Statistics & Risk Modeling

1982 - 2024

Current editor(s): Robert Stelzer

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Letter from the editor pp. 263-263: Strasser Helmut
Importance sampling for simulations of moderate deviation probabilities of statistics pp. 265-284: Ermakov Mikhail
Dynamic utility-based good deal bounds pp. 285-309: Klöppel Susanne and Schweizer Martin
Pricing and hedging with globally and instantaneously vanishing risk pp. 311-332: Leitner Johannes
Bootstrapping L2-type statistics in copula density testing pp. 333-347: Rehbock Volker

Minimax estimators of the coverage probability of the impermissible error for a location family pp. 173-215: Arcones Miguel A.
A limit theorem for recursively defined processes in Lp pp. 217-235: Eickmeyer Kord and Rüschendorf Ludger
Resampling in the frequency domain of time series to determine critical values for change-point tests pp. 237-261: Kirch Claudia

Large deviations for L-statistics pp. 89-125: Boistard Hélène
On universal Bayesian adaptation pp. 127-152: Lember Jüri and Aad van der Vaart
Optimal kernels pp. 153-172: Mammitzsch Volker

Estimating the error distribution function in semiparametric regression pp. 1-18: Müller Ursula U., Schick Anton and Wefelmeyer Wolfgang
Decision theoretic Bayesian hypothesis testing with the selection goal pp. 19-39: Bansal Naveen K.
Most powerful conditional tests pp. 41-62: Janssen Arnold and Völker Dominik
An asymptotic analysis of the mean-variance portfolio selection pp. 63-86: Ottucsák György and Vajda István

On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ pp. 397-413: Cabral Morais Manuel, Okhrin Yarema, Pacheco António and Schmidt Wolfgang
On utility-based derivative pricing with and without intermediate trades pp. 415-434: Kallsen Jan and Kühn Christoph
Pure self-financing trading strategies under transaction costs pp. 435-443: Beutner Eric
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings pp. 445-470: Feinberg Eugene A. and Shiryaev Albert N.

Bootstrap autoregressive order selection pp. 305-325: Franke Jürgen, Kreiss Jens-Peter and Moser Martin
Parametric and semiparametric inference for shape: the role of the scale functional pp. 327-350: Marc Hallin and Paindaveine Davy
Oracle inequalities for multi-fold cross validation pp. 351-371: Vaart Aad W. van der, Dudoit Sandrine and Laan Mark J. van der
The cross-validated adaptive epsilon-net estimator pp. 373-395: Laan Mark J. van der, Dudoit Sandrine and Vaart Aad W. van der

Statistical inference on graphs pp. 209-232: Biau Gérard and Bleakley Kevin
Estimating market risk with neural networks pp. 233-253: Franke Jürgen and Diagne Mabouba
On Markovian short rates in term structure models driven by jump-diffusion processes pp. 255-271: Gapeev Pavel V. and Küchler Uwe
Robust multivariate location estimation, admissibility, and shrinkage phenomenon pp. 273-290: Jurečková Jana and Sen P. K.
On local bootstrap bandwidth choice in kernel density estimation pp. 291-301: Ziegler Klaus
Correction note: On the optimal risk allocation problem pp. 303-303: Burgert Christian and Rüschendorf Ludger

Editorial preface pp. iii-iii: Rüschendorf L.
Risk measurement with equivalent utility principles pp. 1-25: Denuit Michel, Jan Dhaene, Marc Goovaerts, Kaas Rob and Roger Laeven
Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals pp. 27-44: Grigoriev Pavel G. and Leitner Johannes
On distortion functionals pp. 45-60: Pflug Georg Ch.
Convex risk measures and the dynamics of their penalty functions pp. 61-96: Föllmer Hans and Penner Irina
Law invariant convex risk measures for portfolio vectors pp. 97-108: Rüschendorf Ludger
Robust utility maximization in a stochastic factor model pp. 109-125: Hernández-Hernández Daniel and Schied Alexander
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints pp. 127-152: Carlier Guillaume and Dana Rose-Anne
On the optimal risk allocation problem pp. 153-171: Burgert Christian and Rüschendorf Ludger
Monetary utility over coherent risk ratios pp. 173-187: Leitner Johannes
Mean-risk optimization for index tracking pp. 189-207: Nakano Yumiharu

Input-dependent estimation of generalization error under covariate shift pp. 249-279: Sugiyama Masashi and Müller Klaus-Robert
Credit risk with infinite dimensional Lévy processes pp. 281-299: Özkan Fehmi and Schmidt Thorsten
Quantile hedging and its application to life insurance pp. 301-316: Melnikov Alexander and Skornyakova Victoria
The heat equation given a time series of initial data subject to error pp. 317-329: Hesse C. H.

Nonlinear wavelet density and hazard rate estimation for censored data under dependent observations pp. 161-180: Liang Han-Ying, Mammitzsch Volker and Steinebach Josef
Empirical Bayes estimation by wavelet series pp. 181-198: Pensky Marianna and Alotaibi Mohammed
Duality theory for optimal investments under model uncertainty pp. 199-217: Schied Alexander and Wu Ching-Tang
Qualitative stability of stochastic programs with applications in asymptotic statistics pp. 219-248: Vogel Silvia

Absolutely continuous optimal martingale measures pp. 81-100: Acciaio Beatrice
Optimal choice of kn-records in the extreme value index estimation pp. 101-115: El Arrouchi Mohamed and Imlahi Abdelouahid
On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence pp. 117-129: Heinrich Lothar, Pukelsheim Friedrich and Schwingenschlögl Udo
Recursive random variables with subgaussian distributions pp. 131-146: Neininger Ralph
Change in non-parametric regression with long memory errors pp. 147-159: Wang Lihong

Optimal consumption strategies under model uncertainty pp. 1-14: Burgert Christian and Rüschendorf Ludger
Perpetual convertible bonds in jump-diffusion models pp. 15-31: Gapeev Pavel V. and Kühn Christoph
On low dimensional case in the fundamental asset pricing theorem with transaction costs pp. 33-48: Grigoriev Pavel G.
Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures pp. 49-66: Leitner Johannes
Approximations of empirical probability generating processes pp. 67-80: Szűcs Gábor