Edit Profile (opens in new tab) Klüppelberg, Claudia Co-Author Distance 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: 145 Publications since 1987, including 2 Books and 4 Additional arXiv Preprints 7 Contributions as Editor · 1 Further Contribution Reviewing Activity: 50 Reviews Co-Authors: 109 Co-Authors with 143 Joint Publications 2,052 Co-Co-Authors all top 5 Co-Authors 10 single-authored 13 Mikosch, Thomas 8 Maller, Ross Arthur 6 Davis, Richard A. 6 Haug, Stephan 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 Kuhn, Gabriel 5 Pergamenshchikov, Sergeĭ Markovich 4 Buhl, Sven 4 Embrechts, Paul 4 Jacod, Jean 4 Kley, Oliver 4 Peng, Liang 4 Steinkohl, Christina 3 Behme, Anita Diana 3 Esmaeili, Habib 3 Fink, Holger 3 Müller, Gernot J. 3 Reinert, Gesine D. 3 Seifert, Miriam Isabel 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 Pham, Viet Son 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 Das, Bikramjit 1 Delong, Łukasz 1 Doney, Ronald Arthur 1 Fasen-Hartmann, Vicky 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, Johannes 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 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 Sönmez, Ercan 1 Stelzer, Robert ...and 14 more Co-Authors all top 5 Serials 12 Stochastic Processes and their Applications 11 Journal of Applied Probability 11 Bernoulli 7 The Annals of Applied Probability 7 Extremes 6 Scandinavian Journal of Statistics 5 Journal of Multivariate Analysis 5 Insurance Mathematics & Economics 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 Journal of Mathematical Sciences (New York) 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 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 all top 5 Fields 107 Probability theory and stochastic processes (60-XX) 85 Statistics (62-XX) 57 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 131 Publications have been cited 3,775 times in 2,736 Documents Cited by ▼ Year ▼ Modelling extremal events for insurance and finance. Zbl 0873.62116 Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas 1,568 1997 Subexponential distributions and integrated tails. Zbl 0651.60020 Klüppelberg, Claudia 146 1988 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049 Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 101 2004 Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021 Klüppelberg, C.; Mikosch, T. 94 1997 Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030 Klüppelberg, Claudia; Mikosch, Thomas 82 1995 A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. Zbl 1068.62093 Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross 79 2004 Subexponential distributions and characterizations of related classes. Zbl 0687.60017 Klüppelberg, Claudia 74 1989 Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076 Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J. 73 1995 Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057 Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia 58 2013 Ruin probabilities in the presence of heavy-tails and interest rates. Zbl 1022.60083 Klüppelberg, Claudia; Stadtmüller, Ulrich 55 1998 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020 Asmussen, S.; Klüppelberg, C. 49 1996 The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors. Zbl 1010.62083 Borkovec, Milan; Klüppelberg, Claudia 47 2001 Sampling at subexponential times, with queueing applications. Zbl 0961.60080 Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 43 1999 Optimal portfolios with bounded capital at risk. Zbl 1038.91044 Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf 43 2001 Subexponential distributions. Zbl 0923.62021 Goldie, Charles M.; Klüppelberg, Claudia 42 1998 Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049 Emmer, Susanne; Klüppelberg, Claudia 36 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. 34 2004 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 32 2008 Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020 Klüppelberg, Claudia; Kühn, Christoph 31 2004 The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. Zbl 1094.62114 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 30 2004 Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325 Klüppelberg, Claudia; Kostadinova, Radostina 29 2008 Asymptotic ordering of distribution functions and convolution semigroups. Zbl 0687.60018 Klüppelberg, Claudia 28 1990 Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013 Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette 28 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 27 2002 Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048 Delong, Łukasz; Klüppelberg, Claudia 26 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 25 2007 Delay in claim settlement and ruin probability approximations. Zbl 0836.62086 Klüppelberg, C.; Mikosch, T. 24 1995 The integrated periodogram for stable processes. Zbl 0898.62116 Klüppelberg, Claudia; Mikosch, Thomas 22 1996 Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363 García, Isabel; Klüppelberg, Claudia; Müller, Gernot 22 2011 On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071 Klüppelberg, C.; Kyprianou, A. E. 21 2006 The full solution of the convolution closure problem for convolution- equivalent distributions. Zbl 0731.60013 Klüppelberg, Claudia; Villasenor, José A. 21 1991 Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231 Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. 21 2007 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 20 2018 Densities with Gaussian tails. Zbl 0789.60010 Balkema, A. A.; Klüppelberg, C.; Resnick, S. I. 20 1993 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 20 2004 Statistical inference for max-stable processes in space and time. Zbl 1411.60071 Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 20 2013 High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578 Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia 20 2013 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067 Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 19 1994 Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053 Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross 19 2006 Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080 Fink, Holger; Klüppelberg, Claudia 18 2011 Multivariate models for operational risk. Zbl 1204.91059 Böcker, Klaus; Klüppelberg, Claudia 18 2010 Estimation of ruin probabilities by means of hazard rates. Zbl 0686.62093 Klüppelberg, Claudia 17 1989 Extremes of supOU processes. Zbl 1136.60034 Fasen, Vicky; Klüppelberg, Claudia 17 2007 Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118 Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 17 2013 Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155 Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea 16 2010 Max-linear models on directed acyclic graphs. Zbl 1419.62138 Gissibl, Nadine; Klüppelberg, Claudia 16 2018 Some aspects of insurance mathematics. Zbl 0803.62092 Embrechts, P.; Klüppelberg, C. 16 1993 The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037 Klüppelberg, Claudia; Resnick, Sidney I. 15 2008 Extremal behavior of stochastic volatility models. Zbl 1159.62068 Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander 15 2006 Extremal behavior of diffusion models in finance. Zbl 0931.60036 Borkovec, Milan; Klüppelberg, Claudia 15 1998 Spectral estimates and stable processes. Zbl 0779.60023 Klüppelberg, Claudia; Mikosch, Thomas 15 1993 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031 Bregman, Yuliya; Klüppelberg, Claudia 15 2005 Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112 Chong, Carsten; Klüppelberg, Claudia 14 2015 Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100 Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 14 2016 Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111 Esmaeili, Habib; Klüppelberg, Claudia 12 2011 Copula structure analysis. Zbl 1250.62031 Klüppelberg, Claudia; Kuhn, Gabriel 12 2009 Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081 Klüppelberg, Claudia; Mikosch, Thomas 12 1994 High-level dependence in time series models. Zbl 1226.60079 Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin 11 2010 Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150 Esmaeili, Habib; Klüppelberg, Claudia 11 2010 Statistical models and methods for dependence in insurance data. Zbl 1296.62205 Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 High-frequency sampling of a continuous-time ARMA process. Zbl 1300.62070 Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia 11 2012 An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346 Klepsch, J.; Klüppelberg, C. 11 2017 An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108 Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia 10 2011 Renewal theory for functionals of a Markov chain with compact state space. Zbl 1048.60065 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 10 2003 Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279 Buhl, Sven; Klüppelberg, Claudia 10 2016 Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074 Klüppelberg, Claudia; Matsui, Muneya 10 2015 Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037 Fink, Holger; Klüppelberg, Claudia; Zähle, Martina 10 2013 Fractional integral equations and state space transforms. Zbl 1114.60048 Buchmann, Boris; Klüppelberg, Claudia 9 2006 Estimation of distribution tails – A semiparametric approach. Zbl 0796.62027 Klüppelberg, Claudia; Villaseñor, José A. 9 1993 Extremal behaviour of models with multivariate random recurrence representation. Zbl 1118.60060 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 8 2007 Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116 Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia 8 1999 Tauberian results for densities with Gaussian tails. Zbl 0821.60025 Balkema, A. A.; Klüppelberg, C.; Stadtmüller, U. 8 1995 On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079 Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross 8 2011 The first passage event for sums of dependent Lévy processes with applications to insurance risk. Zbl 1209.60029 Eder, Irmingard; Klüppelberg, Claudia 8 2009 A note on the tail accuracy of the univariate saddlepoint approximation. Zbl 0790.62024 Barndorff-Nielsen, Ole E.; Klüppelberg, Claudia 8 1992 A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044 Kabanov, Yuriy; Klüppelberg, Claudia 8 2004 Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211 Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas 8 2015 Conditional risk measures in a bipartite market structure. Zbl 1416.91194 Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 8 2018 Domains of attraction for exponential families. Zbl 1075.60502 Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I. 7 2003 Dependence estimation and visualization in multivariate extremes with applications to financial data. Zbl 1090.62049 Hsing, Talien; Klüppelberg, Claudia; Kuhn, Gabriel 7 2004 A fractional credit model with long range dependent default rate. Zbl 1268.91166 Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia 7 2013 Limit laws for exponential families. Zbl 0939.62020 Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I. 6 1999 Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008 Barndorff-Nielsen, O. E.; Klüppelberg, C. 6 1999 Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052 Eder, Irmingard; Klüppelberg, Claudia 6 2012 Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061 Klüppelberg, Claudia; May, Angelika 6 2006 Gaussian limit fields for the integrated periodogram. Zbl 0866.60030 Klüppelberg, Claudia; Mikosch, Thomas 6 1996 Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183 Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 6 2019 Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041 Klüppelberg, Claudia; Lindner, Alexander 5 2005 The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585 Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander 5 2011 Spatial risk measures: local specification and boundary risk. Zbl 1386.91080 Föllmer, Hans; Klüppelberg, Claudia 5 2014 Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245 Chong, Carsten; Klüppelberg, Claudia 5 2018 Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037 Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander 5 2004 Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033 Baltrūnas, Aleksandras; Klüppelberg, Claudia 5 2004 Testing for non-correlation between price and volatility jumps. Zbl 1422.91781 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 5 2017 Identifiability and estimation of recursive max-linear models. Zbl 1467.62105 Gissibl, Nadine; Klüppelberg, Claudia; Lauritzen, Steffen 5 2021 Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053 Esmaeili, Habib; Klüppelberg, Claudia 5 2013 Estimating an extreme Bayesian network via scalings. Zbl 1461.62083 Klüppelberg, Claudia; Krali, Mario 5 2021 Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044 Buchmann, Boris; Klüppelberg, Claudia 4 2005 Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127 Doney, Ron; Klüppelberg, Claudia; Maller, Ross 4 2016 Partial mean field limits in heterogeneous networks. Zbl 1427.60197 Chong, Carsten; Klüppelberg, Claudia 4 2019 Conditional independence in max-linear Bayesian networks. Zbl 07493815 Améndola, Carlos; Klüppelberg, Claudia; Lauritzen, Steffen; Tran, Ngoc M. 2 2022 Identifiability and estimation of recursive max-linear models. Zbl 1467.62105 Gissibl, Nadine; Klüppelberg, Claudia; Lauritzen, Steffen 5 2021 Estimating an extreme Bayesian network via scalings. Zbl 1461.62083 Klüppelberg, Claudia; Krali, Mario 5 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 1 2021 Estimation of causal continuous-time autoregressive moving average random fields. Zbl 1467.62146 Klüppelberg, Claudia; Pham, Viet Son 1 2021 Recursive max-linear models with propagating noise. Zbl 1471.62353 Buck, Johannes; Klüppelberg, Claudia 1 2021 Ruin probabilities for risk processes in a bipartite network. Zbl 1468.60058 Behme, Anita; Klüppelberg, Claudia; Reinert, Gesine 3 2020 Explicit results on conditional distributions of generalized exponential mixtures. Zbl 1454.62066 Klüppelberg, Claudia; Seifert, Miriam Isabel 1 2020 Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183 Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 6 2019 Partial mean field limits in heterogeneous networks. Zbl 1427.60197 Chong, Carsten; Klüppelberg, Claudia 4 2019 Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306 Klüppelberg, Claudia; Seifert, Miriam Isabel 3 2019 Indirect inference for Lévy-driven continuous-time GARCH models. Zbl 1433.62269 do Rêgo Sousa, Thiago; Haug, Stephan; Klüppelberg, Claudia 2 2019 Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Zbl 1422.60030 Buhl, Sven; Klüppelberg, Claudia 2 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 20 2018 Max-linear models on directed acyclic graphs. Zbl 1419.62138 Gissibl, Nadine; Klüppelberg, Claudia 16 2018 Conditional risk measures in a bipartite market structure. Zbl 1416.91194 Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 8 2018 Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245 Chong, Carsten; Klüppelberg, Claudia 5 2018 An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346 Klepsch, J.; Klüppelberg, C. 11 2017 Testing for non-correlation between price and volatility jumps. Zbl 1422.91781 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 5 2017 Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100 Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 14 2016 Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279 Buhl, Sven; Klüppelberg, Claudia 10 2016 Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127 Doney, Ron; Klüppelberg, Claudia; Maller, Ross 4 2016 Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304 Kley, Oliver; Klüppelberg, Claudia 3 2016 Simulation of stochastic Volterra equations driven by space-time Lévy noise. Zbl 1354.60074 Chen, Bohan; Chong, Carsten; Klüppelberg, Claudia 2 2016 Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112 Chong, Carsten; Klüppelberg, Claudia 14 2015 Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074 Klüppelberg, Claudia; Matsui, Muneya 10 2015 Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211 Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas 8 2015 Copula structure analysis based on extreme dependence. Zbl 1407.62164 Klüppelberg, Claudia; Haug, Stephan; Kuhn, Gabriel 3 2015 Superposition of COGARCH processes. Zbl 1339.60035 Behme, Anita; Chong, Carsten; Klüppelberg, Claudia 2 2015 Time-consistency of risk measures with GARCH volatilities and their estimation. Zbl 1351.60068 Klüppelberg, Claudia; Zhang, Jianing 1 2015 Spatial risk measures: local specification and boundary risk. Zbl 1386.91080 Föllmer, Hans; Klüppelberg, Claudia 5 2014 Asymmetric COGARCH processes. Zbl 1329.60093 Behme, Anita; Klüppelberg, Claudia; Mayr, Kathrin 2 2014 Quantifying extreme risks. Zbl 1291.91106 Fasen, Vicky; Klüppelberg, Claudia; Menzel, Annette 1 2014 Risk. A multidisciplinary introduction. Zbl 1286.91005 1 2014 Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057 Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia 58 2013 Statistical inference for max-stable processes in space and time. Zbl 1411.60071 Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 20 2013 High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578 Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia 20 2013 Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118 Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 17 2013 Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037 Fink, Holger; Klüppelberg, Claudia; Zähle, Martina 10 2013 A fractional credit model with long range dependent default rate. Zbl 1268.91166 Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia 7 2013 Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053 Esmaeili, Habib; Klüppelberg, Claudia 5 2013 Outcrossings of safe regions by generalized hyperbolic processes. Zbl 1320.60096 Klüppelberg, Claudia; Rasmussen, Morten Grud 1 2013 High-frequency sampling of a continuous-time ARMA process. Zbl 1300.62070 Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia 11 2012 Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052 Eder, Irmingard; Klüppelberg, Claudia 6 2012 Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 4 2012 Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363 García, Isabel; Klüppelberg, Claudia; Müller, Gernot 22 2011 Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080 Fink, Holger; Klüppelberg, Claudia 18 2011 Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111 Esmaeili, Habib; Klüppelberg, Claudia 12 2011 Statistical models and methods for dependence in insurance data. Zbl 1296.62205 Haug, Stephan; Klüppelberg, Claudia; Peng, Liang 11 2011 An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108 Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia 10 2011 On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079 Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross 8 2011 The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585 Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander 5 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 1 2011 Credit contagion in a long range dependent macroeconomic factor model. Zbl 1237.91219 Biagini, Francesca; Fuschini, Serena; Klüppelberg, Claudia 1 2011 Multivariate models for operational risk. Zbl 1204.91059 Böcker, Klaus; Klüppelberg, Claudia 18 2010 Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155 Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea 16 2010 High-level dependence in time series models. Zbl 1226.60079 Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin 11 2010 Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150 Esmaeili, Habib; Klüppelberg, Claudia 11 2010 Copula structure analysis. Zbl 1250.62031 Klüppelberg, Claudia; Kuhn, Gabriel 12 2009 The first passage event for sums of dependent Lévy processes with applications to insurance risk. Zbl 1209.60029 Eder, Irmingard; Klüppelberg, Claudia 8 2009 Optimal consumption and investment with bounded downside risk for power utility functions. Zbl 1200.91281 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 3 2009 Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. Zbl 1197.91177 Klüppelberg, Claudia; Pergamenshchikov, Serguei 1 2009 Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 32 2008 Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325 Klüppelberg, Claudia; Kostadinova, Radostina 29 2008 Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048 Delong, Łukasz; Klüppelberg, Claudia 26 2008 The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037 Klüppelberg, Claudia; Resnick, Sidney I. 15 2008 Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048 Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang 25 2007 Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231 Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. 21 2007 Extremes of supOU processes. Zbl 1136.60034 Fasen, Vicky; Klüppelberg, Claudia 17 2007 Extremal behaviour of models with multivariate random recurrence representation. Zbl 1118.60060 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 8 2007 On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071 Klüppelberg, C.; Kyprianou, A. E. 21 2006 Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053 Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross 19 2006 Extremal behavior of stochastic volatility models. Zbl 1159.62068 Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander 15 2006 Fractional integral equations and state space transforms. Zbl 1114.60048 Buchmann, Boris; Klüppelberg, Claudia 9 2006 Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061 Klüppelberg, Claudia; May, Angelika 6 2006 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031 Bregman, Yuliya; Klüppelberg, Claudia 15 2005 Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041 Klüppelberg, Claudia; Lindner, Alexander 5 2005 Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044 Buchmann, Boris; Klüppelberg, Claudia 4 2005 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049 Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 101 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 79 2004 Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049 Emmer, Susanne; Klüppelberg, Claudia 36 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. 34 2004 Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020 Klüppelberg, Claudia; Kühn, Christoph 31 2004 The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. Zbl 1094.62114 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 30 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 20 2004 A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044 Kabanov, Yuriy; Klüppelberg, Claudia 8 2004 Dependence estimation and visualization in multivariate extremes with applications to financial data. Zbl 1090.62049 Hsing, Talien; Klüppelberg, Claudia; Kuhn, Gabriel 7 2004 Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037 Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander 5 2004 Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033 Baltrūnas, Aleksandras; Klüppelberg, Claudia 5 2004 Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013 Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette 28 2003 Renewal theory for functionals of a Markov chain with compact state space. Zbl 1048.60065 Klüppelberg, Claudia; Pergamenchtchikov, Serguei 10 2003 Domains of attraction for exponential families. Zbl 1075.60502 Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I. 7 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 27 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 3 2002 The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors. Zbl 1010.62083 Borkovec, Milan; Klüppelberg, Claudia 47 2001 Optimal portfolios with bounded capital at risk. Zbl 1038.91044 Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf 43 2001 Complex stochastic systems. Zbl 0948.00013 2 2001 Developments in insurance mathematics. Zbl 1047.91543 Klüppelberg, Claudia 1 2001 Sampling at subexponential times, with queueing applications. Zbl 0961.60080 Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 43 1999 Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116 Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia 8 1999 ...and 31 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,997 Authors 79 Klüppelberg, Claudia 60 Tang, Qihe 55 Mikosch, Thomas 51 Yang, Yang 50 Hashorva, Enkelejd 40 Wang, Yuebao 31 Wang, Kaiyong 30 Šiaulys, Jonas 29 Samorodnitsky, Gennady Pinkhosovich 26 Gao, Qingwu 24 Girard, Stéphane 22 Asmussen, Søren 22 Peng, Liang 21 Li, Jinzhu 20 Resnick, Sidney Ira 20 Yuen, Kam Chuen 19 Cheng, Dongya 19 Embrechts, Paul 19 Kokoszka, Piotr S. 18 Leipus, Remigijus 18 Zwart, Bert P. 17 Chen, Yiqing 16 Foss, Sergey G. 16 Guillou, Armelle 16 Liu, Xijun 16 Palmowski, Zbigniew 16 Wang, Shijie 15 Blanchet, Jose H. 15 Davis, Richard A. 15 Lindner, Alexander M. 15 Macci, Claudio 15 Maller, Ross Arthur 15 Ng, Kai Wang 15 Stelzer, Robert 15 Wang, Dingcheng 15 Yang, Hailiang 14 Yin, Chuancun 13 Albrecher, Hansjörg 13 Baltrūnas, Aleksandras 13 Dębicki, Krzysztof 13 Fu, Ke’ang 13 Konstantinides, Dimitrios G. 13 Lu, Dawei 13 Robert, Christian-Yann 13 Segers, Johan 13 Shen, Xinmei 13 Stupfler, Gilles 12 Das, Bikramjit 12 Ji, Lanpeng 12 Kyprianou, Andreas E. 12 Ling, Shiqing 12 Omey, Edward 12 Su, Chun 11 Behme, Anita Diana 11 Chen, Yu 11 Damek, Ewa 11 Dembińska, Anna 11 Eliazar, Iddo I. 11 Fasen, Vicky 11 Gardes, Laurent 11 Hu, Taizhong 11 Mao, Tiantian 11 Meyer-Brandis, Thilo 11 Torrisi, Giovanni Luca 11 Yu, Changjun 10 Asimit, Alexandru V. 10 Korshunov, Dmitry Alekseevich 10 Kortschak, Dominik 10 Matsui, Muneya 10 Taqqu, Murad S. 10 Watanabe, Toshiro 9 Davison, Anthony C. 9 Denisov, Denis E. 9 Engelke, Sebastian 9 Friesecke, Gero 9 Glynn, Peter W. 9 Griffin, Philip S. 9 Kulik, Rafał 9 Lin, Jinguan 9 Naveau, Philippe 9 Pergamenshchikov, Sergeĭ Markovich 9 Song, Lixin 9 Todorov, Viktor 9 Wintenberger, Olivier 9 Xu, Hui 9 Yuan, Zhongyi 9 Zhang, Zhengjun 8 Basrak, Bojan 8 Beirlant, Jan 8 Brockwell, Peter J. 8 Geng, Bingzhen 8 Grahovac, Danijel 8 Guo, Fenglong 8 Hill, Jonathan B. 8 Jiang, Tao 8 Li, Haijun 8 Nešlehová, Johanna G. 8 Pakes, Anthony G. 8 Peng, Jiangyan 8 Shang, Han Lin ...and 2,897 more Authors all top 5 Cited in 304 Serials 161 Insurance Mathematics & Economics 148 Statistics & Probability Letters 135 Stochastic Processes and their Applications 120 Extremes 86 Journal of Applied Probability 80 Communications in Statistics. 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