We characterize the exponential distribution as the only one which satisfies a regression condition. This condition involves the regression function of a fixed record value given two other record values, one of them being previous and the other next to the fixed record value, and none of them...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...