Statistics & Risk Modeling

1982 - 2024

Current editor(s): Robert Stelzer

From De Gruyter
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Volume 32, issue 3-4, 2015

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

Volume 32, issue 2, 2016

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

Volume 32, issue 1, 2015

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

Volume 31, issue 3-4, 2014

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

Volume 31, issue 2, 2014

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

Volume 31, issue 1, 2014

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

Volume 30, issue 4, 2013

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

Volume 30, issue 3, 2013

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

Volume 30, issue 2, 2013

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

Volume 30, issue 1, 2013

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

Volume 29, issue 4, 2012

Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests pp. 281-314

Bodnar Taras, Schmid Wolfgang and Zabolotskyy Tara

The covariance structure of cml-estimates in the Rasch model pp. 315-342

Strasser Helmut

Asymptotic expansions for conditional moments of Bernoulli trials pp. 327-343

Strasser Helmut

Erratum to: Dependence properties of dynamic credit risk models pp. 345-346

Bäuerle Nicole and Schmock Uwe

Volume 29, issue 3, 2012

On the functional local linear estimate for spatial regression pp. 189-214

Chouaf Abdelhak and Laksaci Ali

Adaptive estimation for an inverse regression model with unknown operator pp. 215-242

Marteau Clement and Loubes Jean-Michel

Dependence properties of dynamic credit risk models pp. 243-268

Bäuerle Nicole and Schmock Uwe

A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market pp. 269-280

Ziehaus Christina

Volume 29, issue 2, 2012

Bounds for joint portfolios of dependent risks pp. 107-132

Giovanni Puccetti and Rüschendorf Ludger

Time consistency of multi-period distortion measures pp. 133-153

Fasen Vicky and Svejda Adela

Stable stopping pp. 155-174

Treviño Aguilar Erick

Moderate deviations and intermediate efficiency for lack-of-fit tests pp. 175-187

Mason David M. and Eubank Randy

Volume 29, issue 1, 2012

Conditional risk and acceptability mappings as Banach-lattice valued mappings pp. 1-18

Raimund Kovacevic

PCA-kernel estimation pp. 19-46

Biau Gérard and Mas André

Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm pp. 47-72

Cénac P., Maume-Deschamps V. and Prieur C.

Ordering of multivariate risk models with respect to extreme portfolio losses pp. 73-106

Mainik Georg and Rüschendorf Ludger