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Statistics & Risk Modeling

With Applications in Finance and Insurance

Short Title: Stat. Risk. Model.
Publisher: De Gruyter (Oldenbourg), München
ISSN: 2193-1402; 2196-7040/e
Online: http://www.degruyter.com/view/j/strm
Predecessor: Statistics & Decisions
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 119 Publications (since 2011)
References Indexed: 78 Publications with 2,131 References.
all top 5

Authors

6 Bäuerle, Nicole
4 Härdle, Wolfgang Karl
3 Cont, Rama
3 Okhrin, Ostap
3 Rüschendorf, Ludger
3 Schmid, Wolfgang
2 Albrecher, Hansjörg
2 Bodnar, Taras
2 Feinstein, Zachary
2 Grigorova, Miryana
2 Laksaci, Ali
2 Mai, Jan-Frederik
2 Mainik, Georg
2 Maume-Deschamps, Véronique
2 Minca, Andreea
2 Okhrin, Yarema
2 Scherer, Matthias
2 Schmock, Uwe
2 Schumacher, Johannes M.
2 Strasser, Helmut
2 Sulem, Agnès
2 Zähle, Henryk
1 Abdelaziz, Rassoul
1 Adekpedjou, Akim
1 Aguilar, Erick Treviño
1 Aitkin, Murray A.
1 Albanese, Claudio
1 Almanjahie, Ibrahim Mufrah
1 Amarante, Massimiliano
1 Armenti, Yannick
1 Autin, Florent
1 Barski, Michał
1 Battiston, Stefano
1 Ben Hssain, Lhoucine
1 Bender, Christian
1 Berkhouch, Mohammed
1 Bernardi, Enrico
1 Biau, Gérard
1 Bielak, Łukasz
1 Bielecki, Tomasz R.
1 Bladt, Martin
1 Bouezmarni, Taoufik
1 Bouzebda, Salim
1 Brechmann, Eike Christian
1 Bubeliny, Peter
1 Bücher, Axel
1 Burkschat, Marco
1 Caldarelli, Guido
1 Cénac, Peggy
1 Chen, An
1 Chen, Fuqi
1 Chen, Xi
1 Chen, Ying
1 Chikr Elmezouar, Zouaoui
1 Chouaf, Abdelhak
1 Christensen, Soren
1 Christiansen, Marcus Christian
1 Cialenco, Igor
1 Ciccarelli, Nicola
1 Coffie, Emmanuel
1 Comte, Fabienne
1 Crepey, Stephane
1 Czado, Claudia
1 Damian, Camilla
1 Das, Bikramjit
1 Davis, Mark Herbert Ainsworth
1 De Luca, Giovanni
1 Deguest, Romain
1 D’errico, Marco
1 Didi, Sultana
1 Dümbgen, Lutz
1 Eisele, Karl-Theodor
1 Ekeland, Ivar
1 Eksi, Zehra
1 El Ghouch, Anouar
1 El-Masri, Fatena
1 Embrechts, Paul
1 Engsner, Hampus
1 Eubank, Randy L.
1 Fang, Fei
1 Fasen-Hartmann, Vicky
1 Fasen, Vicky
1 Feng, Yichen
1 Fissler, Tobias
1 Föllmer, Hans
1 Fouque, Jean-Pierre
1 Frey, Rüdiger
1 Frittelli, Marco
1 Gapeev, Pavel V.
1 Geiger, Daniel J.
1 Geissel, Sebastian
1 Gelman, Andrew
1 Genon-Catalot, Valentine
1 Ghossoub, Mario
1 Gilitschenski, Igor
1 Gordy, Michael B.
1 Guo, Weilong
1 Gurciullo, Stefano
1 Györfi, László
1 Haier, Andreas
...and 125 more Authors

Publications by Year

Citations contained in zbMATH Open

87 Publications have been cited 473 times in 448 Documents Cited by Year
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
32
2014
Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50. Zbl 1429.62462
Brechmann, Eike Christian; Czado, Claudia
30
2013
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
23
2011
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
19
2013
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
17
2013
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
17
2014
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
16
2011
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
14
2014
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
12
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
11
2011
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
11
2012
Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz
10
2011
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
10
2016
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks. Zbl 1378.91134
Feinstein, Zachary; El-Masri, Fatena
10
2017
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano
9
2016
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
8
2011
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
8
2016
Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc
8
2015
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
8
2012
Central limit theorem for the integrated squared error of the empirical second-order product density and goodness-of-fit tests for stationary point processes. Zbl 1277.60085
Heinrich, Lothar; Klein, Stella
7
2011
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
7
2014
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
7
2014
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
6
2011
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
6
2014
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
6
2015
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
6
2013
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
5
2012
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
5
2014
EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. Zbl 1387.60072
Damian, Camilla; Eksi, Zehra; Frey, Rüdiger
5
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas
5
2018
On the elicitability of range value at risk. Zbl 07454702
Fissler, Tobias; Ziegel, Johanna F.
5
2021
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
5
2020
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
5
2014
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
4
2012
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
4
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
4
2012
A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051
De Luca, Giovanni; Zuccolotto, Paola
4
2017
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
4
2017
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
4
2015
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
4
2012
The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors. Zbl 1493.62151
Almanjahie, Ibrahim M.; Bouzebda, Salim; Chikr Elmezouar, Zouaoui; Laksaci, Ali
4
2022
Optimal retirement planning under partial information. Zbl 1437.91385
Bäuerle, Nicole; Chen, An
4
2019
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
4
2013
On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352
Bodnar, Taras; Schmid, Wolfgang
3
2011
Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Zbl 1234.91004
Cénac, P.; Maume-Deschamps, V.; Prieur, C.
3
2012
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
3
2018
Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084
Koch-Medina, Pablo; Munari, Cosimo
3
2014
Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083
Kiesel, Swen; Rüschendorf, Ludger
3
2014
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
3
2015
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
3
2015
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
3
2016
The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224
Shimizu, Kenichi
3
2013
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
3
2012
Penalised likelihood methods for phase-type dimension selection. Zbl 1509.60004
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A.
3
2022
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
3
2018
A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216
Bücher, Axel
2
2014
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
2
2017
Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading. Zbl 1377.91151
Redeker, Imke; Wunderlich, Ralf
2
2018
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2
2015
Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. Zbl 1362.62185
Kokoszka, Piotr; Miao, Hong; Zheng, Ben
2
2017
On the extension property of dilatation monotone risk measures. Zbl 1480.91325
Rahsepar, Massoomeh; Xanthos, Foivos
2
2021
American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050
Christensen, Sören; Irle, Albrecht
2
2013
Membership conditions for consistent families of monetary valuations. Zbl 1277.91096
Roorda, Berend; Schumacher, Johannes M.
2
2013
Time consistency for scalar multivariate risk measures. Zbl 1481.91224
Feinstein, Zachary; Rudloff, Birgit
2
2022
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
2
2019
Time consistency of multi-period distortion measures. Zbl 1470.91329
Fasen, Vicky; Svejda, Adela
2
2012
Dynamic structured copula models. Zbl 1279.62185
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema
2
2013
Adaptive estimation for an inverse regression model with unknown operator. Zbl 1318.62117
Marteau, Clément; Loubes, Jean-Michel
1
2012
Time-consistency of risk measures with GARCH volatilities and their estimation. Zbl 1351.60068
Klüppelberg, Claudia; Zhang, Jianing
1
2015
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
1
2015
Company rating with support vector machines. Zbl 1362.62201
Moro, Russ A.; Härdle, Wolfgang K.; Schäfer, Dorothea
1
2017
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
2015
Continuous-time limits of multi-period cost-of-capital margins. Zbl 1480.91304
Engsner, Hampus; Lindskog, Filip
1
2021
Bayesian optimal investment and reinsurance with dependent financial and insurance risks. Zbl 1496.91076
Bäuerle, Nicole; Leimcke, Gregor
1
2022
Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181
Pap, Gyula; Szabó, Tamás T.
1
2016
Comments on the review of ‘Statistical inference’. Zbl 1349.62014
Aitkin, Murray
1
2013
Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin. Zbl 1267.62014
Gelman, Andrew; Robert, Christian P.; Rousseau, Judith
1
2013
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
1
2013
Estimating scale parameters under an order statistics prior. Zbl 1273.62049
Burkschat, Marco; Kamps, Udo; Kateri, Maria
1
2013
Conditional \(L_1\) estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206
Chen, Xi; Wang, Lihong
1
2013
Erratum to: Dependence properties of dynamic credit risk models. Zbl 1253.91185
Bäuerle, Nicole; Schmock, Uwe
1
2012
Bipolar behavior of submodular, law-invariant capacities. Zbl 1484.91524
Amarante, Massimiliano
1
2022
On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069
Geiger, Daniel J.; Adekpedjou, Akim
1
2019
Moderate deviations and intermediate efficiency for lack-of-fit tests. Zbl 1466.62261
Mason, David M.; Eubank, Randy L.
1
2012
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2013
Rate of convergence of the density estimation of regression residual. Zbl 1271.62086
Györfi, László; Walk, Harro
1
2013
Foreword. Zbl 1298.00306
1
2014
The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors. Zbl 1493.62151
Almanjahie, Ibrahim M.; Bouzebda, Salim; Chikr Elmezouar, Zouaoui; Laksaci, Ali
4
2022
Penalised likelihood methods for phase-type dimension selection. Zbl 1509.60004
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A.
3
2022
Time consistency for scalar multivariate risk measures. Zbl 1481.91224
Feinstein, Zachary; Rudloff, Birgit
2
2022
Bayesian optimal investment and reinsurance with dependent financial and insurance risks. Zbl 1496.91076
Bäuerle, Nicole; Leimcke, Gregor
1
2022
Bipolar behavior of submodular, law-invariant capacities. Zbl 1484.91524
Amarante, Massimiliano
1
2022
On the elicitability of range value at risk. Zbl 07454702
Fissler, Tobias; Ziegel, Johanna F.
5
2021
On the extension property of dilatation monotone risk measures. Zbl 1480.91325
Rahsepar, Massoomeh; Xanthos, Foivos
2
2021
Continuous-time limits of multi-period cost-of-capital margins. Zbl 1480.91304
Engsner, Hampus; Lindskog, Filip
1
2021
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
5
2020
Optimal retirement planning under partial information. Zbl 1437.91385
Bäuerle, Nicole; Chen, An
4
2019
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
2
2019
On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069
Geiger, Daniel J.; Adekpedjou, Akim
1
2019
EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. Zbl 1387.60072
Damian, Camilla; Eksi, Zehra; Frey, Rüdiger
5
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas
5
2018
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
3
2018
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
3
2018
Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading. Zbl 1377.91151
Redeker, Imke; Wunderlich, Ralf
2
2018
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks. Zbl 1378.91134
Feinstein, Zachary; El-Masri, Fatena
10
2017
A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051
De Luca, Giovanni; Zuccolotto, Paola
4
2017
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
4
2017
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
2
2017
Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. Zbl 1362.62185
Kokoszka, Piotr; Miao, Hong; Zheng, Ben
2
2017
Company rating with support vector machines. Zbl 1362.62201
Moro, Russ A.; Härdle, Wolfgang K.; Schäfer, Dorothea
1
2017
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
10
2016
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano
9
2016
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
8
2016
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
3
2016
Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181
Pap, Gyula; Szabó, Tamás T.
1
2016
Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc
8
2015
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
6
2015
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
4
2015
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
3
2015
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
3
2015
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2
2015
Time-consistency of risk measures with GARCH volatilities and their estimation. Zbl 1351.60068
Klüppelberg, Claudia; Zhang, Jianing
1
2015
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
1
2015
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
2015
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
32
2014
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
17
2014
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
14
2014
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
7
2014
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
7
2014
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
6
2014
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
5
2014
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
5
2014
Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084
Koch-Medina, Pablo; Munari, Cosimo
3
2014
Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083
Kiesel, Swen; Rüschendorf, Ludger
3
2014
A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216
Bücher, Axel
2
2014
Foreword. Zbl 1298.00306
1
2014
Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50. Zbl 1429.62462
Brechmann, Eike Christian; Czado, Claudia
30
2013
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
19
2013
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
17
2013
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
6
2013
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
4
2013
The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224
Shimizu, Kenichi
3
2013
American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050
Christensen, Sören; Irle, Albrecht
2
2013
Membership conditions for consistent families of monetary valuations. Zbl 1277.91096
Roorda, Berend; Schumacher, Johannes M.
2
2013
Dynamic structured copula models. Zbl 1279.62185
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema
2
2013
Comments on the review of ‘Statistical inference’. Zbl 1349.62014
Aitkin, Murray
1
2013
Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin. Zbl 1267.62014
Gelman, Andrew; Robert, Christian P.; Rousseau, Judith
1
2013
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
1
2013
Estimating scale parameters under an order statistics prior. Zbl 1273.62049
Burkschat, Marco; Kamps, Udo; Kateri, Maria
1
2013
Conditional \(L_1\) estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206
Chen, Xi; Wang, Lihong
1
2013
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2013
Rate of convergence of the density estimation of regression residual. Zbl 1271.62086
Györfi, László; Walk, Harro
1
2013
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
11
2012
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
8
2012
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
5
2012
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
4
2012
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
4
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
4
2012
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
4
2012
Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Zbl 1234.91004
Cénac, P.; Maume-Deschamps, V.; Prieur, C.
3
2012
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
3
2012
Time consistency of multi-period distortion measures. Zbl 1470.91329
Fasen, Vicky; Svejda, Adela
2
2012
Adaptive estimation for an inverse regression model with unknown operator. Zbl 1318.62117
Marteau, Clément; Loubes, Jean-Michel
1
2012
Erratum to: Dependence properties of dynamic credit risk models. Zbl 1253.91185
Bäuerle, Nicole; Schmock, Uwe
1
2012
Moderate deviations and intermediate efficiency for lack-of-fit tests. Zbl 1466.62261
Mason, David M.; Eubank, Randy L.
1
2012
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
23
2011
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
16
2011
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
12
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
11
2011
Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz
10
2011
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
8
2011
Central limit theorem for the integrated squared error of the empirical second-order product density and goodness-of-fit tests for stationary point processes. Zbl 1277.60085
Heinrich, Lothar; Klein, Stella
7
2011
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
6
2011
On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352
Bodnar, Taras; Schmid, Wolfgang
3
2011
all top 5

Cited by 777 Authors

12 Feinstein, Zachary
10 Hu, Yijun
9 Bodnar, Taras
9 Chen, Yanhong
7 Fissler, Tobias
7 Maĭboroda, Rostyslav Yevgenovych
7 Minca, Andreea
6 Bouzebda, Salim
6 Czado, Claudia
6 Munari, Cosimo
6 Okhrin, Ostap
5 Albrecher, Hansjörg
5 Amini, Hamed
5 Bäuerle, Nicole
5 Bladt, Martin
5 Brechmann, Eike Christian
5 Crepey, Stephane
5 Durante, Fabrizio
5 Laksaci, Ali
5 Rudloff, Birgit
5 Rüschendorf, Ludger
5 Sun, Fei
5 Wang, Ruodu
4 Bellini, Fabio
4 Grahovac, Danijel
4 Heinrich, Lothar
4 Janssen, Paul
4 Kupper, Michael
4 Leonenko, Nikolai N.
4 Mai, Jan-Frederik
4 Maume-Deschamps, Véronique
4 Meyer-Brandis, Thilo
4 Puccetti, Giovanni
4 Samworth, Richard J.
4 Taqqu, Murad S.
3 Autin, Florent
3 Banerjee, Tathagata
3 Buonaguidi, Bruno
3 Cheung, Eric C. K.
3 Colaneri, Katia
3 Dümbgen, Lutz
3 Ekström, Erik
3 Fuchs, Sebastian L.
3 He, Xuedong
3 Ivanov, Roman V.
3 Jamneshan, Asgar
3 Jaworski, Piotr
3 Joe, Harry
3 Klüppelberg, Claudia
3 Koch Medina, Pablo
3 Lindholm, Mathias
3 Mailhot, Mélina
3 Noba, Kei
3 Okhrin, Yarema
3 Parolya, Nestor R.
3 Pérez Garmendia, Jose Luis
3 Peskir, Goran
3 Pouet, Christophe F.
3 Robert, Christian-Yann
3 Rullière, Didier
3 Said, Khalil
3 Scherer, Matthias
3 Schmid, Wolfgang
3 Segers, Johan
3 Sordo, Miguel Ángel
3 Sugakova, Olena Volodymyrivna
3 Swanepoel, Jan W. H.
3 Szölgyenyi, Michaela
3 Thorsén, Erik
3 Vanduffel, Steven
3 Veraart, Luitgard Anna Maria
3 Veraverbeke, Noël
3 Zabolotskyy, Taras N.
3 Zähle, Henryk
3 Zhang, Zhimin
3 Ziegel, Johanna F.
2 Abdelghani, Mohamed N.
2 Abrams, Steven
2 Agahi, Hamzeh
2 Albanese, Claudio
2 Battiston, Stefano
2 Beck, Nicholas
2 Belomestny, Denis
2 Benelmadani, D.
2 Benhenni, Karim
2 Bernard, Carole L.
2 Beutner, Eric
2 Biagini, Francesca
2 Bichuch, Maxim
2 Brigo, Damiano
2 Brockwell, Peter J.
2 Bücher, Axel
2 Caldarelli, Guido
2 Chen, Xu
2 Claeskens, Gerda
2 Comte, Fabienne
2 Cont, Rama
2 Cossette, Hélène
2 Cousin, Areski
2 Curato, Imma Valentina
...and 677 more Authors
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Cited in 133 Journals

35 Insurance Mathematics & Economics
17 Journal of Multivariate Analysis
15 Quantitative Finance
13 SIAM Journal on Financial Mathematics
12 Statistics & Probability Letters
12 Annals of Operations Research
12 Mathematical Finance
12 Electronic Journal of Statistics
12 Statistics & Risk Modeling
10 Journal of Economic Dynamics & Control
10 European Journal of Operational Research
10 Mathematics and Financial Economics
9 Operations Research
8 International Journal of Theoretical and Applied Finance
8 Dependence Modeling
7 Communications in Statistics. Theory and Methods
6 Mathematics of Operations Research
6 Stochastic Processes and their Applications
6 Computational Statistics and Data Analysis
6 Bernoulli
6 Finance and Stochastics
6 Methodology and Computing in Applied Probability
6 ASTIN Bulletin
5 Physica A
5 Journal of Econometrics
5 Extremes
5 European Actuarial Journal
5 Modern Stochastics. Theory and Applications
4 Annals of the Institute of Statistical Mathematics
4 The Annals of Statistics
4 Scandinavian Actuarial Journal
4 Stochastics
3 Applied Mathematics and Computation
3 Journal of Statistical Planning and Inference
3 Statistica Neerlandica
3 Operations Research Letters
3 Journal of Time Series Analysis
3 Sequential Analysis
3 Statistical Science
3 The Annals of Applied Probability
3 Theory of Probability and Mathematical Statistics
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Positivity
3 Statistical Inference for Stochastic Processes
3 Journal of Industrial and Management Optimization
3 Journal of Computational and Graphical Statistics
3 Frontiers of Mathematical Finance
2 Computers & Mathematics with Applications
2 Journal of Mathematical Analysis and Applications
2 Lithuanian Mathematical Journal
2 Metrika
2 Scandinavian Journal of Statistics
2 Journal of Optimization Theory and Applications
2 SIAM Journal on Control and Optimization
2 Statistics
2 International Journal of Approximate Reasoning
2 Journal of Theoretical Probability
2 Computational Statistics
2 Journal of Statistical Computation and Simulation
2 Mathematical Problems in Engineering
2 Revista Matemática Complutense
2 Discrete Dynamics in Nature and Society
2 Probability in the Engineering and Informational Sciences
2 Stochastic Models
2 Computational Management Science
2 AStA. Advances in Statistical Analysis
2 Statistics and Computing
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Physics Reports
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Optimization
1 BIT
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Economics
1 Metron
1 Naval Research Logistics
1 Numerische Mathematik
1 Optimization
1 Econometric Reviews
1 Computers & Operations Research
1 Economics Letters
1 Applications of Mathematics
1 Applied Mathematical Modelling
1 Automation and Remote Control
1 Communications in Statistics. Simulation and Computation
1 Proceedings of the National Academy of Sciences of the United States of America
1 Mathematical Programming. Series A. Series B
1 SIAM Journal on Optimization
1 Cybernetics and Systems Analysis
1 Test
1 Applicationes Mathematicae
1 Mathematical Methods of Statistics
1 Lifetime Data Analysis
1 Complexity
1 Electronic Journal of Probability
1 Journal of Nonparametric Statistics
...and 33 more Journals

Citations by Year