Ghossoub, Mario; Saunders, David; Zhang, Kelvin Shuangjian Bounds on Choquet risk measures in finite product spaces with ambiguous marginals. (English) Zbl 07790960 Stat. Risk. Model. 41, No. 1-2, 49-72 (2024). MSC: 91G40 91G70 90C08 49Q22 PDFBibTeX XMLCite \textit{M. Ghossoub} et al., Stat. Risk. Model. 41, No. 1--2, 49--72 (2024; Zbl 07790960) Full Text: DOI arXiv
Ben Hssain, Lhoucine; Berkhouch, Mohammed; Lakhnati, Ghizlane Portfolio selection based on extended Gini shortfall risk measures. (English) Zbl 07790959 Stat. Risk. Model. 41, No. 1-2, 27-48 (2024). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{L. Ben Hssain} et al., Stat. Risk. Model. 41, No. 1--2, 27--48 (2024; Zbl 07790959) Full Text: DOI
Janczura, Joanna; Puć, Andrzej; Bielak, Łukasz; Wyłomańska, Agnieszka Product of Bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors. (English) Zbl 07790958 Stat. Risk. Model. 41, No. 1-2, 1-26 (2024). MSC: 62M10 62H99 91B84 PDFBibTeX XMLCite \textit{J. Janczura} et al., Stat. Risk. Model. 41, No. 1--2, 1--26 (2024; Zbl 07790958) Full Text: DOI arXiv
Coffie, Emmanuel Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation. (English) Zbl 1525.65010 Stat. Risk. Model. 40, No. 3-4, 67-89 (2023). MSC: 65C30 65C05 91G30 91G60 PDFBibTeX XMLCite \textit{E. Coffie}, Stat. Risk. Model. 40, No. 3--4, 67--89 (2023; Zbl 1525.65010) Full Text: DOI arXiv
Omar, Tami; Abdelaziz, Rassoul; Hamid, Ould Rouis A robust estimator of the proportional hazard transform for massive data. (English) Zbl 07740580 Stat. Risk. Model. 40, No. 3-4, 53-65 (2023). MSC: 62E20 62P05 PDFBibTeX XMLCite \textit{T. Omar} et al., Stat. Risk. Model. 40, No. 3--4, 53--65 (2023; Zbl 07740580) Full Text: DOI
Feng, Yichen; Fouque, Jean-Pierre; Hu, Ruimeng; Ichiba, Tomoyuki Systemic risk models for disjoint and overlapping groups with equilibrium strategies. (English) Zbl 1514.91199 Stat. Risk. Model. 40, No. 1-2, 21-51 (2023). Reviewer: John O’Hara (Colchester) MSC: 91G45 91G70 91A80 PDFBibTeX XMLCite \textit{Y. Feng} et al., Stat. Risk. Model. 40, No. 1--2, 21--51 (2023; Zbl 1514.91199) Full Text: DOI arXiv
Moresco, Marlon; Righi, Marcelo Brutti; Horta, Eduardo Minkowski deviation measures. (English) Zbl 1503.91159 Stat. Risk. Model. 40, No. 1-2, 1-19 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{M. Moresco} et al., Stat. Risk. Model. 40, No. 1--2, 1--19 (2023; Zbl 1503.91159) Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. Penalised likelihood methods for phase-type dimension selection. (English) Zbl 1509.60004 Stat. Risk. Model. 39, No. 3-4, 75-92 (2022). MSC: 60-08 62M05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stat. Risk. Model. 39, No. 3--4, 75--92 (2022; Zbl 1509.60004) Full Text: DOI
Malecka, Marta Asymptotic properties of duration-based VaR backtests. (English) Zbl 07612251 Stat. Risk. Model. 39, No. 3-4, 49-73 (2022). MSC: 62E20 62M07 62M10 62P20 91B30 91B70 91B84 PDFBibTeX XMLCite \textit{M. Malecka}, Stat. Risk. Model. 39, No. 3--4, 49--73 (2022; Zbl 07612251) Full Text: DOI
Bäuerle, Nicole; Leimcke, Gregor Bayesian optimal investment and reinsurance with dependent financial and insurance risks. (English) Zbl 1496.91076 Stat. Risk. Model. 39, No. 1-2, 23-47 (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 93E11 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{G. Leimcke}, Stat. Risk. Model. 39, No. 1--2, 23--47 (2022; Zbl 1496.91076) Full Text: DOI arXiv
Kohansal, Akram; Shoaee, Shirin; Nadarajah, Saralees Multi-component stress-strength model for Weibull distribution in progressively censored samples. (English) Zbl 1493.62103 Stat. Risk. Model. 39, No. 1-2, 1-21 (2022). MSC: 62F10 62F15 62N02 PDFBibTeX XMLCite \textit{A. Kohansal} et al., Stat. Risk. Model. 39, No. 1--2, 1--21 (2022; Zbl 1493.62103) Full Text: DOI
Feinstein, Zachary; Rudloff, Birgit Time consistency for scalar multivariate risk measures. (English) Zbl 1481.91224 Stat. Risk. Model. 38, No. 3-4, 71-90 (2022). MSC: 91G70 26E25 PDFBibTeX XMLCite \textit{Z. Feinstein} and \textit{B. Rudloff}, Stat. Risk. Model. 38, No. 3--4, 71--90 (2022; Zbl 1481.91224) Full Text: DOI arXiv
Amarante, Massimiliano Bipolar behavior of submodular, law-invariant capacities. (English) Zbl 1484.91524 Stat. Risk. Model. 38, No. 3-4, 65-70 (2022). MSC: 91G80 28A12 PDFBibTeX XMLCite \textit{M. Amarante}, Stat. Risk. Model. 38, No. 3--4, 65--70 (2022; Zbl 1484.91524) Full Text: DOI
Almanjahie, Ibrahim M.; Bouzebda, Salim; Chikr Elmezouar, Zouaoui; Laksaci, Ali The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors. (English) Zbl 1493.62151 Stat. Risk. Model. 38, No. 3-4, 47-63 (2022). MSC: 62G05 62G08 62G20 62H12 PDFBibTeX XMLCite \textit{I. M. Almanjahie} et al., Stat. Risk. Model. 38, No. 3--4, 47--63 (2022; Zbl 1493.62151) Full Text: DOI
Fissler, Tobias; Ziegel, Johanna F. On the elicitability of range value at risk. (English) Zbl 07454702 Stat. Risk. Model. 38, No. 1-2, 25-46 (2021). MSC: 62C99 62G35 62P05 91G70 PDFBibTeX XMLCite \textit{T. Fissler} and \textit{J. F. Ziegel}, Stat. Risk. Model. 38, No. 1--2, 25--46 (2021; Zbl 07454702) Full Text: DOI arXiv
Comte, Fabienne; Genon-Catalot, Valentine Kernel estimation for Lévy driven stochastic convolutions. (English) Zbl 1493.62160 Stat. Risk. Model. 38, No. 1-2, 1-24 (2021). MSC: 62G05 62M09 60G51 PDFBibTeX XMLCite \textit{F. Comte} and \textit{V. Genon-Catalot}, Stat. Risk. Model. 38, No. 1--2, 1--24 (2021; Zbl 1493.62160) Full Text: DOI HAL
Rahsepar, Massoomeh; Xanthos, Foivos On the extension property of dilatation monotone risk measures. (English) Zbl 1480.91325 Stat. Risk. Model. 37, No. 3-4, 107-119 (2021). MSC: 91G70 46E30 PDFBibTeX XMLCite \textit{M. Rahsepar} and \textit{F. Xanthos}, Stat. Risk. Model. 37, No. 3--4, 107--119 (2021; Zbl 1480.91325) Full Text: DOI arXiv
Engsner, Hampus; Lindskog, Filip Continuous-time limits of multi-period cost-of-capital margins. (English) Zbl 1480.91304 Stat. Risk. Model. 37, No. 3-4, 79-106 (2021). MSC: 91G50 60B12 PDFBibTeX XMLCite \textit{H. Engsner} and \textit{F. Lindskog}, Stat. Risk. Model. 37, No. 3--4, 79--106 (2021; Zbl 1480.91304) Full Text: DOI
Bender, Christian; Thiel, Matthias Arbitrage-free interpolation of call option prices. (English) Zbl 1433.91193 Stat. Risk. Model. 37, No. 1-2, 55-78 (2020). MSC: 91G60 65D05 91G20 PDFBibTeX XMLCite \textit{C. Bender} and \textit{M. Thiel}, Stat. Risk. Model. 37, No. 1--2, 55--78 (2020; Zbl 1433.91193) Full Text: DOI
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane XVA metrics for CCP optimization. (English) Zbl 1459.91211 Stat. Risk. Model. 37, No. 1-2, 25-53 (2020). MSC: 91G40 91G10 60H10 PDFBibTeX XMLCite \textit{C. Albanese} et al., Stat. Risk. Model. 37, No. 1--2, 25--53 (2020; Zbl 1459.91211) Full Text: DOI
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; Schmidt, Thorsten Fair estimation of capital risk allocation. (English) Zbl 1436.62487 Stat. Risk. Model. 37, No. 1-2, 1-24 (2020). MSC: 62P05 62G05 91B05 91G40 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Stat. Risk. Model. 37, No. 1--2, 1--24 (2020; Zbl 1436.62487) Full Text: DOI arXiv
Geiger, Daniel J.; Adekpedjou, Akim On corrected phase-type approximations of the time value of ruin with heavy tails. (English) Zbl 1436.62069 Stat. Risk. Model. 36, No. 1-4, 57-75 (2019). MSC: 62E17 91B05 62P20 PDFBibTeX XMLCite \textit{D. J. Geiger} and \textit{A. Adekpedjou}, Stat. Risk. Model. 36, No. 1--4, 57--75 (2019; Zbl 1436.62069) Full Text: DOI
Bäuerle, Nicole; Chen, An Optimal retirement planning under partial information. (English) Zbl 1437.91385 Stat. Risk. Model. 36, No. 1-4, 37-55 (2019). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G10 60G44 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{A. Chen}, Stat. Risk. Model. 36, No. 1--4, 37--55 (2019; Zbl 1437.91385) Full Text: DOI
Haier, Andreas; Molchanov, Ilya Multivariate risk measures in the non-convex setting. (English) Zbl 1458.91229 Stat. Risk. Model. 36, No. 1-4, 25-35 (2019). Reviewer: Ilya S. Molchanov (Bern) MSC: 91G70 60D05 91G99 PDFBibTeX XMLCite \textit{A. Haier} and \textit{I. Molchanov}, Stat. Risk. Model. 36, No. 1--4, 25--35 (2019; Zbl 1458.91229) Full Text: DOI arXiv Link
Das, Bikramjit; Fasen-Hartmann, Vicky Conditional excess risk measures and multivariate regular variation. (English) Zbl 1434.60085 Stat. Risk. Model. 36, No. 1-4, 1-23 (2019). MSC: 60F10 60G50 60G70 PDFBibTeX XMLCite \textit{B. Das} and \textit{V. Fasen-Hartmann}, Stat. Risk. Model. 36, No. 1--4, 1--23 (2019; Zbl 1434.60085) Full Text: DOI
Ciccarelli, Nicola Semiparametric efficient adaptive estimation of the GJR-GARCH model. (English) Zbl 1408.62145 Stat. Risk. Model. 35, No. 3-4, 141-160 (2018). MSC: 62M10 62F35 62G07 62F12 PDFBibTeX XMLCite \textit{N. Ciccarelli}, Stat. Risk. Model. 35, No. 3--4, 141--160 (2018; Zbl 1408.62145) Full Text: DOI
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Extremes for multivariate expectiles. (English) Zbl 1408.62106 Stat. Risk. Model. 35, No. 3-4, 111-140 (2018). MSC: 62H12 62G32 91G70 PDFBibTeX XMLCite \textit{V. Maume-Deschamps} et al., Stat. Risk. Model. 35, No. 3--4, 111--140 (2018; Zbl 1408.62106) Full Text: DOI
Chen, Ying; Härdle, Wolfgang K.; He, Qiang; Majer, Piotr Risk related brain regions detection and individual risk classification with 3D image FPCA. (English) Zbl 1408.62182 Stat. Risk. Model. 35, No. 3-4, 89-110 (2018). MSC: 62P10 62H35 62H25 92C55 PDFBibTeX XMLCite \textit{Y. Chen} et al., Stat. Risk. Model. 35, No. 3--4, 89--110 (2018; Zbl 1408.62182) Full Text: DOI
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas Optimal expected utility risk measures. (English) Zbl 1377.91168 Stat. Risk. Model. 35, No. 1-2, 73-87 (2018). MSC: 91G70 91B16 PDFBibTeX XMLCite \textit{S. Geissel} et al., Stat. Risk. Model. 35, No. 1--2, 73--87 (2018; Zbl 1377.91168) Full Text: DOI
Damian, Camilla; Eksi, Zehra; Frey, Rüdiger EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. (English) Zbl 1387.60072 Stat. Risk. Model. 35, No. 1-2, 51-72 (2018). MSC: 60G35 62P05 60J22 91G40 PDFBibTeX XMLCite \textit{C. Damian} et al., Stat. Risk. Model. 35, No. 1--2, 51--72 (2018; Zbl 1387.60072) Full Text: DOI Link
Schumacher, Johannes M. Distortion risk measures, ROC curves, and distortion divergence. (English) Zbl 1392.62312 Stat. Risk. Model. 35, No. 1-2, 35-50 (2018). MSC: 62P05 91B30 91G70 PDFBibTeX XMLCite \textit{J. M. Schumacher}, Stat. Risk. Model. 35, No. 1--2, 35--50 (2018; Zbl 1392.62312) Full Text: DOI Link
Ivanov, Roman V. On risk measuring in the variance-gamma model. (English) Zbl 1383.62244 Stat. Risk. Model. 35, No. 1-2, 23-33 (2018). MSC: 62P05 60G51 91G70 PDFBibTeX XMLCite \textit{R. V. Ivanov}, Stat. Risk. Model. 35, No. 1--2, 23--33 (2018; Zbl 1383.62244) Full Text: DOI
Redeker, Imke; Wunderlich, Ralf Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading. (English) Zbl 1377.91151 Stat. Risk. Model. 35, No. 1-2, 1-21 (2018). MSC: 91G10 91G80 93E20 PDFBibTeX XMLCite \textit{I. Redeker} and \textit{R. Wunderlich}, Stat. Risk. Model. 35, No. 1--2, 1--21 (2018; Zbl 1377.91151) Full Text: DOI arXiv
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos On the effect of heterogeneity on flocking behavior and systemic risk. (English) Zbl 1372.60036 Stat. Risk. Model. 34, No. 3-4, 141-155 (2017). MSC: 60F15 60K35 PDFBibTeX XMLCite \textit{F. Fang} et al., Stat. Risk. Model. 34, No. 3--4, 141--155 (2017; Zbl 1372.60036) Full Text: DOI arXiv
Feinstein, Zachary; El-Masri, Fatena The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks. (English) Zbl 1378.91134 Stat. Risk. Model. 34, No. 3-4, 113-139 (2017). MSC: 91G99 90B10 PDFBibTeX XMLCite \textit{Z. Feinstein} and \textit{F. El-Masri}, Stat. Risk. Model. 34, No. 3--4, 113--139 (2017; Zbl 1378.91134) Full Text: DOI arXiv
León-Janampa, José Henry Network analysis and systemic FX settlement risk. (English) Zbl 1415.91335 Stat. Risk. Model. 34, No. 3-4, 91-112 (2017). MSC: 91G99 05C82 62P05 PDFBibTeX XMLCite \textit{J. H. León-Janampa}, Stat. Risk. Model. 34, No. 3--4, 91--112 (2017; Zbl 1415.91335) Full Text: DOI
Cont, Rama (ed.); Gordy, Michael (ed.) Special issue: Monitoring systemic risk: data, models and metrics. (English) Zbl 1372.00071 Stat. Risk. Model. 34, No. 3-4, 89 (2017). MSC: 00B15 00B25 91-06 PDFBibTeX XMLCite \textit{R. Cont} (ed.) and \textit{M. Gordy} (ed.), Stat. Risk. Model. 34, No. 3--4, 89 (2017; Zbl 1372.00071) Full Text: DOI Link
Neuberg, Richard; Hannah, Lauren Loan pricing under estimation risk. (English) Zbl 1409.91267 Stat. Risk. Model. 34, No. 1-2, 69-87 (2017). MSC: 91G40 62F10 62F40 62P05 PDFBibTeX XMLCite \textit{R. Neuberg} and \textit{L. Hannah}, Stat. Risk. Model. 34, No. 1--2, 69--87 (2017; Zbl 1409.91267) Full Text: DOI
Moro, Russ A.; Härdle, Wolfgang K.; Schäfer, Dorothea Company rating with support vector machines. (English) Zbl 1362.62201 Stat. Risk. Model. 34, No. 1-2, 55-67 (2017). MSC: 62P20 62H30 62G08 62P05 PDFBibTeX XMLCite \textit{R. A. Moro} et al., Stat. Risk. Model. 34, No. 1--2, 55--67 (2017; Zbl 1362.62201) Full Text: DOI
Kokoszka, Piotr; Miao, Hong; Zheng, Ben Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. (English) Zbl 1362.62185 Stat. Risk. Model. 34, No. 1-2, 33-53 (2017). MSC: 62P05 62G10 PDFBibTeX XMLCite \textit{P. Kokoszka} et al., Stat. Risk. Model. 34, No. 1--2, 33--53 (2017; Zbl 1362.62185) Full Text: DOI
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony Improved algorithms for computing worst value-at-risk. (English) Zbl 1361.91062 Stat. Risk. Model. 34, No. 1-2, 13-31 (2017). MSC: 91G60 65C60 62P05 91G70 PDFBibTeX XMLCite \textit{M. Hofert} et al., Stat. Risk. Model. 34, No. 1--2, 13--31 (2017; Zbl 1361.91062) Full Text: DOI Link
De Luca, Giovanni; Zuccolotto, Paola A double clustering algorithm for financial time series based on extreme events. (English) Zbl 1362.60051 Stat. Risk. Model. 34, No. 1-2, 1-12 (2017). MSC: 60G70 62M10 PDFBibTeX XMLCite \textit{G. De Luca} and \textit{P. Zuccolotto}, Stat. Risk. Model. 34, No. 1--2, 1--12 (2017; Zbl 1362.60051) Full Text: DOI Link
Guo, Weilong; Minca, Andreea; Wang, Li The topology of overlapping portfolio networks. (English) Zbl 1357.91054 Stat. Risk. Model. 33, No. 3-4, 139-155 (2016). MSC: 91G70 90B15 91G10 62P05 PDFBibTeX XMLCite \textit{W. Guo} et al., Stat. Risk. Model. 33, No. 3--4, 139--155 (2016; Zbl 1357.91054) Full Text: DOI
Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano Leveraging the network: a stress-test framework based on debtrank. (English) Zbl 1414.91436 Stat. Risk. Model. 33, No. 3-4, 117-138 (2016). MSC: 91G99 90B10 05C90 91G70 PDFBibTeX XMLCite \textit{S. Battiston} et al., Stat. Risk. Model. 33, No. 3--4, 117--138 (2016; Zbl 1414.91436) Full Text: DOI arXiv Link
Hauton, Gaël; Héam, Jean-Cyprien How to measure interconnectedness between banks, insurers and financial conglomerates. (English) Zbl 1414.91198 Stat. Risk. Model. 33, No. 3-4, 95-116 (2016). MSC: 91B30 91G70 90B10 PDFBibTeX XMLCite \textit{G. Hauton} and \textit{J.-C. Héam}, Stat. Risk. Model. 33, No. 3--4, 95--116 (2016; Zbl 1414.91198) Full Text: DOI Link
Davis, Mark H. A. Verification of internal risk measure estimates. (English) Zbl 1356.91102 Stat. Risk. Model. 33, No. 3-4, 67-93 (2016). MSC: 91G70 60A05 62P05 PDFBibTeX XMLCite \textit{M. H. A. Davis}, Stat. Risk. Model. 33, No. 3--4, 67--93 (2016; Zbl 1356.91102) Full Text: DOI arXiv
Jakobsons, Edgars Scenario aggregation method for portfolio expectile optimization. (English) Zbl 1346.90575 Stat. Risk. Model. 33, No. 1-2, 51-65 (2016). MSC: 90C05 91G10 62E17 PDFBibTeX XMLCite \textit{E. Jakobsons}, Stat. Risk. Model. 33, No. 1--2, 51--65 (2016; Zbl 1346.90575) Full Text: DOI Link
Eisele, Karl-Theodor; Kupper, Michael Asymptotically stable dynamic risk assessments. (English) Zbl 1347.91168 Stat. Risk. Model. 33, No. 1-2, 41-50 (2016). MSC: 91B30 91B16 60F99 PDFBibTeX XMLCite \textit{K.-T. Eisele} and \textit{M. Kupper}, Stat. Risk. Model. 33, No. 1--2, 41--50 (2016; Zbl 1347.91168) Full Text: DOI Link
Pap, Gyula; Szabó, Tamás T. Change detection in the Cox-Ingersoll-Ross model. (English) Zbl 1347.62181 Stat. Risk. Model. 33, No. 1-2, 21-40 (2016). MSC: 62M02 60J80 60F17 91B70 PDFBibTeX XMLCite \textit{G. Pap} and \textit{T. T. Szabó}, Stat. Risk. Model. 33, No. 1--2, 21--40 (2016; Zbl 1347.62181) Full Text: DOI arXiv
Härdle, Wolfgang Karl; Silyakova, Elena Implied basket correlation dynamics. (English) Zbl 1345.62176 Stat. Risk. Model. 33, No. 1-2, 1-20 (2016). MSC: 62P20 62H25 62H15 62H20 91G70 PDFBibTeX XMLCite \textit{W. K. Härdle} and \textit{E. Silyakova}, Stat. Risk. Model. 33, No. 1--2, 1--20 (2016; Zbl 1345.62176) Full Text: DOI arXiv
Szölgyenyi, Michaela Dividend maximization in a hidden Markov switching model. (English) Zbl 1408.91107 Stat. Risk. Model. 32, No. 3-4, 143-158 (2015). MSC: 91B30 60J28 91B70 93E20 PDFBibTeX XMLCite \textit{M. Szölgyenyi}, Stat. Risk. Model. 32, No. 3--4, 143--158 (2015; Zbl 1408.91107) Full Text: DOI arXiv
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. (English) Zbl 1347.60143 Stat. Risk. Model. 32, No. 3-4, 177-195 (2015). MSC: 60K99 60G57 60G09 60E07 91B30 PDFBibTeX XMLCite \textit{J.-F. Mai} et al., Stat. Risk. Model. 32, No. 3--4, 177--195 (2015; Zbl 1347.60143) Full Text: DOI
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe Exact and approximate hidden Markov chain filters based on discrete observations. (English) Zbl 1339.60040 Stat. Risk. Model. 32, No. 3-4, 159-176 (2015). MSC: 60G35 60J27 60J10 60J65 62M20 60J22 65C20 65C40 94A12 PDFBibTeX XMLCite \textit{N. Bäuerle} et al., Stat. Risk. Model. 32, No. 3--4, 159--176 (2015; Zbl 1339.60040) Full Text: DOI arXiv
Lauer, Alexandra; Zähle, Henryk Nonparametric estimation of risk measures of collective risks. (English) Zbl 1338.60094 Stat. Risk. Model. 32, No. 2, 89-102 (2015). MSC: 60F15 60F05 62G05 62G20 91B30 65C05 PDFBibTeX XMLCite \textit{A. Lauer} and \textit{H. Zähle}, Stat. Risk. Model. 32, No. 2, 89--102 (2015; Zbl 1338.60094) Full Text: DOI arXiv
Laïb, Naâmane; Lemdani, Mohamed; Ould Saïd, Elias A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties. (English) Zbl 1271.62100 Stat. Risk. Model. 30, No. 1, 75-104 (2013). MSC: 62G20 62E20 PDFBibTeX XMLCite \textit{N. Laïb} et al., Stat. Risk. Model. 30, No. 1, 75--104 (2013; Zbl 1271.62100) Full Text: DOI
Györfi, László; Walk, Harro Rate of convergence of the density estimation of regression residual. (English) Zbl 1271.62086 Stat. Risk. Model. 30, No. 1, 55-74 (2013). MSC: 62G08 62G09 PDFBibTeX XMLCite \textit{L. Györfi} and \textit{H. Walk}, Stat. Risk. Model. 30, No. 1, 55--74 (2013; Zbl 1271.62086) Full Text: DOI
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang Properties of hierarchical Archimedean copulas. (English) Zbl 1348.62044 Stat. Risk. Model. 30, No. 1, 21-54 (2013). MSC: 62E15 60E05 62H20 PDFBibTeX XMLCite \textit{O. Okhrin} et al., Stat. Risk. Model. 30, No. 1, 21--54 (2013; Zbl 1348.62044) Full Text: DOI
Gapeev, Pavel V.; Rodosthenous, Neofytos Perpetual American options in a diffusion model with piecewise-linear coefficients. (English) Zbl 1267.91069 Stat. Risk. Model. 30, No. 1, 1-21 (2013). MSC: 91G20 60G40 34K10 91B70 60J60 60J65 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{N. Rodosthenous}, Stat. Risk. Model. 30, No. 1, 1--21 (2013; Zbl 1267.91069) Full Text: DOI
Strasser, Helmut Asymptotic expansions for conditional moments of Bernoulli trials. (English) Zbl 1255.60038 Stat. Risk. Model. 29, No. 4, 327-343 (2012). MSC: 60F05 62E20 PDFBibTeX XMLCite \textit{H. Strasser}, Stat. Risk. Model. 29, No. 4, 327--343 (2012; Zbl 1255.60038) Full Text: DOI Link
Strasser, Helmut The covariance structure of cml-estimates in the Rasch model. (English) Zbl 1318.62080 Stat. Risk. Model. 29, No. 4, 315-342 (2012). MSC: 62F12 62P15 PDFBibTeX XMLCite \textit{H. Strasser}, Stat. Risk. Model. 29, No. 4, 315--342 (2012; Zbl 1318.62080) Full Text: DOI Link
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. (English) Zbl 1252.62106 Stat. Risk. Model. 29, No. 4, 281-314 (2012). MSC: 62P05 62H12 62F25 91G10 91G70 62H10 62H15 PDFBibTeX XMLCite \textit{T. Bodnar} et al., Stat. Risk. Model. 29, No. 4, 281--314 (2012; Zbl 1252.62106) Full Text: DOI
Ziehaus, Christina A note on optimal consumption and investment in a geometric Ornstein-Uhlenbeck market. (English) Zbl 1246.91146 Stat. Risk. Model. 29, No. 3, 269-280 (2012). MSC: 91G50 PDFBibTeX XMLCite \textit{C. Ziehaus}, Stat. Risk. Model. 29, No. 3, 269--280 (2012; Zbl 1246.91146) Full Text: DOI
Bäuerle, Nicole; Schmock, Uwe Dependence properties of dynamic credit risk models. (English) Zbl 1246.91141 Stat. Risk. Model. 29, No. 3, 243-268 (2012); erratum ibid. 29, No. 4, 345-346 (2012). MSC: 91G40 60E15 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{U. Schmock}, Stat. Risk. Model. 29, No. 3, 243--268 (2012; Zbl 1246.91141) Full Text: DOI Link
Marteau, Clément; Loubes, Jean-Michel Adaptive estimation for an inverse regression model with unknown operator. (English) Zbl 1318.62117 Stat. Risk. Model. 29, No. 3, 215-242 (2012). MSC: 62G05 62G20 PDFBibTeX XMLCite \textit{C. Marteau} and \textit{J.-M. Loubes}, Stat. Risk. Model. 29, No. 3, 215--242 (2012; Zbl 1318.62117) Full Text: DOI
Chouaf, Abdelhak; Laksaci, Ali On the functional local linear estimate for spatial regression. (English) Zbl 1252.62095 Stat. Risk. Model. 29, No. 3, 189-214 (2012). MSC: 62M30 62M10 62P12 62G20 PDFBibTeX XMLCite \textit{A. Chouaf} and \textit{A. Laksaci}, Stat. Risk. Model. 29, No. 3, 189--214 (2012; Zbl 1252.62095) Full Text: DOI
Mainik, Georg; Rüschendorf, Ludger Ordering of multivariate risk models with respect to extreme portfolio losses. (English) Zbl 1235.91098 Stat. Risk. Model. 29, No. 1, 73-105 (2012). MSC: 91B30 62H05 60E15 62G32 PDFBibTeX XMLCite \textit{G. Mainik} and \textit{L. Rüschendorf}, Stat. Risk. Model. 29, No. 1, 73--105 (2012; Zbl 1235.91098) Full Text: DOI
Cénac, P.; Maume-Deschamps, V.; Prieur, C. Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. (English) Zbl 1234.91004 Stat. Risk. Model. 29, No. 1, 47-71 (2012). MSC: 91B30 62L20 62H12 90C15 PDFBibTeX XMLCite \textit{P. Cénac} et al., Stat. Risk. Model. 29, No. 1, 47--71 (2012; Zbl 1234.91004) Full Text: DOI
Biau, Gérard; Mas, André PCA-kernel estimation. (English) Zbl 1234.62091 Stat. Risk. Model. 29, No. 1, 19-46 (2012). MSC: 62H25 62G07 62G08 62G20 PDFBibTeX XMLCite \textit{G. Biau} and \textit{A. Mas}, Stat. Risk. Model. 29, No. 1, 19--46 (2012; Zbl 1234.62091) Full Text: DOI arXiv HAL
Kovacevic, Raimund M. Conditional risk and acceptability mappings as Banach-lattice valued mappings. (English) Zbl 1238.91084 Stat. Risk. Model. 29, No. 1, 1-18 (2012). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 91G80 PDFBibTeX XMLCite \textit{R. M. Kovacevic}, Stat. Risk. Model. 29, No. 1, 1--18 (2012; Zbl 1238.91084) Full Text: DOI
Autin, Florent; Pouet, Christophe Test on components of mixture densities. (English) Zbl 1228.62054 Stat. Risk. Model. 28, No. 4, 389-410 (2011). MSC: 62G10 42C40 62G20 62H15 62C20 PDFBibTeX XMLCite \textit{F. Autin} and \textit{C. Pouet}, Stat. Risk. Model. 28, No. 4, 389--410 (2011; Zbl 1228.62054) Full Text: DOI
Heinrich, Lothar; Klein, Stella Central limit theorem for the integrated squared error of the empirical second-order product density and goodness-of-fit tests for stationary point processes. (English) Zbl 1277.60085 Stat. Risk. Model. 28, No. 4, 359-387 (2011). MSC: 60G55 60F05 62G10 62G20 PDFBibTeX XMLCite \textit{L. Heinrich} and \textit{S. Klein}, Stat. Risk. Model. 28, No. 4, 359--387 (2011; Zbl 1277.60085) Full Text: DOI Link
Schnurr, Alexander; Woerner, Jeannette H. C. Well-balanced Lévy driven Ornstein-Uhlenbeck processes. (English) Zbl 1235.60014 Stat. Risk. Model. 28, No. 4, 343-357 (2011). Reviewer: Ion C. Vladimirescu (Craiova) MSC: 60E10 60E07 91G80 PDFBibTeX XMLCite \textit{A. Schnurr} and \textit{J. H. C. Woerner}, Stat. Risk. Model. 28, No. 4, 343--357 (2011; Zbl 1235.60014) Full Text: DOI arXiv
Bodnar, Taras; Schmid, Wolfgang On the exact distribution of the estimated expected utility portfolio weights: theory and applications. (English) Zbl 1229.91352 Stat. Risk. Model. 28, No. 4, 319-342 (2011). MSC: 91G70 91G10 91B16 62P05 PDFBibTeX XMLCite \textit{T. Bodnar} and \textit{W. Schmid}, Stat. Risk. Model. 28, No. 4, 319--342 (2011; Zbl 1229.91352) Full Text: DOI
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas Risk margin for a non-life insurance run-off. (English) Zbl 1229.91168 Stat. Risk. Model. 28, No. 4, 299-317 (2011). MSC: 91B30 91G50 62P05 PDFBibTeX XMLCite \textit{M. V. Wüthrich} et al., Stat. Risk. Model. 28, No. 4, 299--317 (2011; Zbl 1229.91168) Full Text: DOI Link
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz Multivariate log-concave distributions as a nearly parametric model. (English) Zbl 1245.62060 Stat. Risk. Model. 28, No. 3, 277-295 (2011). Reviewer: Fabrizio Durante (Bozen-Bolzano) MSC: 62H05 62H10 60E15 62E20 PDFBibTeX XMLCite \textit{D. Schuhmacher} et al., Stat. Risk. Model. 28, No. 3, 277--295 (2011; Zbl 1245.62060) Full Text: DOI arXiv Link
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan Optimal dividend-payout in random discrete time. (English) Zbl 1233.91139 Stat. Risk. Model. 28, No. 3, 251-276 (2011). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 93E20 60K10 60J05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stat. Risk. Model. 28, No. 3, 251--276 (2011; Zbl 1233.91139) Full Text: DOI Link
Zhitlukhin, Mikhail V.; Shiryaev, Albert A Bayesian sequential testing problem of three hypotheses for Brownian motion. (English) Zbl 1228.62101 Stat. Risk. Model. 28, No. 3, 227-249 (2011). MSC: 62L10 62F15 62M02 62L15 PDFBibTeX XMLCite \textit{M. V. Zhitlukhin} and \textit{A. Shiryaev}, Stat. Risk. Model. 28, No. 3, 227--249 (2011; Zbl 1228.62101) Full Text: DOI
Ekeland, Ivar; Schachermayer, Walter Law invariant risk measures on \(L^\infty(\mathbb R^d)\). (English) Zbl 1232.91345 Stat. Risk. Model. 28, No. 3, 195-225 (2011). MSC: 91B30 49N15 PDFBibTeX XMLCite \textit{I. Ekeland} and \textit{W. Schachermayer}, Stat. Risk. Model. 28, No. 3, 195--225 (2011; Zbl 1232.91345) Full Text: DOI