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Klüppelberg, Claudia

Author ID: kluppelberg.claudia Recent zbMATH articles by "Klüppelberg, 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
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

Publications by Year

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
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
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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
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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. Theory and Methods
72 Advances in Applied Probability
70 Journal of Multivariate Analysis
67 Bernoulli
65 The Annals of Applied Probability
62 Journal of Econometrics
52 Journal of Statistical Planning and Inference
45 Lithuanian Mathematical Journal
42 Scandinavian Actuarial Journal
40 Methodology and Computing in Applied Probability
38 Queueing Systems
35 Journal of Theoretical Probability
33 Stochastic Models
32 The Annals of Statistics
30 Journal of Mathematical Analysis and Applications
27 ASTIN Bulletin
26 Annals of the Institute of Statistical Mathematics
26 Computational Statistics and Data Analysis
22 Journal of Time Series Analysis
22 Econometric Theory
22 Journal of the Korean Statistical Society
20 Electronic Journal of Statistics
19 The Annals of Probability
19 North American Actuarial Journal
18 European Journal of Operational Research
18 Stochastics
17 Journal of Statistical Computation and Simulation
17 Quantitative Finance
16 Acta Mathematicae Applicatae Sinica. English Series
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16 Test
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15 Journal of Computational and Applied Mathematics
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15 Journal of Industrial and Management Optimization
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13 Communications in Statistics. Simulation and Computation
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12 Metrika
12 Physica A
12 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
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11 Journal of Statistical Physics
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11 Frontiers of Mathematics in China
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11 Dependence Modeling
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8 Acta Mathematica Sinica. English Series
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7 Chaos, Solitons and Fractals
7 Science in China. Series A
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7 SIAM Journal on Mathematical Analysis
7 International Journal of Theoretical and Applied Finance
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7 Statistical Methods and Applications
7 Journal of Probability and Statistics
6 Kybernetika
6 Automation and Remote Control
5 Computers & Mathematics with Applications
5 International Statistical Review
5 Journal of the American Statistical Association
5 Operations Research Letters
5 Cybernetics and Systems Analysis
5 SIAM Journal on Scientific Computing
5 Applied Mathematics. Series B (English Edition)
5 Mathematical Methods of Statistics
5 Journal of Difference Equations and Applications
5 Mathematical Problems in Engineering
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Abstract and Applied Analysis
5 The Econometrics Journal
5 Journal of the Royal Statistical Society. Series B. Statistical Methodology
...and 204 more Serials
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Cited in 44 Fields

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