## 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: 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
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### 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)

### 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 1429.62462
2013
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
2014
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
2011
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
2013
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
2014
Law invariant risk measures on $$L^\infty(\mathbb R^d)$$. Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
2011
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
2011
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
2013
Complete duality for quasiconvex dynamic risk measures on modules of the $$L^p$$-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
2014
Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz
2011
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
2016
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano
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
2017
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
2012
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
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
2011
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
2014
Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc
2015
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
2015
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
2013
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
2011
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
2014
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
2013
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
2016
A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051
De Luca, Giovanni; Zuccolotto, Paola
2017
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
2011
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
2012
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
2014
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
2014
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
2012
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
2012
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
2012
The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224
Shimizu, Kenichi
2013
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
2014
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
2015
On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352
Bodnar, Taras; Schmid, Wolfgang
2011
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
2012
Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084
Koch-Medina, Pablo; Munari, Cosimo
2014
Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083
Kiesel, Swen; Rüschendorf, Ludger
2014
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas
2018
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
2016
American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050
Christensen, Sören; Irle, Albrecht
2013
Membership conditions for consistent families of monetary valuations. Zbl 1277.91096
Roorda, Berend; Schumacher, Johannes M.
2013
Dynamic structured copula models. Zbl 1279.62185
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema
2013
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
2017
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.
2012
A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216
Bücher, Axel
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
2018
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2015
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
2020
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
2015
Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181
Pap, Gyula; Szabó, Tamás T.
2016
Estimating scale parameters under an order statistics prior. Zbl 1273.62049
Burkschat, Marco; Kamps, Udo; Kateri, Maria
2013
Conditional $$L_1$$ estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206
Chen, Xi; Wang, Lihong
2013
Foreword. Zbl 1298.00306
2014
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
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
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
2017
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
2013
Rate of convergence of the density estimation of regression residual. Zbl 1271.62086
Györfi, László; Walk, Harro
2013
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
2013
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
2018
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
2017
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
2015
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
2019
On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069
2019
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
2012
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
2020
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
2019
On corrected phase-type approximations of the time value of ruin with heavy tails. Zbl 1436.62069
2019
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas
2018
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
2018
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
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
2017
A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051
De Luca, Giovanni; Zuccolotto, Paola
2017
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
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
2017
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
2017
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
2016
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, Stefano; Caldarelli, Guido; D&rsquo;Errico, Marco; Gurciullo, Stefano
2016
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
2016
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
2016
Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181
Pap, Gyula; Szabó, Tamás T.
2016
Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc
2015
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
2015
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
2015
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2015
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
2015
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
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
2015
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
2015
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
2014
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
2014
Complete duality for quasiconvex dynamic risk measures on modules of the $$L^p$$-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
2014
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
2014
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
2014
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
2014
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
2014
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
2014
Law-invariant risk measures: extension properties and qualitative robustness. Zbl 1308.91084
Koch-Medina, Pablo; Munari, Cosimo
2014
Optimal risk allocation for convex risk functionals in general risk domains. Zbl 1308.91083
Kiesel, Swen; Rüschendorf, Ludger
2014
A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216
Bücher, Axel
2014
Foreword. Zbl 1298.00306
2014
Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50. Zbl 1429.62462
2013
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
2013
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
2013
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
2013
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
2013
The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224
Shimizu, Kenichi
2013
American options with guarantee – a class of two-sided stopping problems. Zbl 1288.60050
Christensen, Sören; Irle, Albrecht
2013
Membership conditions for consistent families of monetary valuations. Zbl 1277.91096
Roorda, Berend; Schumacher, Johannes M.
2013
Dynamic structured copula models. Zbl 1279.62185
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema
2013
Estimating scale parameters under an order statistics prior. Zbl 1273.62049
Burkschat, Marco; Kamps, Udo; Kateri, Maria
2013
Conditional $$L_1$$ estimation for random coefficient integer-valued autoregressive processes. Zbl 1273.62206
Chen, Xi; Wang, Lihong
2013
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
2013
Rate of convergence of the density estimation of regression residual. Zbl 1271.62086
Györfi, László; Walk, Harro
2013
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
2013
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
2012
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
2012
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
2012
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
2012
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
2012
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
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.
2012
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
2012
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
2011
Law invariant risk measures on $$L^\infty(\mathbb R^d)$$. Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
2011
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
2011
Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
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
2011
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
2011
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
2011
On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352
Bodnar, Taras; Schmid, Wolfgang
2011
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
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### 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)