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: Indexed cover-to-cover Documents Indexed: 110 Publications (since 2011) References Indexed: 69 Publications with 1,793 References. all top 5 Latest Issues 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 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 Adekpedjou, Akim 1 Aguilar, Erick Treviño 1 Aitkin, Murray A. 1 Albanese, Claudio 1 Albrecher, Hansjörg 1 Almanjahie, Ibrahim Mufrah 1 Amarante, Massimiliano 1 Armenti, Yannick 1 Autin, Florent 1 Barski, Michał 1 Battiston, Stefano 1 Bender, Christian 1 Bernardi, Enrico 1 Biau, Gérard 1 Bielecki, Tomasz R. 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 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 Fissler, Tobias 1 Föllmer, Hans 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 Gilitschenski, Igor 1 Gordy, Michael B. 1 Guo, Weilong 1 Gurciullo, Stefano 1 Györfi, László 1 Haier, Andreas 1 Hanebeck, Uwe D. 1 Hannah, Lauren A. 1 Hauton, Gaël 1 He, Qiang 1 He, Xuedong 1 Héam, Jean-Cyprien 1 Heinrich, Lothar 1 Hirsch, Christian 1 Hofert, Marius ...and 101 more Authors all top 5 Fields 72 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 68 Statistics (62-XX) 43 Probability theory and stochastic processes (60-XX) 8 Operations research, mathematical programming (90-XX) 6 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) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-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 69 Publications have been cited 340 times in 323 Documents Cited by ▼ Year ▼ Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50. Zbl 1429.62462Brechmann, Eike Christian; Czado, Claudia 26 2013 On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248Mainik, Georg; Schaanning, Eric 23 2014 Optimal dividend-payout in random discrete time. Zbl 1233.91139Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan 21 2011 Properties of hierarchical Archimedean copulas. Zbl 1348.62044Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang 17 2013 Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137Cont, Rama; Kokholm, Thomas 14 2014 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345Ekeland, Ivar; Schachermayer, Walter 14 2011 Test on components of mixture densities. Zbl 1228.62054Autin, Florent; Pouet, Christophe 12 2011 Loss-based risk measures. Zbl 1267.62103Cont, Rama; Deguest, Romain; He, Xue Dong 12 2013 Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062Frittelli, Marco; Maggis, Marco 10 2014 Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz 10 2011 Verification of internal risk measure estimates. Zbl 1356.91102Davis, Mark H. A. 9 2016 Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano 8 2016 The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks. Zbl 1378.91134Feinstein, Zachary; El-Masri, Fatena 8 2017 Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara 7 2012 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 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 1277.60085Heinrich, Lothar; Klein, Stella 7 2011 Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011Föllmer, Hans 6 2014 Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc 5 2015 Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019Krätschmer, Volker; Schied, Alexander; Zähle, Henryk 5 2015 Bernstein estimator for unbounded copula densities. Zbl 1280.62041Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim 5 2013 Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014Schnurr, Alexander; Woerner, Jeannette H. C. 5 2011 Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057Didi, Sultana; Louani, Djamal 5 2014 What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096Scherer, Matthias; Mai, Jan-Frederik 4 2013 The topology of overlapping portfolio networks. Zbl 1357.91054Guo, Weilong; Minca, Andreea; Wang, Li 4 2016 A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051De Luca, Giovanni; Zuccolotto, Paola 4 2017 Risk margin for a non-life insurance run-off. Zbl 1229.91168Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas 4 2011 Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084Kovacevic, Raimund M. 4 2012 Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040Grigorova, Miryana 4 2014 Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015Grigorova, Miryana 4 2014 On the functional local linear estimate for spatial regression. Zbl 1252.62095Chouaf, Abdelhak; Laksaci, Ali 3 2012 The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080Strasser, Helmut 3 2012 Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038Strasser, Helmut 3 2012 The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224Shimizu, Kenichi 3 2013 Optimal control of interbank contagion under complete information. Zbl 1291.91250Minca, Andreea; Sulem, Agnès 3 2014 Dividend maximization in a hidden Markov switching model. Zbl 1408.91107Szölgyenyi, Michaela 3 2015 On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352Bodnar, Taras; Schmid, Wolfgang 3 2011 PCA-kernel estimation. Zbl 1234.62091Biau, Gérard; Mas, André 3 2012 Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098Mainik, Georg; Rüschendorf, Ludger 3 2012 Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084Koch-Medina, Pablo; Munari, Cosimo 3 2014 Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083Kiesel, Swen; Rüschendorf, Ludger 3 2014 On risk measuring in the variance-gamma model. Zbl 1383.62244Ivanov, Roman V. 3 2018 Optimal expected utility risk measures. Zbl 1377.91168Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas 3 2018 Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575Jakobsons, Edgars 2 2016 American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050Christensen, Sören; Irle, Albrecht 2 2013 Membership conditions for consistent families of monetary valuations. Zbl 1277.91096Roorda, Berend; Schumacher, Johannes M. 2 2013 Dynamic structured copula models. Zbl 1279.62185Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema 2 2013 Improved algorithms for computing worst value-at-risk. Zbl 1361.91062Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony 2 2017 Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Zbl 1234.91004Cénac, P.; Maume-Deschamps, V.; Prieur, C. 2 2012 A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216Bücher, Axel 2 2014 EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. Zbl 1387.60072Damian, Camilla; Eksi, Zehra; Frey, Rüdiger 2 2018 Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094Lauer, Alexandra; Zähle, Henryk 2 2015 XVA metrics for CCP optimization. Zbl 1459.91211Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane 2 2020 Series expansions for convolutions of Pareto distributions. Zbl 1346.60044Nguyen, Quang Huy; Robert, Christian Y. 1 2015 Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181Pap, Gyula; Szabó, Tamás T. 1 2016 Estimating scale parameters under an order statistics prior. Zbl 1273.62049Burkschat, Marco; Kamps, Udo; Kateri, Maria 1 2013 Conditional \(L_1\) estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206Chen, Xi; Wang, Lihong 1 2013 Foreword. Zbl 1298.00306 1 2014 Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe 1 2015 Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias 1 2015 Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. Zbl 1362.62185Kokoszka, Piotr; Miao, Hong; Zheng, Ben 1 2017 Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2013 Rate of convergence of the density estimation of regression residual. Zbl 1271.62086Györfi, László; Walk, Harro 1 2013 A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027Lerche, Hans Rudolf; Stich, Dominik 1 2013 Extremes for multivariate expectiles. Zbl 1408.62106Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 1 2018 On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos 1 2017 On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331Barski, Michał 1 2015 Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085Das, Bikramjit; Fasen-Hartmann, Vicky 1 2019 On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069Geiger, Daniel J.; Adekpedjou, Akim 1 2019 Bounds for joint portfolios of dependent risks. Zbl 1470.91072Puccetti, Giovanni; Rüschendorf, Ludger 1 2012 XVA metrics for CCP optimization. Zbl 1459.91211Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane 2 2020 Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085Das, Bikramjit; Fasen-Hartmann, Vicky 1 2019 On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069Geiger, Daniel J.; Adekpedjou, Akim 1 2019 On risk measuring in the variance-gamma model. Zbl 1383.62244Ivanov, Roman V. 3 2018 Optimal expected utility risk measures. Zbl 1377.91168Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas 3 2018 EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. Zbl 1387.60072Damian, Camilla; Eksi, Zehra; Frey, Rüdiger 2 2018 Extremes for multivariate expectiles. Zbl 1408.62106Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 1 2018 The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks. Zbl 1378.91134Feinstein, Zachary; El-Masri, Fatena 8 2017 A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051De Luca, Giovanni; Zuccolotto, Paola 4 2017 Improved algorithms for computing worst value-at-risk. Zbl 1361.91062Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony 2 2017 Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. Zbl 1362.62185Kokoszka, Piotr; Miao, Hong; Zheng, Ben 1 2017 On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos 1 2017 Verification of internal risk measure estimates. Zbl 1356.91102Davis, Mark H. A. 9 2016 Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano 8 2016 The topology of overlapping portfolio networks. Zbl 1357.91054Guo, Weilong; Minca, Andreea; Wang, Li 4 2016 Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575Jakobsons, Edgars 2 2016 Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181Pap, Gyula; Szabó, Tamás T. 1 2016 Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc 5 2015 Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019Krätschmer, Volker; Schied, Alexander; Zähle, Henryk 5 2015 Dividend maximization in a hidden Markov switching model. Zbl 1408.91107Szölgyenyi, Michaela 3 2015 Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094Lauer, Alexandra; Zähle, Henryk 2 2015 Series expansions for convolutions of Pareto distributions. Zbl 1346.60044Nguyen, Quang Huy; Robert, Christian Y. 1 2015 Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe 1 2015 Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias 1 2015 On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331Barski, Michał 1 2015 On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248Mainik, Georg; Schaanning, Eric 23 2014 Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137Cont, Rama; Kokholm, Thomas 14 2014 Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062Frittelli, Marco; Maggis, Marco 10 2014 Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011Föllmer, Hans 6 2014 Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057Didi, Sultana; Louani, Djamal 5 2014 Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040Grigorova, Miryana 4 2014 Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015Grigorova, Miryana 4 2014 Optimal control of interbank contagion under complete information. Zbl 1291.91250Minca, Andreea; Sulem, Agnès 3 2014 Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084Koch-Medina, Pablo; Munari, Cosimo 3 2014 Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083Kiesel, Swen; Rüschendorf, Ludger 3 2014 A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216Bücher, Axel 2 2014 Foreword. Zbl 1298.00306 1 2014 Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50. Zbl 1429.62462Brechmann, Eike Christian; Czado, Claudia 26 2013 Properties of hierarchical Archimedean copulas. Zbl 1348.62044Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang 17 2013 Loss-based risk measures. Zbl 1267.62103Cont, Rama; Deguest, Romain; He, Xue Dong 12 2013 Bernstein estimator for unbounded copula densities. Zbl 1280.62041Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim 5 2013 What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096Scherer, Matthias; Mai, Jan-Frederik 4 2013 The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224Shimizu, Kenichi 3 2013 American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050Christensen, Sören; Irle, Albrecht 2 2013 Membership conditions for consistent families of monetary valuations. Zbl 1277.91096Roorda, Berend; Schumacher, Johannes M. 2 2013 Dynamic structured copula models. Zbl 1279.62185Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema 2 2013 Estimating scale parameters under an order statistics prior. Zbl 1273.62049Burkschat, Marco; Kamps, Udo; Kateri, Maria 1 2013 Conditional \(L_1\) estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206Chen, Xi; Wang, Lihong 1 2013 Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2013 Rate of convergence of the density estimation of regression residual. Zbl 1271.62086Györfi, László; Walk, Harro 1 2013 A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027Lerche, Hans Rudolf; Stich, Dominik 1 2013 Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara 7 2012 Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084Kovacevic, Raimund M. 4 2012 On the functional local linear estimate for spatial regression. Zbl 1252.62095Chouaf, Abdelhak; Laksaci, Ali 3 2012 The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080Strasser, Helmut 3 2012 Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038Strasser, Helmut 3 2012 PCA-kernel estimation. Zbl 1234.62091Biau, Gérard; Mas, André 3 2012 Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098Mainik, Georg; Rüschendorf, Ludger 3 2012 Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Zbl 1234.91004Cénac, P.; Maume-Deschamps, V.; Prieur, C. 2 2012 Bounds for joint portfolios of dependent risks. Zbl 1470.91072Puccetti, Giovanni; Rüschendorf, Ludger 1 2012 Optimal dividend-payout in random discrete time. Zbl 1233.91139Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan 21 2011 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345Ekeland, Ivar; Schachermayer, Walter 14 2011 Test on components of mixture densities. Zbl 1228.62054Autin, Florent; Pouet, Christophe 12 2011 Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz 10 2011 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 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 1277.60085Heinrich, Lothar; Klein, Stella 7 2011 Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014Schnurr, Alexander; Woerner, Jeannette H. C. 5 2011 Risk margin for a non-life insurance run-off. Zbl 1229.91168Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas 4 2011 On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352Bodnar, Taras; Schmid, Wolfgang 3 2011 all cited Publications top 5 cited Publications all top 5 Cited by 563 Authors 9 Feinstein, Zachary 8 Bodnar, Taras 8 Hu, Yijun 7 Chen, Yanhong 7 Maĭboroda, Rostyslav Yevgenovych 5 Czado, Claudia 5 Durante, Fabrizio 5 Minca, Andreea 5 Munari, Cosimo 5 Rudloff, Birgit 4 Bäuerle, Nicole 4 Brechmann, Eike Christian 4 Fissler, Tobias 4 Grahovac, Danijel 4 Heinrich, Lothar 4 Kupper, Michael 4 Leonenko, Nikolai N. 4 Meyer-Brandis, Thilo 4 Okhrin, Ostap 4 Samworth, Richard J. 4 Taqqu, Murad S. 3 Albrecher, Hansjörg 3 Amini, Hamed 3 Autin, Florent 3 Bellini, Fabio 3 Cheung, Eric C. K. 3 Crepey, Stephane 3 Di Bernardino, Elena 3 Dümbgen, Lutz 3 Fuchs, Sebastian L. 3 He, Xuedong 3 Ivanov, Roman V. 3 Jamneshan, Asgar 3 Janssen, Paul 3 Jaworski, Piotr 3 Joe, Harry 3 Klüppelberg, Claudia 3 Koch Medina, Pablo 3 Lindholm, Mathias 3 Mailhot, Mélina 3 Maume-Deschamps, Véronique 3 Okhrin, Yarema 3 Pouet, Christophe F. 3 Rullière, Didier 3 Said, Khalil 3 Schmid, Wolfgang 3 Segers, Johan 3 Sordo, Miguel Ángel 3 Sugakova, Olena Volodymyrivna 3 Sun, Fei 3 Szölgyenyi, Michaela 3 Wang, Ruodu 3 Zabolotskyy, Taras N. 3 Zhang, Zhimin 3 Ziegel, Johanna F. 2 Abdelghani, Mohamed N. 2 Agahi, Hamzeh 2 Albanese, Claudio 2 Banerjee, Tathagata 2 Battiston, Stefano 2 Beck, Nicholas 2 Benelmadani, D. 2 Benhenni, Karim 2 Biagini, Francesca 2 Bichuch, Maxim 2 Bladt, Martin 2 Brigo, Damiano 2 Bücher, Axel 2 Buonaguidi, Bruno 2 Caldarelli, Guido 2 Chen, Xu 2 Claeskens, Gerda 2 Colaneri, Katia 2 Comte, Fabienne 2 Cont, Rama 2 Cossette, Hélène 2 De Luca, Giovanni 2 D’errico, Marco 2 Di Lascio, F. Marta L. 2 Doronin, Alexey 2 Doronin, O. V. 2 Eksi, Zehra 2 Francq, Christian 2 Frittelli, Marco 2 Gao, Niushan 2 Geissel, Sebastian 2 Genon-Catalot, Valentine 2 Glasserman, Paul 2 Hlavinová, Jana 2 Jaśkiewicz, Anna 2 Kappus, Johanna 2 Kauermann, Goran 2 Klein, Stella 2 Kovacevic, Raimund M. 2 Krupskii, Pavel 2 Liese, Friedrich 2 Louhichi, Sana 2 Mai, Jan-Frederik 2 Marceau, Étienne 2 Meister, Alexander ...and 463 more Authors all top 5 Cited in 109 Journals 24 Insurance Mathematics & Economics 15 Journal of Multivariate Analysis 12 Quantitative Finance 11 Statistics & Probability Letters 11 SIAM Journal on Financial Mathematics 10 Annals of Operations Research 10 Electronic Journal of Statistics 9 Mathematics and Financial Economics 8 Statistics & Risk Modeling 7 Operations Research 7 Journal of Economic Dynamics & Control 7 European Journal of Operational Research 6 Computational Statistics and Data Analysis 6 Dependence Modeling 5 Journal of Econometrics 5 Mathematics of Operations Research 5 Finance and Stochastics 5 International Journal of Theoretical and Applied Finance 5 Methodology and Computing in Applied Probability 5 Modern Stochastics. Theory and Applications 4 Annals of the Institute of Statistical Mathematics 4 The Annals of Statistics 4 Communications in Statistics. Theory and Methods 4 Bernoulli 4 Mathematical Finance 4 Extremes 4 ASTIN Bulletin 4 European Actuarial Journal 3 Applied Mathematics and Computation 3 Sequential Analysis 3 Statistical Science 3 Theory of Probability and Mathematical Statistics 3 Positivity 3 Journal of Computational and Graphical Statistics 2 Journal of Mathematical Analysis and Applications 2 Lithuanian Mathematical Journal 2 Scandinavian Journal of Statistics 2 Journal of Statistical Planning and Inference 2 SIAM Journal on Control and Optimization 2 Operations Research Letters 2 Statistics 2 International Journal of Approximate Reasoning 2 Journal of Theoretical Probability 2 The Annals of Applied Probability 2 Computational Statistics 2 Journal of Statistical Computation and Simulation 2 Stochastic Processes and their Applications 2 Statistical Inference for Stochastic Processes 2 Stochastic Models 2 Computational Management Science 2 Journal of Industrial and Management Optimization 2 AStA. Advances in Statistical Analysis 2 Statistics and Computing 1 Advances in Applied Probability 1 The Canadian Journal of Statistics 1 Computers & Mathematics with Applications 1 Metrika 1 Physica A 1 Physics Reports 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Optimization 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 Optimization Theory and Applications 1 Metron 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 Proceedings of the National Academy of Sciences of the United States of America 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 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Revista Matemática Complutense 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 Probability in the Engineering and Informational Sciences 1 Scandinavian Actuarial Journal 1 Vladikavkazskiĭ Matematicheskiĭ Zhurnal 1 Review of Derivatives Research 1 Thai Journal of Mathematics 1 Advances in Difference Equations 1 Statistical Methodology 1 Journal of the Korean Statistical Society 1 Complex Analysis and Operator Theory 1 Advances in Data Analysis and Classification. ADAC 1 Banach Journal of Mathematical Analysis ...and 9 more Journals all top 5 Cited in 26 Fields 180 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 168 Statistics (62-XX) 94 Probability theory and stochastic processes (60-XX) 29 Operations research, mathematical programming (90-XX) 13 Numerical analysis (65-XX) 12 Functional analysis (46-XX) 12 Systems theory; control (93-XX) 8 Measure and integration (28-XX) 4 Partial differential equations (35-XX) 4 Computer science (68-XX) 3 Mathematical logic and foundations (03-XX) 3 Combinatorics (05-XX) 3 Integral equations (45-XX) 2 Real functions (26-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Order, lattices, ordered algebraic structures (06-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 General topology (54-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year