Prof. Dr. Pasquale Cirillo
Position at the ZHAW
Professor of Data Science.
Machine Learning 1.
Machine Learning using SAS Viya.
Expertise and research interests
Risk theory and management, extreme value theory, applied statistics, machine learning, data analytics, combinatorial stochastic processes, financial mathematics
University teaching qualification for mathematics, Delft University of Technology (2015)
Habilitation in Applied Statistics, University of Bern (2012)
PhD in Statistics, Bocconi University (2008)
Independent statistical consultant for major companies and institutions, in Switzerland and internationally.
Membership of networks
- Finance and Risk Engineering Department, New York University (NYU)
- Makridakis Open Forecasting Center - UNIC
Souto Arias, Luis A.; Cirillo, Pasquale,
Insurance: Mathematics and Economics.
99, pp. 174-189.
Available from: https://doi.org/10.1016/j.insmatheco.2021.04.004
Cirillo, Pasquale; Feller, Anita; Hošek, Martin; Kuehni, Claudia; Lorez, Matthias; Michalopoulou, Eleftheria; Pfeiffer, Verena; Redmond, Shelagh; Roy, Elodie; Rüegger, Thomas; Spycher, Ben; Wagner, Ulrich; Weitkunat, Rolf,
Bundesamt für Statistik (BFS).
Available from: https://www.bfs.admin.ch/bfsstatic/dam/assets/19305696/master
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