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Klüppelberg, Claudia

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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 · GND · IdRef
Documents Indexed: 142 Publications since 1987, including 6 Books
Reviewing Activity: 50 Reviews
all top 5

Co-Authors

10 single-authored
10 Mikosch, Thomas
8 Maller, Ross Arthur
6 Lindner, Alexander M.
5 Asmussen, Søren
5 Balkema, August A.
5 Barndorff-Nielsen, Ole Eiler
5 Chong, Carsten
5 Davis, Richard A.
5 Fasen, Vicky
5 Haug, Stephan
5 Kuhn, Gabriel
5 Pergamenshchikov, Sergeĭ Markovich
5 Resnick, Sidney Ira
4 Jacod, Jean
4 Kley, Oliver
4 Peng, Liang
4 Steinkohl, Christina
3 Behme, Anita Diana
3 Buhl, Sven
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 Eder, Irmingard
2 Embrechts, Paul
2 Emmer, Susanne
2 Ferrazzano, Vincenzo
2 Friesecke, Gero
2 Gissibl, Nadine
2 Kostadinova, Radostina
2 Kyprianou, Andreas E.
2 Seifert, Miriam Isabel
2 Stadtmüller, Ulrich
2 Villaseñor, José A.
1 Adler, Robert Joseph
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 Cox, David Roxbee
1 Delong, Łukasz
1 Doney, Ron
1 Föllmer, Hans
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 Lauritzen, Steffen Lilholt
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 Samorodnitsky, Gennady Pinkhosovich
1 Schärf, Anette
1 Schlather, Martin
1 Schmidt, Andrea
1 Seydel, Roland C.
1 Sigman, Karl
1 Sousa, Thiago Do Rêgo
1 Stelzer, Robert
1 Straub, Daniel
1 Szimayer, Alexander
1 Tsitsiashvili, Gurami Sh.
1 Ueltzhöfer, Florian A. J.
1 van de Vyver, Mark
1 Wee, Derick
1 Welpe, Isabell M.
1 Weron, Aleksander
1 Zähle, Martina
...and 2 more Co-Authors
all top 5

Serials

12 Stochastic Processes and their Applications
11 Journal of Applied Probability
11 Bernoulli
6 Scandinavian Journal of Statistics
6 The Annals of Applied Probability
6 Extremes
5 Insurance Mathematics & Economics
4 Journal of Multivariate Analysis
3 Advances in Applied Probability
3 Journal of Time Series Analysis
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
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 Monographs on Statistics and Applied Probability
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

119 Publications have been cited 3,001 times in 2,174 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
129
1988
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
90
2004
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
81
1997
Subexponential distributions and characterizations of related classes. Zbl 0687.60017
Klüppelberg, Claudia
66
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
61
2004
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
57
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
51
1995
Ruin probabilities in the presence of heavy-tails and interest rates. Zbl 1022.60083
Klüppelberg, Claudia; Stadtmüller, Ulrich
47
1998
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
47
1996
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
43
2001
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors. Zbl 1010.62083
Borkovec, Milan; Klüppelberg, Claudia
41
2001
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
38
1999
Subexponential distributions. Zbl 0923.62021
Goldie, Charles M.; Klüppelberg, Claudia
37
1998
Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049
Emmer, Susanne; Klüppelberg, Claudia
33
2004
Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
33
2013
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.
29
2004
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. Zbl 1094.62114
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
28
2004
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
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
25
2002
Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325
Klüppelberg, Claudia; Kostadinova, Radostina
21
2008
On extreme ruinous behaviour of Lévy insurance risk processes. Zbl 1118.60071
Klüppelberg, C.; Kyprianou, A. E.
20
2006
Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020
Klüppelberg, Claudia; Kühn, Christoph
20
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
20
2003
Asymptotic ordering of distribution functions and convolution semigroups. Zbl 0687.60018
Klüppelberg, Claudia
19
1990
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
19
2008
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
19
1995
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
19
1996
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
18
2006
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
18
2007
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
18
1994
The full solution of the convolution closure problem for convolution- equivalent distributions. Zbl 0731.60013
Klüppelberg, Claudia; Villasenor, José A.
17
1991
Estimation of ruin probabilities by means of hazard rates. Zbl 0686.62093
Klüppelberg, Claudia
16
1989
Densities with Gaussian tails. Zbl 0789.60010
Balkema, A. A.; Klüppelberg, C.; Resnick, S. I.
16
1993
Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
15
2007
High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
15
2013
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
15
1993
Some aspects of insurance mathematics. Zbl 0803.62092
Embrechts, P.; Klüppelberg, C.
15
1993
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
15
2018
Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155
Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea
14
2010
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
13
2005
Extremal behavior of stochastic volatility models. Zbl 1159.62068
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander
13
2006
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
13
1998
Extremes of supOU processes. Zbl 1136.60034
Fasen, Vicky; Klüppelberg, Claudia
12
2007
Multivariate models for operational risk. Zbl 1204.91059
Böcker, Klaus; Klüppelberg, Claudia
12
2010
Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
12
2013
Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150
Esmaeili, Habib; Klüppelberg, Claudia
11
2010
Statistical inference for max-stable processes in space and time. Zbl 1411.60071
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
11
2013
The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037
Klüppelberg, Claudia; Resnick, Sidney I.
11
2008
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080
Fink, Holger; Klüppelberg, Claudia
11
2011
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Copula structure analysis. Zbl 1250.62031
Klüppelberg, Claudia; Kuhn, Gabriel
11
2009
Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
10
2016
High-level dependence in time series models. Zbl 1226.60079
Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin
10
2010
Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111
Esmaeili, Habib; Klüppelberg, Claudia
10
2011
High-frequency sampling of a continuous-time ARMA process. Zbl 1300.62070
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
10
2012
Renewal theory for functionals of a Markov chain with compact state space. Zbl 1048.60065
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
10
2003
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
10
1994
Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112
Chong, Carsten; Klüppelberg, Claudia
9
2015
Fractional integral equations and state space transforms. Zbl 1114.60048
Buchmann, Boris; Klüppelberg, Claudia
8
2006
Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279
Buhl, Sven; Klüppelberg, Claudia
8
2016
Extremal behaviour of models with multivariate random recurrence representation. Zbl 1118.60060
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
8
2007
Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074
Klüppelberg, Claudia; Matsui, Muneya
8
2015
Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116
Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia
8
1999
A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044
Kabanov, Yuriy; Klüppelberg, Claudia
8
2004
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108
Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia
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
Estimation of distribution tails – A semiparametric approach. Zbl 0796.62027
Klüppelberg, Claudia; Villaseñor, José A.
8
1993
A note on the tail accuracy of the univariate saddlepoint approximation. Zbl 0790.62024
Barndorff-Nielsen, Ole E.; Klüppelberg, Claudia
8
1992
Dependence estimation and visualization in multivariate extremes with applications to financial data. Zbl 1090.62049
Hsing, Talien; Klüppelberg, Claudia; Kuhn, Gabriel
7
2004
Max-linear models on directed acyclic graphs. Zbl 1419.62138
Gissibl, Nadine; Klüppelberg, Claudia
7
2018
Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211
Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas
7
2015
Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363
García, Isabel; Klüppelberg, Claudia; Müller, Gernot
6
2011
Domains of attraction for exponential families. Zbl 1075.60502
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
6
2003
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
6
2011
Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina
6
2013
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061
Klüppelberg, Claudia; May, Angelika
5
2006
Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052
Eder, Irmingard; Klüppelberg, Claudia
5
2012
Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033
Baltrūnas, Aleksandras; Klüppelberg, Claudia
5
2004
Limit laws for exponential families. Zbl 0939.62020
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
5
1999
Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008
Barndorff-Nielsen, O. E.; Klüppelberg, C.
5
1999
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037
Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander
5
2004
Tauberian results for densities with Gaussian tails. Zbl 0821.60025
Balkema, A. A.; Klüppelberg, C.; Stadtmüller, U.
5
1995
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
4
2018
An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346
Klepsch, J.; Klüppelberg, C.
4
2017
Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044
Buchmann, Boris; Klüppelberg, Claudia
4
2005
Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041
Klüppelberg, Claudia; Lindner, Alexander
4
2005
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 05984140
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
4
2011
A fractional credit model with long range dependent default rate. Zbl 1268.91166
Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia
4
2013
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
3
2016
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
3
2014
Copula structure analysis based on extreme dependence. Zbl 1407.62164
Klüppelberg, Claudia; Haug, Stephan; Kuhn, Gabriel
3
2015
Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053
Esmaeili, Habib; Klüppelberg, Claudia
3
2013
Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
2012
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
2017
Statistical estimation of large claim distributions. Zbl 0850.62768
Keller, Barbara; Klüppelberg, Claudia
3
1991
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
3
1997
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
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
3
2018
Identifiability and estimation of recursive max-linear models. Zbl 1467.62105
Gissibl, Nadine; Klüppelberg, Claudia; Lauritzen, Steffen
2
2021
Estimating an extreme Bayesian network via scalings. Zbl 1461.62083
Klüppelberg, Claudia; Krali, Mario
1
2021
Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183
Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
3
2019
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Zbl 1422.60030
Buhl, Sven; Klüppelberg, Claudia
1
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
1
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
15
2018
Max-linear models on directed acyclic graphs. Zbl 1419.62138
Gissibl, Nadine; Klüppelberg, Claudia
7
2018
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
4
2018
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
3
2018
An innovations algorithm for the prediction of functional linear processes. Zbl 1397.62346
Klepsch, J.; Klüppelberg, C.
4
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
2017
Risk in a large claims insurance market with bipartite graph structure. Zbl 1378.91100
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
10
2016
Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279
Buhl, Sven; Klüppelberg, Claudia
8
2016
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
3
2016
Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127
Doney, Ron; Klüppelberg, Claudia; Maller, Ross
2
2016
Simulation of stochastic Volterra equations driven by space-time Lévy noise. Zbl 1354.60074
Chen, Bohan; Chong, Carsten; Klüppelberg, Claudia
1
2016
Integrability conditions for space-time stochastic integrals: theory and applications. Zbl 1333.60112
Chong, Carsten; Klüppelberg, Claudia
9
2015
Generalized fractional Lévy processes with fractional Brownian motion limit. Zbl 1333.60074
Klüppelberg, Claudia; Matsui, Muneya
8
2015
Systemic risk through contagion in a core-periphery structured banking network. Zbl 1321.60211
Kley, Oliver; Klüppelberg, Claudia; Reichel, Lukas
7
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
1
2015
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
3
2014
Asymmetric COGARCH processes. Zbl 1329.60093
Behme, Anita; Klüppelberg, Claudia; Mayr, Kathrin
1
2014
Risk. A multidisciplinary introduction. Zbl 1286.91005
Klüppelberg, Claudia; Straub, Daniel; Welpe, Isabell M.
1
2014
Quantifying extreme risks. Zbl 1291.91106
Fasen, Vicky; Klüppelberg, Claudia; Menzel, Annette
1
2014
Density functional theory and optimal transportation with Coulomb cost. Zbl 1266.82057
Cotar, Codina; Friesecke, Gero; Klüppelberg, Claudia
33
2013
High-frequency sampling and kernel estimation for continuous-time moving average processes. Zbl 1274.62578
Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia
15
2013
Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
12
2013
Statistical inference for max-stable processes in space and time. Zbl 1411.60071
Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina
11
2013
Conditional distributions of processes related to fractional Brownian motion. Zbl 1281.60037
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina
6
2013
A fractional credit model with long range dependent default rate. Zbl 1268.91166
Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia
4
2013
Two-step estimation of a multi-variate Lévy process. Zbl 1398.62053
Esmaeili, Habib; Klüppelberg, Claudia
3
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
10
2012
Pareto Lévy measures and multivariate regular variation. Zbl 1248.60052
Eder, Irmingard; Klüppelberg, Claudia
5
2012
Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
2012
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. Zbl 1284.60080
Fink, Holger; Klüppelberg, Claudia
11
2011
Statistical models and methods for dependence in insurance data. Zbl 1296.62205
Haug, Stephan; Klüppelberg, Claudia; Peng, Liang
11
2011
Parametric estimation of a bivariate stable Lévy process. Zbl 1210.62111
Esmaeili, Habib; Klüppelberg, Claudia
10
2011
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Zbl 1229.62108
Ueltzhöfer, Florian A. J.; Klüppelberg, Claudia
8
2011
Estimation of stable CARMA models with an application to electricity spot prices. Zbl 1420.62363
García, Isabel; Klüppelberg, Claudia; Müller, Gernot
6
2011
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
6
2011
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 05984140
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
4
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
Electricity spot price modelling with a view towards extreme spike risk. Zbl 1210.91155
Klüppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea
14
2010
Multivariate models for operational risk. Zbl 1204.91059
Böcker, Klaus; Klüppelberg, Claudia
12
2010
Parameter estimation of a bivariate compound Poisson process. Zbl 1231.62150
Esmaeili, Habib; Klüppelberg, Claudia
11
2010
High-level dependence in time series models. Zbl 1226.60079
Fasen, Vicky; Klüppelberg, Claudia; Schlather, Martin
10
2010
Copula structure analysis. Zbl 1250.62031
Klüppelberg, Claudia; Kuhn, Gabriel
11
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
2
2009
Semi-parametric models for the multivariate tail dependence function – the asymptotically dependent case. Zbl 1195.62070
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
26
2008
Integrated insurance risk models with exponential Lévy investment. Zbl 1152.60325
Klüppelberg, Claudia; Kostadinova, Radostina
21
2008
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
19
2008
The Pareto copula, aggregation of risks, and the emperor’s socks. Zbl 1144.62037
Klüppelberg, Claudia; Resnick, Sidney I.
11
2008
Estimating the tail dependence function of an elliptical distribution. Zbl 1111.62048
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
18
2007
Method of moment estimation in the COGARCH\((1,1)\) model. Zbl 1186.91231
Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M.
15
2007
Extremes of supOU processes. Zbl 1136.60034
Fasen, Vicky; Klüppelberg, Claudia
12
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.
20
2006
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
18
2006
Extremal behavior of stochastic volatility models. Zbl 1159.62068
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander
13
2006
Fractional integral equations and state space transforms. Zbl 1114.60048
Buchmann, Boris; Klüppelberg, Claudia
8
2006
Bivariate extreme value distributions based on polynomial dependence functions. Zbl 1095.62061
Klüppelberg, Claudia; May, Angelika
5
2006
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
13
2005
Maxima of stochastic processes driven by fractional Brownian motion. Zbl 1083.60044
Buchmann, Boris; Klüppelberg, Claudia
4
2005
Extreme value theory for moving average processes with light-tailed innovations. Zbl 1069.62041
Klüppelberg, Claudia; Lindner, Alexander
4
2005
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
90
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
61
2004
Optimal portfolios when stock prices follow an exponential Lévy process. Zbl 1051.60049
Emmer, Susanne; Klüppelberg, Claudia
33
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.
29
2004
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. Zbl 1094.62114
Klüppelberg, Claudia; Pergamenchtchikov, Serguei
28
2004
Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Zbl 1075.60020
Klüppelberg, Claudia; Kühn, Christoph
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
Subexponential distributions – large deviations with applications to insurance and queueing models. Zbl 1068.60033
Baltrūnas, Aleksandras; Klüppelberg, Claudia
5
2004
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. Zbl 1185.62037
Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander
5
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
20
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.
6
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
25
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
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
43
2001
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors. Zbl 1010.62083
Borkovec, Milan; Klüppelberg, Claudia
41
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
38
1999
Telecommunication traffic, queueing models, and subexponential distributions. Zbl 0997.60116
Greiner, Michael; Jobmann, Manfred; Klüppelberg, Claudia
8
1999
Limit laws for exponential families. Zbl 0939.62020
Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.
5
1999
Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008
Barndorff-Nielsen, O. E.; Klüppelberg, C.
5
1999
Ruin probabilities in the presence of heavy-tails and interest rates. Zbl 1022.60083
Klüppelberg, Claudia; Stadtmüller, Ulrich
47
1998
Subexponential distributions. Zbl 0923.62021
Goldie, Charles M.; Klüppelberg, Claudia
37
1998
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
13
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.
81
1997
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
3
1997
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
47
1996
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
19
1996
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
57
1995
...and 19 more Documents
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Cited by 2,359 Authors

73 Klüppelberg, Claudia
57 Tang, Qihe
48 Hashorva, Enkelejd
46 Mikosch, Thomas
37 Wang, Yuebao
27 Samorodnitsky, Gennady Pinkhosovich
26 Wang, Kaiyong
24 Šiaulys, Jonas
21 Asmussen, Søren
20 Girard, Stéphane
20 Peng, Liang
20 Resnick, Sidney Ira
17 Embrechts, Paul
17 Gao, Qingwu
17 Zwart, Bert P.
16 Leipus, Remigijus
16 Yuen, Kam Chuen
15 Chen, Yiqing
15 Kokoszka, Piotr S.
15 Li, Jinzhu
15 Maller, Ross Arthur
15 Ng, Kai Wang
15 Yang, Hailiang
14 Guillou, Armelle
14 Macci, Claudio
14 Yin, Chuancun
13 Blanchet, Jose H.
13 Dębicki, Krzysztof
13 Foss, Sergey G.
13 Pergamenshchikov, Sergeĭ Markovich
13 Shen, Xinmei
13 Wang, Dingcheng
12 Albrecher, Hansjörg
12 Cheng, Dongya
12 Lindner, Alexander M.
12 Palmowski, Zbigniew
12 Su, Chun
11 Davis, Richard A.
11 Fasen, Vicky
11 Hu, Taizhong
11 Kyprianou, Andreas E.
11 Mao, Tiantian
11 Segers, Johan
11 Stelzer, Robert
10 Asimit, Alexandru V.
10 Chen, Yu
10 Dembińska, Anna
10 Fu, Ke’ang
10 Gardes, Laurent
10 Konstantinides, Dimitrios G.
10 Meyer-Brandis, Thilo
10 Robert, Christian Yann
10 Torrisi, Giovanni Luca
9 Behme, Anita Diana
9 Damek, Ewa
9 Das, Bikramjit
9 Eliazar, Iddo I.
9 Ji, Lanpeng
9 Korshunov, Dmitry Alekseevich
9 Kortschak, Dominik
9 Lin, Jinguan
9 Lu, Dawei
9 McElroy, Tucker S.
9 Song, Lixin
9 Taqqu, Murad S.
9 Todorov, Viktor
8 Grahovac, Danijel
8 Griffin, Philip S.
8 Hill, Jonathan B.
8 Ling, Shiqing
8 Naveau, Philippe
8 Pakes, Anthony G.
8 Stupfler, Gilles
8 Yu, Changjun
8 Yuan, Zhongyi
8 Zhang, Yi
7 Barndorff-Nielsen, Ole Eiler
7 Beran, Jan
7 Biagini, Francesca
7 Chong, Carsten
7 Denisov, Denis E.
7 Dieker, A. B.
7 Friesecke, Gero
7 Geluk, Jaap L.
7 Glynn, Peter W.
7 Leonenko, Nikolai N.
7 Li, Haijun
7 Liu, Xijun
7 Matsui, Muneya
7 Omey, Edward
7 Politis, Konstadinos
7 Wüthrich, Mario Valentin
7 Zhang, Zhengjun
6 Artikis, Constantinos T.
6 Artikis, Panagiotis T.
6 Bacro, Jean-Noël
6 Beirlant, Jan
6 Borst, Sem C.
6 Cheng, Fengyang
6 Cui, Zhaolei
...and 2,259 more Authors
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Cited in 247 Serials

144 Insurance Mathematics & Economics
135 Statistics & Probability Letters
116 Stochastic Processes and their Applications
103 Extremes
80 Journal of Applied Probability
63 Advances in Applied Probability
60 Bernoulli
57 Journal of Multivariate Analysis
56 Journal of Econometrics
56 The Annals of Applied Probability
46 Communications in Statistics. Theory and Methods
45 Journal of Statistical Planning and Inference
40 Scandinavian Actuarial Journal
39 Lithuanian Mathematical Journal
30 Stochastic Models
29 Queueing Systems
29 Methodology and Computing in Applied Probability
27 Journal of Mathematical Analysis and Applications
27 The Annals of Statistics
26 Journal of Theoretical Probability
23 Annals of the Institute of Statistical Mathematics
22 Computational Statistics and Data Analysis
21 ASTIN Bulletin
20 Econometric Theory
18 The Annals of Probability
18 Journal of the Korean Statistical Society
16 Acta Mathematicae Applicatae Sinica. English Series
15 Journal of Time Series Analysis
15 Electronic Journal of Statistics
14 Journal of Computational and Applied Mathematics
14 European Journal of Operational Research
14 Finance and Stochastics
13 Probability Theory and Related Fields
13 Test
12 Metrika
11 Stochastic Analysis and Applications
11 Journal of Economic Dynamics & Control
11 Annals of Operations Research
11 Journal of Statistical Computation and Simulation
11 Statistical Inference for Stochastic Processes
11 Applied Stochastic Models in Business and Industry
11 Frontiers of Mathematics in China
10 Statistics
10 Statistical Papers
10 Mathematical Methods of Operations Research
10 Journal of Applied Statistics
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 North American Actuarial Journal
9 European Actuarial Journal
9 Dependence Modeling
9 Modern Stochastics. Theory and Applications
8 Journal of Statistical Physics
8 Mathematics and Computers in Simulation
8 Journal of Inequalities and Applications
8 Acta Mathematica Sinica. English Series
8 Journal of Industrial and Management Optimization
8 Journal of Statistical Theory and Practice
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
7 Statistics & Risk Modeling
6 Applied Mathematics and Computation
6 Kybernetika
6 Automation and Remote Control
6 Electronic Journal of Probability
6 Journal of Nonparametric Statistics
6 Statistics and Computing
5 Physica A
5 Chaos, Solitons and Fractals
5 Operations Research Letters
5 Japan Journal of Industrial and Applied Mathematics
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 Brazilian Journal of Probability and Statistics
5 Journal of Systems Science and Complexity
5 Statistical Methods and Applications
5 Statistical Methodology
5 SIAM Journal on Financial Mathematics
4 Computers & Mathematics with Applications
4 Theory of Probability and its Applications
4 Journal of the American Statistical Association
4 Economics Letters
4 Annals of Physics
4 Communications in Statistics. Simulation and Computation
4 Mathematical Methods of Statistics
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
...and 147 more Serials
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Cited in 41 Fields

1,337 Probability theory and stochastic processes (60-XX)
1,137 Statistics (62-XX)
767 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
125 Numerical analysis (65-XX)
117 Operations research, mathematical programming (90-XX)
53 Systems theory; control (93-XX)
41 Calculus of variations and optimal control; optimization (49-XX)
27 Computer science (68-XX)
24 Statistical mechanics, structure of matter (82-XX)
19 Combinatorics (05-XX)
18 Partial differential equations (35-XX)
17 Geophysics (86-XX)
12 Integral transforms, operational calculus (44-XX)
10 Real functions (26-XX)
10 Quantum theory (81-XX)
9 Measure and integration (28-XX)
9 Dynamical systems and ergodic theory (37-XX)
8 Biology and other natural sciences (92-XX)
7 Linear and multilinear algebra; matrix theory (15-XX)
7 Approximations and expansions (41-XX)
7 Functional analysis (46-XX)
6 Special functions (33-XX)
6 Integral equations (45-XX)
6 Convex and discrete geometry (52-XX)
5 Difference and functional equations (39-XX)
5 Information and communication theory, circuits (94-XX)
4 General and overarching topics; collections (00-XX)
4 Ordinary differential equations (34-XX)
4 Operator theory (47-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Algebraic topology (55-XX)
2 History and biography (01-XX)
2 Number theory (11-XX)
2 Associative rings and algebras (16-XX)
2 Fluid mechanics (76-XX)
1 Mathematical logic and foundations (03-XX)
1 Field theory and polynomials (12-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-XX)
1 Astronomy and astrophysics (85-XX)

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