Statistics & Risk Modeling

1982 - 2024

Current editor(s): Robert Stelzer

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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

Minimaxity of the Stein risk-minimization estimator for a normal mean matrix pp. 243-261: Kubokawa Tatsuya and Tsukuma Hisayuki
Estimation of search tree size and approximate counting: A likelihood approach pp. 263-274: Dennert Florian and Grübel Rudolf
Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps pp. 275-288: Kohler Michael, Krzyzak Adam and Walk Harro
On a stochastic version of the trading rule “Buy and Hold” pp. 289-302: Shiryaev Albert and Novikov Alexander A.
Characterization of optimal risk allocations for convex risk functionals pp. 303-319: Kiesel Swen and Rüschendorf Ludger

On nonparametric estimation of the regression function under random censorship model pp. 159-177: Guessoum Zohra and Ould-Said Elias
Estimation of optimal portfolio compositions for Gaussian returns pp. 179-201: Bodnar Taras and Schmid Wolfgang
Improved estimation for elliptically symmetric distributions with unknown block diagonal covariance matrix pp. 203-217: Fourdrinier Dominique, Strawderman William E. and Wells Martin T.
A Bayesian approach to incorporate model ambiguity in a dynamic risk measure pp. 219-242: Bäuerle Nicole and Mundt André

Editorial pp. 73-73: Kaniovski Yuri and Pflug Georg Ch.
A lattice model with incomplete information: A credit risk application pp. 75-88: Cherubini Umberto, Sabrina Mulinacci and Romagnoli Silvia
Optimal portfolios with Haezendonck risk measures pp. 89-108: Bellini Fabio and Rosazza Gianin Emanuela
Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization pp. 109-143: Guigues Vincent
Nonparametric nearest neighbor based empirical portfolio selection strategies pp. 145-157: Györfi László, Frederic Udina and Walk Harro

Editorial pp. 1-1: Pflug Georg Ch.
Goodness of fit testing using a specific density estimate pp. 3-23: Albers Casper J. and Schaafsma Willem
Uniform and individual convergence rates for convex density classes pp. 25-34: Meister Alexander
A kernel-based classifier on a Riemannian manifold pp. 35-51: Loubes Jean-Michel and Pelletier Bruno
Comparison results for path-dependent options pp. 53-72: Bergenthum Jan and Rüschendorf Ludger