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## Klüppelberg, Claudia

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 Author ID: kluppelberg.claudia Published as: Klüppelberg, Claudia; Klüppelberg, C. Homepage: http://www.professoren.tum.de/klueppelberg-claudia/ External Links: MGP · ORCID · Wikidata · GND · IdRef
 Documents Indexed: 142 Publications since 1987, including 6 Books Reviewing Activity: 50 Reviews
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#### 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
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#### 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
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#### Fields

 99 Probability theory and stochastic processes (60-XX) 78 Statistics (62-XX) 53 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Operations research, mathematical programming (90-XX) 7 General and overarching topics; collections (00-XX) 7 Combinatorics (05-XX) 6 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 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Astronomy and astrophysics (85-XX)

#### Citations contained in zbMATH Open

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