Statistics & Risk ModelingWith 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 Latest Issues 41, No. 1-2 (2024) 40, No. 3-4 (2023) 40, No. 1-2 (2023) 39, No. 3-4 (2022) 39, No. 1-2 (2022) 38, No. 3-4 (2022) 38, No. 1-2 (2021) 37, No. 3-4 (2021) 37, No. 1-2 (2020) 36, No. 1-4 (2019) 35, No. 3-4 (2018) 35, No. 1-2 (2018) 34, No. 3-4 (2017) 34, No. 1-2 (2017) 33, No. 3-4 (2016) 33, No. 1-2 (2016) 32, No. 3-4 (2015) 32, No. 2 (2015) 32, No. 1 (2015) 31, No. 3-4 (2014) 31, No. 2 (2014) 31, No. 1 (2014) 30, No. 4 (2013) 30, No. 3 (2013) 30, No. 2 (2013) 30, No. 1 (2013) 29, No. 4 (2012) 29, No. 3 (2012) 29, No. 2 (2012) 29, No. 1 (2012) 28, No. 4 (2011) 28, No. 3 (2011) 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 all top 5 Fields 79 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 72 Statistics (62-XX) 44 Probability theory and stochastic processes (60-XX) 9 Operations research, mathematical programming (90-XX) 7 Numerical analysis (65-XX) 4 Systems theory; control (93-XX) 3 General and overarching topics; collections (00-XX) 3 Measure and integration (28-XX) 3 Functional analysis (46-XX) 2 Combinatorics (05-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 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 all top 5 Cited in 32 Fields 258 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 228 Statistics (62-XX) 134 Probability theory and stochastic processes (60-XX) 36 Operations research, mathematical programming (90-XX) 19 Systems theory; control (93-XX) 15 Functional analysis (46-XX) 15 Numerical analysis (65-XX) 9 Measure and integration (28-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 6 Computer science (68-XX) 5 Combinatorics (05-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Partial differential equations (35-XX) 3 Mathematical logic and foundations (03-XX) 3 Real functions (26-XX) 3 Integral equations (45-XX) 2 General topology (54-XX) 2 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Algebraic topology (55-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year