Statistics & Risk Modeling

1982 - 2026

Current editor(s): Robert Stelzer

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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

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

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

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

Letter from the Editors pp. 297-298: Pflug Georg Ch.
Risk margin for a non-life insurance run-off pp. 299-317: Wüthrich Mario V., Embrechts Paul and Tsanakas Andreas
On the exact distribution of the estimated expected utility portfolio weights: Theory and applications pp. 319-342: Bodnar Taras and Schmid Wolfgang
Well-balanced Lévy driven Ornstein–Uhlenbeck processes pp. 343-357: Schnurr Alexander and Woerner Jeannette H. C.
Central limit theorem for the integrated squared error of the empirical second-order product density and goodness-of-fit tests for stationary point processes pp. 359-387: Heinrich Lothar and Klein Stella
Test on components of mixture densities pp. 389-410: Autin Florent and Pouet Christophe

Law invariant risk measures on L∞ (ℝd) pp. 195-225: Ekeland Ivar and Schachermayer Walter
A Bayesian sequential testing problem of three hypotheses for Brownian motion pp. 227-249: Zhitlukhin Mikhail V. and Shiryaev Albert
Optimal dividend-payout in random discrete time pp. 251-276: Albrecher Hansjörg, Bäuerle Nicole and Thonhauser Stefan
Multivariate log-concave distributions as a nearly parametric model pp. 277-295: Schuhmacher Dominic, Hüsler André and Dümbgen Lutz

Expansions for the risk of Stein type estimates for non-normal data pp. 81-95: Withers Christopher S. and Nadarajah Saralees
Mean-risk tests of stochastic dominance pp. 97-118: Darinka Dentcheva, Stock Gregory J. and Rekeda Ludmyla
Non-parametric drift estimation for diffusions from noisy data pp. 119-150: Schmisser Emeline
Comparison of Markov processes via infinitesimal generators pp. 151-168: Rüschendorf Ludger and Wolf Viktor
Method of moment estimation in time-changed Lévy models pp. 169-194: Kallsen Jan and Muhle-Karbe Johannes

Abstentions in the German Bundesrat and ternary decision rules in weighted voting systems pp. 1-16: Birkmeier Olga, Käufl Andreas and Pukelsheim Friedrich
Asymptotic utility-based pricing and hedging for exponential utility pp. 17-36: Kallsen Jan and Rheinländer Thorsten
Robust replication in H-self-similar Gaussian market models under uncertainty pp. 37-50: Gapeev Pavel V., Tommi Sottinen and Valkeila Esko
A note on moment convergence of bootstrap M-estimators pp. 51-61: Kato Kengo
On the maximization of financial performance measures within mixture models pp. 63-80: Hentati Rania and Jean-Luc Prigent

A note on incomplete and boundedly complete families of discrete distributions pp. 227-234: Purkayastha Sumitra
Option pricing in bilateral Gamma stock models pp. 281-307: Küchler Uwe and Tappe Stefan
On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion pp. 309-326: Höpfner Reinhard and Kutoyants Yury A.
On Brownian motion as a prior for nonparametric regression pp. 335-356: Harry van Zanten
The face-lifting theorem for proportional transaction costs in multiasset models pp. 357-369: Blum Benedikt

A note on pivotal Value-at-Risk estimates pp. 201-209: Pflug Georg Ch. and Schaller Peter
A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets pp. 211-233: Irle Albrecht and Prelle Claas
Cusp estimation in random design regression models pp. 235-248: Fujii Takayuki
On the mean residual waiting time of records pp. 249-260: Bdair Omar M. and Raqab Mohammad Z.
A maximal inequality for skew Brownian motion pp. 261-280: Zhitlukhin Mikhail V.

Estimation of split-points in binary regression pp. 93-128: Ferger Dietmar and Klotsche Jens
On hedging European options in geometric fractional Brownian motion market model pp. 129-144: Azmoodeh Ehsan, Mishura Yuliya and Valkeila Esko
On the Bayesianity of maximum likelihood estimators of restricted location parameters under absolute value error loss pp. 145-168: Kucerovsky Dan, Marchand Eric, Amir Payandeh and Strawderman William E.
Subgradients of law-invariant convex risk measures on L pp. 169-199: Svindland Gregor

Robust efficient hedging for American options: The existence of worst case probability measures pp. 1-23: Trevino Aguilar Erick
Shrinkage estimation in elliptically contoured distribution with restricted parameter space pp. 25-35: Tsukuma Hisayuki
Minimum risk equivariant estimator in linear regression model pp. 37-54: Jurecková Jana and Picek Jan
Non-standard behavior of density estimators for sums of squared observations pp. 55-73: Schick Anton and Wefelmeyer Wolfgang
The likelihood ratio test for non-standard hypotheses near the boundary of the null – with application to the assessment of non-inferiority pp. 75-92: Balabdaoui Fadoua, Mielke Matthias and Munk Axel