Impact Factor: 1.5

Veröffentlicht seit 20. Juni 1982

Statistics & Risk Modeling

with Applications in Finance and Insurance

ISSN: 2196-7040

Editor-in-Chief: Robert Stelzer

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Über diese Zeitschrift

Objective
Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged.

Topics

Statistical analysis for models in finance and insurance
Credit-, market- and operational risk models
Models for systemic risk
Risk management
Nonparametric statistical inference
Statistical analysis of stochastic processes
Stochastics in finance and insurance
Decision making under uncertainty

Article formats
Original research articles

> Information on submission process

Ihre Vorteile

Your benefits:

New results in statistics and probabilistic methods
State-of-the-art methodological innovations
Theoretical and applicative approach
High quality peer-review

Geschichte

The journal was founded in 1982 as “Statistics & Decisions“.

Vorherige Titel

“Statistics & Decisions” became “Statistics & Risk Modeling” in 2012.

Frühere Ausgaben

All back issues beginning with issue 1 of volume 1 in 1982 are available online at: http://www.degruyter.com/view/j/strm

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Externe Links

Online Submission of Manuscripts

Band 40 Heft 3-4

Juli 2023

Öffentlich zugänglich 1. Juli 2023

Frontmatter

Seiten: i-iv

PDF downloaden

14. Oktober 2022

A robust estimator of the proportional hazard transform for massive data

Tami Omar, Rassoul Abdelaziz, Ould Rouis Hamid

Seiten: 53-65

Mehr

Abstract

In this paper, we explore the idea of grouping under the massive data framework, to propose a median-of-means non-parametric type estimator for the Proportional Hazard Transform (PHT), which has been widely used in finance and insurance. Under certain conditions on the growth rate of subgroups, the consistency and asymptotic normality of the proposed estimators are investigated. Furthermore, we construct a new method to test PHT based on the empirical likelihood method for the median in order to avoid any prior estimate of the variance structure for the proposed estimator, as it is difficult to estimate and often causes much inaccuracy. Numerical simulations and real-data analysis are designed to show the present estimator’s performance. The results confirm that the new put-forward estimator is quite robust with respect to outliers.

25. August 2023

Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation

Emmanuel Coffie

Seiten: 67-89

Mehr

Abstract

In this paper, we study the analytical properties of the true solution to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jumps. Since this model does not have a closed-form solution, we employ several new truncated Euler-Maruyama (EM) techniques to investigate the finite-time strong convergence theory of the numerical solution under the local Lipschitz condition plus the Khasminskii-type condition. We justify the strong convergence result for Monte Carlo calibration and valuation of some debt and derivative instruments.

Ahead-of-Print / Just-Accepted

Ahead-of-Print / Just-Accepted

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Band 1 (1983)

Journal Impact Factor	1.5	2022, Journal Citation Reports (Clarivate, 2023)
5-year Journal Impact Factor	1.0	2022, Journal Citation Reports (Clarivate, 2023)
Journal Citation Indicator	0.52	2022, Journal Citation Reports (Clarivate, 2023)
CiteScore	1.1	2022, Scopus (Elsevier B.V., 2023)
SCImago Journal Rank	0.441	2022, SJR (Scimago Lab, 2023; Data Source: Scopus)
Source Normalized Impact per Paper	0.429	2022, CWTS Journal Indicators (CWTS B.V., 2023; Data Source: Scopus)
Mathematical Citation Quotient	0.25

Weitere Informationen über Zeitschriftenmetriken

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Submission
You can easily submit your manuscript online. Simply go to http://www.editorialmanager.com/statdec and you will be guided through the whole peer-reviewing and publishing process.

Your benefits of publishing with us

Rapid online publication ahead-of-print with short turnaround times
High impact
High quality peer-review
Easy-to-use online submission system
Free publication of color figures both in online and print editions and no page charges
Optional open access publication
Every article easily discoverable because of SEO and comprehensive abstracting and indexing services
Convenient citation tracking via e-mail alert
Secure archiving by De Gruyter and the independent archiving service Portico
Professional sales and marketing activities

Submission process

Check that your topic fits the scope of the journal
Please prepare the manuscript with TEX or a LaTeX Package
Submit your paper via our submission management tool
The editorial office will forward your manuscript for peer-review
You will be guided through every step of peer review process
You will be informed by e-mail if your manuscript has been accepted or rejected or if it requires further attention
If and when an article is accepted for publication, the author(s) agree(s) to grant an exclusive and unlimited right reproduce and distribute the article in any form anywhere in the world
When manuscripts are accepted subject to revision, the revised manuscript should be returned within approx. 60 days
Once your article is accepted you have the option to publish it open access
Publication online and in print (2 weeks from acceptance to publication)

Please note

Before submitting your article please have a look at our Ethical Guidelines and our Copyright Transfer Agreement
Manuscripts must be written in clear and concise English
Once your article is accepted you have the option to publish it open access
If you have any general questions please visit our FAQ page for authors

We look forward to receiving your manuscript!

Hybrid Open Access

Please note that authors from institutions with which we have a transformative agreement can publish open access without paying an article processing charge (APC). More information on the eligible institutions and articles can be found under the "Funding and Support" tab here.

Editorial

Editor in Chief
Robert Stelzer, Germany

Co-Editors
Hansjörg Albrecher, Switzerland
Rama Cont, UK
Georg Pflug, Austria
Ludger Rüschendorf, Germany

Advisory Board
Paul Embrechts, Switzerland
Walter Schachermayer, Austria
Albert Shiryaev, Russia
Helmut Strasser, Austria

Associate Editors
Nicole Bäuerle, Germany
Wolfgang Härdle, Germany
Johanna Neslehova, Canada
Ludger Overbeck, Germany
Markus Pauly, Germany
Mark Podolskij, Luxembourg
Zari Rachev, USA
Mathieu Rosenbaum, France
Peter Tankov, France
Johanna Ziegel, Switzerland

Journal Coordinator
Birgit Zoglmeier
STRM.Editorial@degruyter.com

(English)

Online ISSN: 2196-7040
Print ISSN: 2193-1402
Typ: Zeitschrift
Sprache: Englisch
Verlag: De Gruyter (A)
Erstveröffentlichung: 20. Juni 1982
Erscheinungsweise: 4 Hefte pro Jahr
Zielgruppe: researchers in the field of statistics and risk modeling, professionals in finance, insurance and related areas