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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: Indexed cover-to-cover
Documents Indexed: 110 Publications (since 2011)
References Indexed: 69 Publications with 1,793 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 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

Publications by Year

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
Brechmann, Eike Christian; Czado, Claudia
26
2013
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
23
2014
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
17
2013
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
14
2014
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
14
2011
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
12
2011
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
12
2013
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
10
2014
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.
9
2016
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, 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 1378.91134
Feinstein, Zachary; El-Masri, Fatena
8
2017
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
7
2012
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, 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 1277.60085
Heinrich, Lothar; Klein, Stella
7
2011
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
6
2014
Moment based estimation of supOU processes and a related stochastic volatility model. Zbl 1309.62145
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc
5
2015
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
5
2015
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
5
2013
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
5
2011
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
5
2014
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
4
2013
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
4
2016
A double clustering algorithm for financial time series based on extreme events. Zbl 1362.60051
De Luca, Giovanni; Zuccolotto, Paola
4
2017
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
4
2011
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
4
2012
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
4
2014
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
4
2014
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
3
2012
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
3
2012
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
3
2012
The bootstrap does not always work for heteroscedastic models. Zbl 1273.62224
Shimizu, Kenichi
3
2013
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
3
2014
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
3
2015
On the exact distribution of the estimated expected utility portfolio weights: theory and applications. Zbl 1229.91352
Bodnar, Taras; Schmid, Wolfgang
3
2011
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
3
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
3
2012
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
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
3
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas
3
2018
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
2
2016
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
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, 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 1234.91004
Cénac, P.; Maume-Deschamps, V.; Prieur, C.
2
2012
A note on nonparametric estimation of bivariate tail dependence. Zbl 1418.62216
Bücher, Axel
2
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
2
2018
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2
2015
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
2
2020
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
1
2015
Change detection in the Cox-Ingersoll-Ross model. Zbl 1347.62181
Pap, Gyula; Szabó, Tamás T.
1
2016
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
Foreword. Zbl 1298.00306
1
2014
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
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
1
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
1
2017
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
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
1
2013
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
1
2018
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
1
2017
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
1
2015
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
1
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
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
1
2012
XVA metrics for CCP optimization. Zbl 1459.91211
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane
2
2020
Conditional excess risk measures and multivariate regular variation. Zbl 1434.60085
Das, Bikramjit; Fasen-Hartmann, Vicky
1
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
On risk measuring in the variance-gamma model. Zbl 1383.62244
Ivanov, Roman V.
3
2018
Optimal expected utility risk measures. Zbl 1377.91168
Geissel, 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 1387.60072
Damian, Camilla; Eksi, Zehra; Frey, Rüdiger
2
2018
Extremes for multivariate expectiles. Zbl 1408.62106
Maume-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 1378.91134
Feinstein, Zachary; El-Masri, Fatena
8
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
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
1
2017
On the effect of heterogeneity on flocking behavior and systemic risk. Zbl 1372.60036
Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos
1
2017
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
9
2016
Leveraging the network: a stress-test framework based on debtrank. Zbl 1414.91436
Battiston, Stefano; Caldarelli, Guido; D’Errico, Marco; Gurciullo, Stefano
8
2016
The topology of overlapping portfolio networks. Zbl 1357.91054
Guo, Weilong; Minca, Andreea; Wang, Li
4
2016
Scenario aggregation method for portfolio expectile optimization. Zbl 1346.90575
Jakobsons, Edgars
2
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
5
2015
Quasi-Hadamard differentiability of general risk functionals and its application. Zbl 1346.60019
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
5
2015
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
3
2015
Nonparametric estimation of risk measures of collective risks. Zbl 1338.60094
Lauer, Alexandra; Zähle, Henryk
2
2015
Series expansions for convolutions of Pareto distributions. Zbl 1346.60044
Nguyen, Quang Huy; Robert, Christian Y.
1
2015
Exact and approximate hidden Markov chain filters based on discrete observations. Zbl 1339.60040
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe
1
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
1
2015
On the shortfall risk control: a refinement of the quantile hedging method. Zbl 1403.91331
Barski, Michał
1
2015
On dependence consistency of CoVaR and some other systemic risk measures. Zbl 1305.91248
Mainik, Georg; Schaanning, Eric
23
2014
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
14
2014
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. Zbl 1302.46062
Frittelli, Marco; Maggis, Marco
10
2014
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
6
2014
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data. Zbl 1398.62057
Didi, Sultana; Louani, Djamal
5
2014
Stochastic orderings with respect to a capacity and an application to a financial optimization problem. Zbl 1291.60040
Grigorova, Miryana
4
2014
Stochastic dominance with respect to a capacity and risk measures. Zbl 1310.60015
Grigorova, Miryana
4
2014
Optimal control of interbank contagion under complete information. Zbl 1291.91250
Minca, Andreea; Sulem, Agnès
3
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
26
2013
Properties of hierarchical Archimedean copulas. Zbl 1348.62044
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang
17
2013
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
12
2013
Bernstein estimator for unbounded copula densities. Zbl 1280.62041
Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim
5
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
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
A harmonic function approach to Nash-equilibria of Kifer-type stopping games. Zbl 1269.91027
Lerche, Hans Rudolf; Stich, Dominik
1
2013
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. Zbl 1252.62106
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara
7
2012
Conditional risk and acceptability mappings as Banach-lattice valued mappings. Zbl 1238.91084
Kovacevic, Raimund M.
4
2012
On the functional local linear estimate for spatial regression. Zbl 1252.62095
Chouaf, Abdelhak; Laksaci, Ali
3
2012
The covariance structure of cml-estimates in the Rasch model. Zbl 1318.62080
Strasser, Helmut
3
2012
Asymptotic expansions for conditional moments of Bernoulli trials. Zbl 1255.60038
Strasser, Helmut
3
2012
PCA-kernel estimation. Zbl 1234.62091
Biau, Gérard; Mas, André
3
2012
Ordering of multivariate risk models with respect to extreme portfolio losses. Zbl 1235.91098
Mainik, Georg; Rüschendorf, Ludger
3
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.
2
2012
Bounds for joint portfolios of dependent risks. Zbl 1470.91072
Puccetti, Giovanni; Rüschendorf, Ludger
1
2012
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
14
2011
Test on components of mixture densities. Zbl 1228.62054
Autin, Florent; Pouet, Christophe
12
2011
Multivariate log-concave distributions as a nearly parametric model. Zbl 1245.62060
Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz
10
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, 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 1277.60085
Heinrich, Lothar; Klein, Stella
7
2011
Well-balanced Lévy driven Ornstein-Uhlenbeck processes. Zbl 1235.60014
Schnurr, Alexander; Woerner, Jeannette H. C.
5
2011
Risk margin for a non-life insurance run-off. Zbl 1229.91168
Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas
4
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 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

Citations by Year