Statistics & Risk Modeling

1982 - 2026

Current editor(s): Robert Stelzer

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Verification of internal risk measure estimates pp. 67-93: Davis Mark H. A.
How to measure interconnectedness between banks, insurers and financial conglomerates pp. 95-116: Hauton Gaël and Héam Jean-Cyprien
Leveraging the network: A stress-test framework based on DebtRank pp. 117-138: Stefano Battiston, Caldarelli Guido, D’Errico Marco and Gurciullo Stefano
The topology of overlapping portfolio networks pp. 139-155: Guo Weilong, Minca Andreea and Wang Li

Implied basket correlation dynamics pp. 1-20: Härdle Wolfgang Karl and Silyakova Elena
Change detection in the Cox–Ingersoll–Ross model pp. 21-40: Pap Gyula and Szabó Tamás T.
Asymptotically stable dynamic risk assessments pp. 41-50: Eisele Karl-Theodor and Kupper Michael
Scenario aggregation method for portfolio expectile optimization pp. 51-65: Jakobsons Edgars

Dividend maximization in a hidden Markov switching model pp. 143-158: Szölgyenyi Michaela
Exact and approximate hidden Markov chain filters based on discrete observations pp. 159-176: Bäuerle Nicole, Gilitschenski Igor and Hanebeck Uwe
Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach pp. 177-195: Mai Jan-Frederik, Schenk Steffen and Scherer Matthias

Nonparametric estimation of risk measures of collective risks pp. 89-102: Lauer Alexandra and Zähle Henryk
Time-consistency of risk measures with GARCH volatilities and their estimation pp. 103-124: Klüppelberg Claudia and Zhang Jianing
On the shortfall risk control: A refinement of the quantile hedging method pp. 125-141: Barski Michał

Moment based estimation of supOU processes and a related stochastic volatility model pp. 1-24: Stelzer Robert, Tosstorff Thomas and Wittlinger Marc
Quasi-Hadamard differentiability of general risk functionals and its application pp. 25-47: Krätschmer Volker, Schied Alexander and Zähle Henryk
Series expansions for convolutions of Pareto distributions pp. 49-72: Nguyen Quang Huy and Robert Christian Y.
A copula-based hierarchical hybrid loss distribution pp. 73-87: Bernardi Enrico and Romagnoli Silvia

Law-invariant risk measures: Extension properties and qualitative robustness pp. 215-236: Koch-Medina Pablo and Munari Cosimo
Constrained inference in multiple regression with structural changes pp. 237-257: Chen Fuqi and Nkurunziza Sévérien
Stochastic dominance with respect to a capacity and risk measures pp. 259-295: Grigorova Miryana
Change point test for tail index of scale-shifted processes pp. 297-333: Kim Moosup and Lee Sangyeol
Optimal risk allocation for convex risk functionals in general risk domains pp. 335-365: Kiesel Swen and Rüschendorf Ludger

Asymptotic results for the regression function estimate on continuous time stationary and ergodic data pp. 129-150: Didi Sultana and Louani Djamal
A note on nonparametric estimation of bivariate tail dependence pp. 151-162: Bücher Axel
Prediction of regionalized car insurance risks based on control variates pp. 163-181: Christiansen Marcus C., Hirsch Christian and Schmidt Volker
Stochastic orderings with respect to a capacity and an application to a financial optimization problem pp. 183-213: Grigorova Miryana

Central clearing of OTC derivatives: Bilateral vs multilateral netting pp. 3-22: Cont Rama and Kokholm Thomas
Optimal control of interbank contagion under complete information pp. 23-48: Minca Andreea and Sulem Agnès
On dependence consistency of CoVaRand some other systemic risk measures pp. 49-77: Mainik Georg and Schaanning Eric
Spatial risk measures and their local specification: The locally law-invariant case pp. 79-101: Föllmer Hans
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type pp. 103-128: Frittelli Marco and Maggis Marco

Editorial to the special issue on Copulae of Statistics & Risk Modeling pp. 281-286: Ostap Okhrin
What makes dependence modeling challenging? Pitfalls and ways to circumvent them pp. 287-306: Mai Jan-Frederik and Scherer Matthias
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 pp. 307-342: Brechmann Eike Christain and Czado Claudia
Bernstein estimator for unbounded copula densities pp. 343-360: Bouezmarni Taoufik, Ghouch El and Abderrahim Taamouti
Dynamic structured copula models pp. 361-388: Wolfgang Härdle, Ostap Okhrin and Okhrin Yarema

The bootstrap does not alwayswork for heteroscedasticmodels pp. 189-204: Shimizu Kenichi
Estimating scale parameters under an order statistics prior pp. 205-219: Burkschat Marco, Kamps Udo and Kateri Maria
Conditional L1 estimation for random coefficient integer-valued autoregressive processes pp. 221-235: Chen Xi and Wang Lihong
American Options with guarantee – A class of two-sided stopping problems pp. 237-254: Christensen Sören and Irle Albrecht
Membership conditions for consistent families of monetary valuations pp. 255-280: Roorda Berend and Johannes Schumacher

Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin pp. 105-120: Gelman Andrew, Robert Christian P. and Rousseau Judith
Comments on the review of Statistical Inference pp. 121-132: Aitkin Murray
Loss-based risk measures pp. 133-167: Cont Rama, Deguest Romain and He Xue Dong
A harmonic function approach to Nash-equilibria of Kifer-type stopping games pp. 169-180: Lerche Hans Rudolf and Stich Dominik
A note on the biasedness and unbiasedness of two-sample Kolmogorov–Smirnov test pp. 181-188: Bubeliny Peter

Perpetual American options in a diffusion model with piecewise-linear coefficients pp. 1-21: Gapeev Pavel V. and Rodosthenous Neofytos
Properties of hierarchical Archimedean copulas pp. 21-54: Ostap Okhrin, Okhrin Yarema and Schmid Wolfgang
Rate of convergence of the density estimation of regression residual pp. 55-74: Györfi László and Walk Harro
A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties pp. 75-104: Laïb Naâmane, Lemdani Mohamed and Ould Saïd Elias