## Klüppelberg, Claudia

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 Author ID: kluppelberg.claudia Published as: Klüppelberg, Claudia; Klüppelberg, C. Homepage: http://www.professoren.tum.de/klueppelberg-claudia/ External Links: MGP · ORCID · Wikidata · Google Scholar · dblp · GND · IdRef
 Documents Indexed: 137 Publications since 1987, including 2 Books 7 Contributions as Editor · 1 Further Contribution Reviewing Activity: 50 Reviews Co-Authors: 105 Co-Authors with 135 Joint Publications 2,322 Co-Co-Authors
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### Co-Authors

 10 single-authored 11 Mikosch, Thomas 8 Maller, Ross Arthur 6 Davis, Richard A. 6 Lindner, Alexander M. 6 Resnick, Sidney Ira 5 Asmussen, Søren 5 Balkema, August A. 5 Barndorff-Nielsen, Ole Eiler 5 Chong, Carsten 5 Fasen, Vicky 5 Haug, Stephan 5 Kuhn, Gabriel 5 Pergamenshchikov, Sergeĭ Markovich 4 Jacod, Jean 4 Kley, Oliver 4 Peng, Liang 4 Steinkohl, Christina 3 Behme, Anita Diana 3 Buhl, Sven 3 Embrechts, Paul 3 Esmaeili, Habib 3 Fink, Holger 3 Müller, Gernot J. 3 Reinert, Gesine D. 2 Baltrūnas, Aleksandras 2 Biagini, Francesca 2 Borkovec, Milan 2 Brockwell, Peter J. 2 Buchmann, Boris 2 Cotar, Codina 2 Daley, Daryl John 2 do Rêgo Sousa, Thiago 2 Eder, Irmingard 2 Emmer, Susanne 2 Ferrazzano, Vincenzo 2 Friesecke, Gero 2 Gissibl, Nadine 2 Kostadinova, Radostina 2 Kyprianou, Andreas E. 2 Lauritzen, Steffen Lilholt 2 Seifert, Miriam Isabel 2 Stadtmüller, Ulrich 2 Villaseñor, José A. 1 Adler, Robert Joseph 1 Améndola, Carlos 1 Bankovsky, Damien 1 Beran, Rudolf J. 1 Bertoin, Jean 1 Böcker, Klaus 1 Bregman, Yuliya 1 Brokate, Martin 1 Buchwalder, Markus 1 Buck, Johannes J. 1 Chen, Bohan 1 Chevallier, Eric 1 Coles, Stuart G. 1 Cox, David Roxbee 1 Delong, Łukasz 1 Doney, Ron 1 Finkenstädt, Bärbel F. 1 Föllmer, Hans 1 Fougères, Anne-Laure 1 Fuschini, Serena 1 Gadrich, Tamar 1 García, Isabel 1 Goldie, Charles M. 1 Greiner, Michael 1 Henriksen, Lotte Fløe 1 Hsing, Talien 1 Jaschke, Stefan R. 1 Jobmann, Manfred 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Kalashnikov, Vladimir Vyacheslavovich 1 Keller, Barbara 1 Klepsch, J. 1 Konstantinides, Dimitrios G. 1 Korn, Ralf 1 Krali, Mario 1 Kuhn, Christoph 1 Matsui, Muneya 1 May, Angelika 1 Mayr, Kathrin 1 Menzel, Annette 1 Meyer-Brandis, Thilo 1 Pham, Viet Son 1 Polonik, Wolfgang 1 Rasmussen, Morten Grud 1 Reichel, Lukas 1 Rootzén, Holger 1 Samorodnitsky, Gennady Pinkhosovich 1 Schärf, Anette 1 Schlather, Martin 1 Schmidt, Andrea 1 Seydel, Roland C. 1 Sigman, Karl 1 Smith, Richard L. 1 Stelzer, Robert 1 Straub, Daniel 1 Szimayer, Alexander 1 Tran, Ngoc Mai ...and 10 more Co-Authors
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### Serials

 12 Stochastic Processes and their Applications 11 Journal of Applied Probability 11 Bernoulli 7 The Annals of Applied Probability 6 Scandinavian Journal of Statistics 6 Extremes 5 Insurance Mathematics & Economics 4 Journal of Multivariate Analysis 4 Journal of Time Series Analysis 3 Advances in Applied Probability 3 Finance and Stochastics 3 Oberwolfach Reports 3 Journal of the Korean Statistical Society 2 The Annals of Statistics 2 Scandinavian Actuarial Journal 2 Statistics & Probability Letters 2 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM) 2 The Econometrics Journal 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 Scandinavian Actuarial Journal 2 Quantitative Finance 2 Monographs on Statistics and Applied Probability 1 Archive for Rational Mechanics and Analysis 1 Communications on Pure and Applied Mathematics 1 Journal of Mathematical Analysis and Applications 1 Mathematical Methods in the Applied Sciences 1 Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) 1 Teoriya Veroyatnosteĭ i eë Primeneniya 1 The Annals of Probability 1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 1 Journal of Econometrics 1 Journal of the London Mathematical Society. Second Series 1 Operations Research 1 Proceedings of the London Mathematical Society. Third Series 1 Semigroup Forum 1 Communications in Statistics. Stochastic Models 1 Probability Theory and Related Fields 1 Queueing Systems 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Journal of Mathematical Sciences (New York) 1 Journal of Nonparametric Statistics 1 Mathematical Finance 1 Australian & New Zealand Journal of Statistics 1 Stochastic Models 1 Statistical Modelling 1 Lecture Notes in Mathematics 1 Journal of Statistical Theory and Practice 1 Electronic Journal of Statistics 1 Statistics and Its Interface 1 SIAM Journal on Financial Mathematics 1 Statistics & Risk Modeling 1 Applications of Mathematics
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### Fields

 100 Probability theory and stochastic processes (60-XX) 80 Statistics (62-XX) 54 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Operations research, mathematical programming (90-XX) 8 General and overarching topics; collections (00-XX) 7 Combinatorics (05-XX) 7 Numerical analysis (65-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Systems theory; control (93-XX) 2 Integral transforms, operational calculus (44-XX) 2 Integral equations (45-XX) 1 History and biography (01-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Astronomy and astrophysics (85-XX)

### Citations contained in zbMATH Open

123 Publications have been cited 3,183 times in 2,311 Documents Cited by Year
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Subexponential distributions and integrated tails. Zbl 0651.60020
Klüppelberg, Claudia
1988
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
2004
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
1997
Subexponential distributions and characterizations of related classes. Zbl 0687.60017
Klüppelberg, Claudia
1989
A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. Zbl 1068.62093
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
2004
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
1995
Ruin probabilities in the presence of heavy-tails and interest rates. Zbl 1022.60083
1998
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
1996
The tail of the stationary distribution of an autoregressive process with $$\text{ARCH}(1)$$ errors. Zbl 1010.62083
Borkovec, Milan; Klüppelberg, Claudia
2001
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
2001
Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
2013
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
1999
Subexponential distributions. Zbl 0923.62021
Goldie, Charles M.; Klüppelberg, Claudia
1998
Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049
Emmer, Susanne; Klüppelberg, Claudia
2004
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Zbl 1082.60080
Baltrūnas, A.; Daley, D. J.; Klüppelberg, C.
2004
The tail of the stationary distribution of a random coefficient $$\text{AR}(q)$$ model. Zbl 1094.62114
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2004
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2008
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
2002
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
2003
Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325
2008
Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020
Klüppelberg, Claudia; Kühn, Christoph
2004
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2007
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
1995
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
2006
Asymptotic ordering of distribution functions and convolution semigroups. Zbl 0687.60018
Klüppelberg, Claudia
1990
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
2008
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
1994
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
1996
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
2006
The full solution of the convolution closure problem for convolution- equivalent distributions. Zbl 0731.60013
Klüppelberg, Claudia; Villasenor, José A.
1991
High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
2013
Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Zbl 1394.82015
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
2018
Densities with Gaussian tails. Zbl 0789.60010
Balkema, A. A.; Klüppelberg, C.; Resnick, S. I.
1993
Estimation of ruin probabilities by means of hazard rates. Zbl 0686.62093
Klüppelberg, Claudia
1989
Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155
Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea
2010
Method of moment estimation in the COGARCH$$(1,1)$$ model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
2007
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
2005
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
1993
Some aspects of insurance mathematics. Zbl 0803.62092
Embrechts, P.; Klüppelberg, C.
1993
Multivariate models for operational risk. Zbl 1204.91059
Böcker, Klaus; Klüppelberg, Claudia
2010
Extremes of supOU processes. Zbl 1136.60034
Fasen, Vicky; Klüppelberg, Claudia
2007
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
1998
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
2004
Extremal behavior of stochastic volatility models. Zbl 1159.62068
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander
2006
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080
Fink, Holger; Klüppelberg, Claudia
2011
Statistical inference for max-stable processes in space and time. Zbl 1411.60071
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2013
Copula structure analysis. Zbl 1250.62031
Klüppelberg, Claudia; Kuhn, Gabriel
2009
Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2013
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
2011
Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150
Esmaeili, Habib; Klüppelberg, Claudia
2010
The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037
Klüppelberg, Claudia; Resnick, Sidney I.
2008
Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
2016
High-frequency sampling of a continuous-time ARMA process. Zbl 1300.62070
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
2012
High-level dependence in time series models. Zbl 1226.60079
Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin
2010
Renewal theory for functionals of a Markov chain with compact state space. Zbl 1048.60065
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2003
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
1994
Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111
Esmaeili, Habib; Klüppelberg, Claudia
2011
Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112
Chong, Carsten; Klüppelberg, Claudia
2015
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108
Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia
2011
Estimation of distribution tails – A semiparametric approach. Zbl 0796.62027
Klüppelberg, Claudia; Villaseñor, José A.
1993
Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363
García, Isabel; Klüppelberg, Claudia; Müller, Gernot
2011
Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279
Buhl, Sven; Klüppelberg, Claudia
2016
Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074
Klüppelberg, Claudia; Matsui, Muneya
2015
A note on the tail accuracy of the univariate saddlepoint approximation. Zbl 0790.62024
Barndorff-Nielsen, Ole E.; Klüppelberg, Claudia
1992
Fractional integral equations and state space transforms. Zbl 1114.60048
Buchmann, Boris; Klüppelberg, Claudia
2006
Extremal behaviour of models with multivariate random recurrence representation. Zbl 1118.60060
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2007
The first passage event for sums of dependent Lévy processes with applications to insurance risk. Zbl 1209.60029
Eder, Irmingard; Klüppelberg, Claudia
2009
A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044
Kabanov, Yuriy; Klüppelberg, Claudia
2004
Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116
Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia
1999
Max-linear models on directed acyclic graphs. Zbl 1419.62138
2018
An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346
Klepsch, J.; Klüppelberg, C.
2017
Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211
Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas
2015
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
2011
Dependence estimation and visualization in multivariate extremes with applications to financial data. Zbl 1090.62049
Hsing, Talien; Klüppelberg, Claudia; Kuhn, Gabriel
2004
Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina
2013
Tauberian results for densities with Gaussian tails. Zbl 0821.60025
Balkema, A. A.; Klüppelberg, C.; Stadtmüller, U.
1995
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
1996
Domains of attraction for exponential families. Zbl 1075.60502
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
2003
A fractional credit model with long range dependent default rate. Zbl 1268.91166
Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia
2013
Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052
Eder, Irmingard; Klüppelberg, Claudia
2012
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037
Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander
2004
Limit laws for exponential families. Zbl 0939.62020
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
1999
Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008
Barndorff-Nielsen, O. E.; Klüppelberg, C.
1999
Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033
Baltrūnas, Aleksandras; Klüppelberg, Claudia
2004
Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061
Klüppelberg, Claudia; May, Angelika
2006
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
2017
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 05984140
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
2011
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
2018
Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041
Klüppelberg, Claudia; Lindner, Alexander
2005
Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044
Buchmann, Boris; Klüppelberg, Claudia
2005
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
2018
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
2014
Statistical estimation of large claim distributions. Zbl 0850.62768
Keller, Barbara; Klüppelberg, Claudia
1991
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models. Zbl 1018.62071
Klüppelberg, Claudia; Maller, Ross A.; van de Vyver, Mark; Wee, Derick
2002
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
1997
Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183
Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2019
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
2016
Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053
Esmaeili, Habib; Klüppelberg, Claudia
2013
Identifiability and estimation of recursive max-linear models. Zbl 1467.62105
Gissibl, Nadine; Klüppelberg, Claudia; Lauritzen, Steffen
2021
Estimating an extreme Bayesian network via scalings. Zbl 1461.62083
Klüppelberg, Claudia; Krali, Mario
2021
Recursive max-linear models with propagating noise. Zbl 1471.62353
Buck, Johannes; Klüppelberg, Claudia
2021
Indirect inference for time series using the empirical characteristic function and control variates. Zbl 1476.62181
Davis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia
2021
Ruin probabilities for risk processes in a bipartite network. Zbl 1468.60058
Behme, Anita; Klüppelberg, Claudia; Reinert, Gesine
2020
Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183
Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2019
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Zbl 1422.60030
Buhl, Sven; Klüppelberg, Claudia
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
2019
Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Zbl 1394.82015
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
2018
Max-linear models on directed acyclic graphs. Zbl 1419.62138
2018
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
2018
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
2018
An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346
Klepsch, J.; Klüppelberg, C.
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
2017
Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
2016
Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279
Buhl, Sven; Klüppelberg, Claudia
2016
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
2016
Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127
Doney, Ron; Klüppelberg, Claudia; Maller, Ross
2016
Simulation of stochastic Volterra equations driven by space-time Lévy noise. Zbl 1354.60074
Chen, Bohan; Chong, Carsten; Klüppelberg, Claudia
2016
Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112
Chong, Carsten; Klüppelberg, Claudia
2015
Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074
Klüppelberg, Claudia; Matsui, Muneya
2015
Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211
Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas
2015
Copula structure analysis based on extreme dependence. Zbl 1407.62164
Klüppelberg, Claudia; Haug, Stephan; Kuhn, Gabriel
2015
Superposition of COGARCH processes. Zbl 1339.60035
Behme, Anita; Chong, Carsten; Klüppelberg, Claudia
2015
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
2014
Asymmetric COGARCH processes. Zbl 1329.60093
Behme, Anita; Klüppelberg, Claudia; Mayr, Kathrin
2014
Risk. A multidisciplinary introduction. Zbl 1286.91005
2014
Quantifying extreme risks. Zbl 1291.91106
Fasen, Vicky; Klüppelberg, Claudia; Menzel, Annette
2014
Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
2013
High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
2013
Statistical inference for max-stable processes in space and time. Zbl 1411.60071
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2013
Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
2013
Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina
2013
A fractional credit model with long range dependent default rate. Zbl 1268.91166
Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia
2013
Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053
Esmaeili, Habib; Klüppelberg, Claudia
2013
Outcrossings of safe regions by generalized hyperbolic processes. Zbl 1320.60096
Klüppelberg, Claudia; Rasmussen, Morten Grud
2013
High-frequency sampling of a continuous-time ARMA process. Zbl 1300.62070
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
2012
Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052
Eder, Irmingard; Klüppelberg, Claudia
2012
Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
2012
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080
Fink, Holger; Klüppelberg, Claudia
2011
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
2011
Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111
Esmaeili, Habib; Klüppelberg, Claudia
2011
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108
Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia
2011
Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363
García, Isabel; Klüppelberg, Claudia; Müller, Gernot
2011
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
2011
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 05984140
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
2011
Corrigendum to “Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times”. Zbl 1223.60075
Daley, Daryl J.; Klüppelberg, Claudia; Yang, Yang
2011
Credit contagion in a long range dependent macroeconomic factor model. Zbl 1237.91219
Biagini, Francesca; Fuschini, Serena; Klüppelberg, Claudia
2011
Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155
Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea
2010
Multivariate models for operational risk. Zbl 1204.91059
Böcker, Klaus; Klüppelberg, Claudia
2010
Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150
Esmaeili, Habib; Klüppelberg, Claudia
2010
High-level dependence in time series models. Zbl 1226.60079
Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin
2010
Copula structure analysis. Zbl 1250.62031
Klüppelberg, Claudia; Kuhn, Gabriel
2009
The first passage event for sums of dependent Lévy processes with applications to insurance risk. Zbl 1209.60029
Eder, Irmingard; Klüppelberg, Claudia
2009
Optimal consumption and investment with bounded downside risk for power utility functions. Zbl 1200.91281
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2009
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2008
Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325
2008
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
2008
The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037
Klüppelberg, Claudia; Resnick, Sidney I.
2008
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2007
Method of moment estimation in the COGARCH$$(1,1)$$ model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
2007
Extremes of supOU processes. Zbl 1136.60034
Fasen, Vicky; Klüppelberg, Claudia
2007
Extremal behaviour of models with multivariate random recurrence representation. Zbl 1118.60060
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2007
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
2006
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
2006
Extremal behavior of stochastic volatility models. Zbl 1159.62068
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander
2006
Fractional integral equations and state space transforms. Zbl 1114.60048
Buchmann, Boris; Klüppelberg, Claudia
2006
Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061
Klüppelberg, Claudia; May, Angelika
2006
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
2005
Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041
Klüppelberg, Claudia; Lindner, Alexander
2005
Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044
Buchmann, Boris; Klüppelberg, Claudia
2005
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
2004
A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. Zbl 1068.62093
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
2004
Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049
Emmer, Susanne; Klüppelberg, Claudia
2004
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Zbl 1082.60080
Baltrūnas, A.; Daley, D. J.; Klüppelberg, C.
2004
The tail of the stationary distribution of a random coefficient $$\text{AR}(q)$$ model. Zbl 1094.62114
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2004
Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020
Klüppelberg, Claudia; Kühn, Christoph
2004
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
2004
A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044
Kabanov, Yuriy; Klüppelberg, Claudia
2004
Dependence estimation and visualization in multivariate extremes with applications to financial data. Zbl 1090.62049
Hsing, Talien; Klüppelberg, Claudia; Kuhn, Gabriel
2004
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037
Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander
2004
Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033
Baltrūnas, Aleksandras; Klüppelberg, Claudia
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
2003
Renewal theory for functionals of a Markov chain with compact state space. Zbl 1048.60065
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
2003
Domains of attraction for exponential families. Zbl 1075.60502
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
2003
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
2002
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models. Zbl 1018.62071
Klüppelberg, Claudia; Maller, Ross A.; van de Vyver, Mark; Wee, Derick
2002
The tail of the stationary distribution of an autoregressive process with $$\text{ARCH}(1)$$ errors. Zbl 1010.62083
Borkovec, Milan; Klüppelberg, Claudia
2001
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
2001
Developments in insurance mathematics. Zbl 1047.91543
Klüppelberg, Claudia
2001
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
1999
Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116
Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia
1999
Limit laws for exponential families. Zbl 0939.62020
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
1999
Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008
Barndorff-Nielsen, O. E.; Klüppelberg, C.
1999
Ruin probabilities in the presence of heavy-tails and interest rates. Zbl 1022.60083
1998
Subexponential distributions. Zbl 0923.62021
Goldie, Charles M.; Klüppelberg, Claudia
1998
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
1998
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
1997
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
1997
...and 23 more Documents
all top 5

### Cited by 2,503 Authors

 74 Klüppelberg, Claudia 58 Tang, Qihe 48 Hashorva, Enkelejd 48 Mikosch, Thomas 43 Yang, Yang 37 Wang, Yuebao 29 Samorodnitsky, Gennady Pinkhosovich 28 Wang, Kaiyong 25 Šiaulys, Jonas 22 Peng, Liang 21 Asmussen, Søren 21 Girard, Stéphane 20 Resnick, Sidney Ira 19 Gao, Qingwu 18 Embrechts, Paul 18 Zwart, Bert P. 16 Chen, Yiqing 16 Foss, Sergey G. 16 Kokoszka, Piotr S. 16 Leipus, Remigijus 16 Li, Jinzhu 16 Yuen, Kam Chuen 15 Maller, Ross Arthur 15 Ng, Kai Wang 15 Yang, Hailiang 14 Blanchet, Jose H. 14 Guillou, Armelle 14 Macci, Claudio 14 Wang, Dingcheng 14 Yin, Chuancun 13 Cheng, Dongya 13 Dębicki, Krzysztof 13 Palmowski, Zbigniew 13 Pergamenshchikov, Sergeĭ Markovich 13 Shen, Xinmei 12 Albrecher, Hansjörg 12 Davis, Richard A. 12 Lindner, Alexander M. 12 Segers, Johan 12 Su, Chun 11 Dembińska, Anna 11 Fasen, Vicky 11 Fu, Ke’ang 11 Gardes, Laurent 11 Hu, Taizhong 11 Kyprianou, Andreas E. 11 Mao, Tiantian 11 Meyer-Brandis, Thilo 11 Robert, Christian Yann 11 Stelzer, Robert 11 Torrisi, Giovanni Luca 10 Asimit, Alexandru V. 10 Behme, Anita Diana 10 Chen, Yu 10 Das, Bikramjit 10 Konstantinides, Dimitrios G. 10 Korshunov, Dmitry Alekseevich 10 Ling, Shiqing 10 Lu, Dawei 10 Taqqu, Murad S. 9 Damek, Ewa 9 Eliazar, Iddo I. 9 Griffin, Philip S. 9 Ji, Lanpeng 9 Kortschak, Dominik 9 Lin, Jinguan 9 Liu, Xijun 9 McElroy, Tucker S. 9 Song, Lixin 9 Todorov, Viktor 8 Denisov, Denis E. 8 Grahovac, Danijel 8 Hill, Jonathan B. 8 Matsui, Muneya 8 Naveau, Philippe 8 Pakes, Anthony G. 8 Stupfler, Gilles 8 Wang, Shijie 8 Watanabe, Toshiro 8 Yu, Changjun 8 Yuan, Zhongyi 8 Zhang, Yi 7 Barndorff-Nielsen, Ole Eiler 7 Beirlant, Jan 7 Beran, Jan 7 Biagini, Francesca 7 Chong, Carsten 7 Dieker, A. B. 7 Friesecke, Gero 7 Geluk, Jaap L. 7 Glynn, Peter W. 7 Guo, Fenglong 7 Kulik, Rafał 7 Leonenko, Nikolai N. 7 Li, Haijun 7 Markovich, Natalia M. 7 Omey, Edward 7 Politis, Konstadinos 7 Tsitsiashvili, Gurami Sh. 7 Wintenberger, Olivier ...and 2,403 more Authors
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### Cited in 263 Serials

 149 Insurance Mathematics & Economics 139 Statistics & Probability Letters 121 Stochastic Processes and their Applications 109 Extremes 80 Journal of Applied Probability 66 Advances in Applied Probability 61 Bernoulli 60 Journal of Multivariate Analysis 59 The Annals of Applied Probability 56 Journal of Econometrics 49 Journal of Statistical Planning and Inference 48 Communications in Statistics. Theory and Methods 40 Lithuanian Mathematical Journal 40 Scandinavian Actuarial Journal 32 Queueing Systems 31 Methodology and Computing in Applied Probability 31 Stochastic Models 29 Journal of Theoretical Probability 28 Journal of Mathematical Analysis and Applications 27 The Annals of Statistics 24 Annals of the Institute of Statistical Mathematics 23 ASTIN Bulletin 22 Computational Statistics and Data Analysis 21 Journal of the Korean Statistical Society 20 Econometric Theory 18 The Annals of Probability 16 Acta Mathematicae Applicatae Sinica. English Series 16 North American Actuarial Journal 15 Journal of Time Series Analysis 15 European Journal of Operational Research 15 Test 15 Statistical Papers 15 Journal of Inequalities and Applications 15 Electronic Journal of Statistics 14 Journal of Computational and Applied Mathematics 14 Journal of Statistical Computation and Simulation 14 Finance and Stochastics 13 Probability Theory and Related Fields 12 Metrika 12 Annals of Operations Research 11 Stochastic Analysis and Applications 11 Statistics 11 Journal of Economic Dynamics & Control 11 Journal of Applied Statistics 11 Statistical Inference for Stochastic Processes 11 Applied Stochastic Models in Business and Industry 11 Frontiers of Mathematics in China 10 Mathematical Methods of Operations Research 10 Probability in the Engineering and Informational Sciences 10 Quantitative Finance 10 Science China. Mathematics 9 Scandinavian Journal of Statistics 9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 9 Journal of Mathematical Sciences (New York) 9 Mathematical Finance 9 Journal of Industrial and Management Optimization 9 Journal of Statistical Theory and Practice 9 European Actuarial Journal 9 Statistics and Computing 9 Statistics & Risk Modeling 9 Dependence Modeling 9 Modern Stochastics. Theory and Applications 8 Journal of Statistical Physics 8 Applied Mathematics and Computation 8 Mathematics and Computers in Simulation 8 Acta Mathematica Sinica. English Series 8 SIAM Journal on Financial Mathematics 7 Physica A 7 Science in China. Series A 7 SIAM Journal on Mathematical Analysis 7 International Journal of Theoretical and Applied Finance 7 Stochastics 7 The Annals of Applied Statistics 7 Journal of Probability and Statistics 6 Chaos, Solitons and Fractals 6 Theory of Probability and its Applications 6 Kybernetika 6 Econometric Reviews 6 Japan Journal of Industrial and Applied Mathematics 6 Automation and Remote Control 6 Electronic Journal of Probability 6 Journal of Nonparametric Statistics 6 Brazilian Journal of Probability and Statistics 6 Statistical Methods and Applications 5 Operations Research Letters 5 Cybernetics and Systems Analysis 5 Applied Mathematics. Series B (English Edition) 5 Journal of Difference Equations and Applications 5 Mathematical Problems in Engineering 5 Abstract and Applied Analysis 5 The Econometrics Journal 5 Journal of the Royal Statistical Society. Series B. Statistical Methodology 5 Nonlinear Analysis. Modelling and Control 5 Journal of Systems Science and Complexity 5 Statistical Methodology 4 Computers & Mathematics with Applications 4 Journal of the American Statistical Association 4 Operations Research 4 Statistical Science 4 Economics Letters ...and 163 more Serials
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### Cited in 43 Fields

 1,409 Probability theory and stochastic processes (60-XX) 1,213 Statistics (62-XX) 803 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 130 Numerical analysis (65-XX) 125 Operations research, mathematical programming (90-XX) 55 Systems theory; control (93-XX) 46 Calculus of variations and optimal control; optimization (49-XX) 30 Statistical mechanics, structure of matter (82-XX) 29 Computer science (68-XX) 20 Partial differential equations (35-XX) 19 Combinatorics (05-XX) 17 Geophysics (86-XX) 13 Integral transforms, operational calculus (44-XX) 12 Quantum theory (81-XX) 11 Real functions (26-XX) 10 Measure and integration (28-XX) 10 Dynamical systems and ergodic theory (37-XX) 10 Biology and other natural sciences (92-XX) 8 Special functions (33-XX) 8 Approximations and expansions (41-XX) 7 Linear and multilinear algebra; matrix theory (15-XX) 7 Integral equations (45-XX) 7 Functional analysis (46-XX) 7 Convex and discrete geometry (52-XX) 6 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Difference and functional equations (39-XX) 5 Operator theory (47-XX) 5 Information and communication theory, circuits (94-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Algebraic topology (55-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 2 History and biography (01-XX) 2 Number theory (11-XX) 2 Associative rings and algebras (16-XX) 2 Functions of a complex variable (30-XX) 2 Fluid mechanics (76-XX) 1 Mathematical logic and foundations (03-XX) 1 Field theory and polynomials (12-XX) 1 Algebraic geometry (14-XX) 1 Potential theory (31-XX) 1 Sequences, series, summability (40-XX) 1 Astronomy and astrophysics (85-XX)

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