Statistics & Risk Modeling

1982 - 2026

Current editor(s): Robert Stelzer

From De Gruyter
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Volume 43, issue 3-4, 2026

Advances in Mathematical Finance – A special issue in honour of Ernst Eberlein pp. 37-37

Schmidt Thorsten

On formal properties of minimum capital requirements under Solvency II pp. 39-55

Kiesel Rüdiger, Korn Ralf, Seifried Frank and Stahl Gerhard

Talk and the city: How far to trust bankers (not) calling for bailouts? pp. 57-71

Dietrich Diemo and Thomas Gehrig

Financial finance valuation applied to option trading pp. 73-84

Madan Dilip B., Shirai Yoshihiro and Wang King

Convergence rates for backward SDEs driven by Lévy processes pp. 85-101

Liu Chenguang, Papapantoleon Antonis and Saplaouras Alexandros

Insurance products with guarantees in an affine setting pp. 103-123

Gaspar Raquel M. and Schmidt Thorsten

Convex and conditionally law-invariant risk measures pp. 125-147

Luciano de Castro, Costa Bruno N., Galvao Antonio F. and Zubelli Jorge P.

Prediction-based inference for integrated diffusions with high-frequency data pp. 149-172

Jørgensen Emil S. and Sørensen Michael

On convergence of the Mayer problems arising in the theory of financial markets with transaction cost pp. 173-209

Kabanov Yuri and Sidorenko Artur

Hedging in Lévy models and the time step equivalent of jumps pp. 211-233

Černý Aleš, Denkl Stephan and Kallsen Jan

Volume 43, issue 1-2, 2026

On the 𝕃 p -solution for BSDELs with continuous or left continuous coefficient pp. 1-20

El Jamali Mohamed and Elmansouri Badr

Extreme risk modeling based on Tail Extended Gini and Joint Tail Extended Gini pp. 21-36

Ben Hssain Lhoucine, Lakhnati Ghizlane and Berkhouch Mohammed

Volume 42, issue 3-4, 2025

Nonparametric filtering, estimation and classification using neural jump ODEs pp. 55-90

Heiss Jakob, Krach Florian, Schmidt Thorsten and Tambe-Ndonfack Félix B.

Generative modelling of financial time series with structured noise and MMD-based signature learning pp. 91-122

Chung I Lu and Sester Julian

Volume 42, issue 1-2, 2025

A new stock market valuation measure with application to retriement planning pp. 1-18

Sarantsev Andrey

Extreme value techniques for stress scenario selection under elliptical symmetry and beyond pp. 19-53

Zhou Menglin and Nolde Natalia

Volume 41, issue 3-4, 2024

Reassessing the evidence on factor and portfolio premia pp. 73-82

Jach Agnieszka and Jan Antell

Optimal pair trading: Consumption-investment problem with finite and infinite horizon pp. 83-93

Kabanov Yuri and Kozhevnikov Aleksei

Volume 41, issue 1-2, 2024

Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors pp. 1-26

Joanna Janczura, Puć Andrzej, Bielak Łukasz and Wyłomańska Agnieszka

Portfolio selection based on Extended Gini Shortfall risk measures pp. 27-48

Ben Hssain Lhoucine, Berkhouch Mohammed and Lakhnati Ghizlane

Bounds on Choquet risk measures in finite product spaces with ambiguous marginals pp. 49-72

Ghossoub Mario, Saunders David and Zhang Kelvin Shuangjian

Volume 40, issue 3-4, 2023

A robust estimator of the proportional hazard transform for massive data pp. 53-65

Omar Tami, Abdelaziz Rassoul and Hamid Ould Rouis

Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation pp. 67-89

Coffie Emmanuel

Volume 40, issue 1-2, 2023

Minkowski deviation measures pp. 1-19

Marlon Moresco, Marcelo Righi and Horta Eduardo

Systemic risk models for disjoint and overlapping groups with equilibrium strategies pp. 21-51

Feng Yichen, Fouque Jean-Pierre, Hu Ruimeng and Ichiba Tomoyuki

Volume 39, issue 3-4, 2022

Asymptotic properties of duration-based VaR backtests pp. 49-73

Malecka Marta

Penalised likelihood methods for phase-type dimension selection pp. 75-92

Albrecher Hansjörg, Bladt Martin and Müller Alaric J. A.

Volume 39, issue 1-2, 2022

Multi-component stress-strength model for Weibull distribution in progressively censored samples pp. 1-21

Kohansal Akram, Shoaee Shirin and Nadarajah Saralees

Bayesian optimal investment and reinsurance with dependent financial and insurance risks pp. 23-47

Bäuerle Nicole and Leimcke Gregor

Volume 38, issue 3-4, 2021

The functional kNN estimator of the conditional expectile: Uniform consistency in number of neighbors pp. 47-63

Almanjahie Ibrahim M., Bouzebda Salim, Chikr Elmezouar Zouaoui and Laksaci Ali

Bipolar behavior of submodular, law-invariant capacities pp. 65-70

Massimiliano Amarante

Time consistency for scalar multivariate risk measures pp. 71-90

Feinstein Zachary and Rudloff Birgit

Volume 38, issue 1-2, 2021

Kernel estimation for Lévy driven stochastic convolutions pp. 1-24

Comte Fabienne and Genon-Catalot Valentine

On the elicitability of range value at risk pp. 25-46

Fissler Tobias and Ziegel Johanna F.

Volume 37, issue 3-4, 2020

Continuous-time limits of multi-period cost-of-capital margins pp. 79-106

Engsner Hampus and Lindskog Filip

On the extension property of dilatation monotone risk measures pp. 107-119

Rahsepar Massoomeh and Xanthos Foivos

Volume 37, issue 1-2, 2020

Fair estimation of capital risk allocation pp. 1-24

Bielecki Tomasz R., Cialenco Igor, Pitera Marcin and Schmidt Thorsten

XVA metrics for CCP optimization pp. 25-53

Claudio Albanese, Armenti Yannick and Crépey Stéphane

Arbitrage-free interpolation of call option prices pp. 55-78

Bender Christian and Thiel Matthias

Volume 36, issue 1-4, 2019

Conditional excess risk measures and multivariate regular variation pp. 1-23

Das Bikramjit and Fasen-Hartmann Vicky

Multivariate risk measures in the non-convex setting pp. 25-35

Haier Andreas and Molchanov Ilya

Optimal retirement planning under partial information pp. 37-55

Bäuerle Nicole and Chen An

On corrected phase-type approximations of the time value of ruin with heavy tails pp. 57-75

Geiger Daniel J. and Adekpedjou Akim

Volume 35, issue 3-4, 2018

Risk related brain regions detection and individual risk classification with 3D image FPCA pp. 89-110

Chen Ying, Wolfgang Härdle, He Qiang and Majer Piotr

Extremes for multivariate expectiles pp. 111-140

Maume-Deschamps Véronique, Didier Rulliere and Said Khalil

Semiparametric efficient adaptive estimation of the GJR-GARCH model pp. 141-160

Ciccarelli Nicola

Volume 35, issue 1-2, 2018

Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading pp. 1-21

Redeker Imke and Wunderlich Ralf

On risk measuring in the variance-gamma model pp. 23-33

Ivanov Roman V.

Distortion risk measures, ROC curves, and distortion divergence pp. 35-50

Johannes Schumacher

EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies pp. 51-72

Damian Camilla, Eksi Zehra and Frey Rüdiger

Optimal expected utility risk measures pp. 73-87

Geissel Sebastian, Sass Jörn and Seifried Frank Thomas