Polya model for cascading failures on a lattice. Probability in Engineering and Informational Sciences 26, 509-534
P. Cirillo, G. Tedeschi, M. Gallegati (2012). The Boulogne fish market: the social structure and the role of loyalty. Applied Economics Letters 19, 1075-1079
P. Cirillo, M. Gallegati (2011). The empirical validation of an agent-based model. Eastern Economic Journal 38, 525–547
P. Cirillo, P. Vagliasindi, C. Bianchi, G. Bruno (2011). New insights on the size distribution of Italian firms. Giornale degli Economisti - Italian Journal of Economics 70, 59-91
P. Cirillo, J. Hüsler (2011). Generalized extreme shock models with a possibly increasing threshold. Probability in the Engineering and Informational Sciences 29, 1-16
P. Cirillo (2010). An analysis of the size distribution of Italian firms by age. Physica A: Statistical Mechanics and its Applications 389, 459-466
P. Cirillo, J. Hüsler (2010). Extreme shock models: an alternative perspective. Statistics and Probability Letters 81, 25-30
P. Cirillo, J. Hüsler, P. Muliere (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
P. Cirillo, J. Hüsler (2009). An urn approach to generalized extreme shock models. Statistics and Probability Letters 79, 969-976
P. Cirillo, J. Hüsler (2009). On the upper tail of Italian firms’ size distribution. Physica A: Statistical Mechanics and its Applications 388, 1546-1554
P. Cirillo (2009). Some Evidence about the evolution of the size distribution of Italian firms by age. Economics Bulletin 29(3), 1727-1734
C. Bianchi, P. Cirillo, M. Gallegati, P.A. Vagliasindi (2008). Validation in agent-based models: an investigation on the C@S model. Journal of Economic Behavior and Organization 67, 947-964
C. Bianchi, P. Cirillo, M. Gallegati, P.A. Vagliasindi (2007). Validating and calibrating agent- based models: a case study. Computational Economics 30, 245-264
P.A. Vagliasindi, G. Verga, P. Cirillo (2006). Mercato del credito e imprese in un modello con agenti interagenti. Rivista Internazionale di Scienze Sociali 3, 459-490 (in Italian)

Books and chapters in books

D. Delli Gatti, S. Desiderio, E. Gaffeo, P. Cirillo, M. Gallegati (2011). Macroeconomics from the bottom up. Springer
N.N. Taleb, P. Cirillo (2019). The decline of violent conflicts: what do the data really say? In: The Causes of Peace, A. Toje, and B.N.V. Steen (eds). The Norwegian Nobel Institute, 57-86
N.N. Taleb, P. Cirillo (2018). On the Shadow Moments of Apparently Infinite-Mean Phenomena. In: Unifying Themes in Complex Systems IX, A. Morales, C. Gershenson, D. Braha, A. Minai, and Y. Bar-Yam (eds). Springer
P. Cirillo, J. Hüsler (2011). Shock models for defaults: parametric and nonparametric approaches. In: Nonparametric Statistics and Mixture Models, D. Hunter, J. Rosenberger, and D. Richards (eds). World Scientific Press, 90-113

Others

P. Cirillo et al. (2021). Schweizerischer Krebsbericht 2021. Bundesamt für Statistik. ISBN: 978-3-303-14333-9
N.N. Taleb, P. Cirillo (2016). World War III: the final exchange. Significance, Letters, 13(6), 46
P. Cirillo (2011). Book Review of Aoyama et al. (2010), Econophysics and Companies, Cambridge University Press. The American Statistician 65 (4), 286

Academic Grants