Claudia Klüppelberg

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Person:254502

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zbMath Open kluppelberg.claudiaWikidataQ1097553 ScholiaQ1097553MaRDI QIDQ254502

List of research outcomes

PublicationDate of PublicationType
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series2023-12-03Paper
Parameter estimation for a misspecified arma model with infinite variance innovations2023-11-24Paper
Tail probabilities of random linear functions of regularly varying random vectors2022-11-08Paper
Max-linear models in random environment2022-05-23Paper
Conditional independence in max-linear Bayesian networks2022-03-21Paper
Indirect inference for time series using the empirical characteristic function and control variates2021-11-25Paper
Recursive max-linear models with propagating noise2021-10-11Paper
Estimation of causal continuous‐time autoregressive moving average random fields2021-06-22Paper
Identifiability and estimation of recursive max‐linear models2021-06-22Paper
Ruin probabilities for risk processes in a bipartite network2021-05-17Paper
Estimating an extreme Bayesian network via scalings2021-03-12Paper
Explicit results on conditional distributions of generalized exponential mixtures2020-12-11Paper
Conditional Independence in Max-linear Bayesian Networks2020-02-21Paper
Partial mean field limits in heterogeneous networks2019-12-17Paper
Indirect Inference for Lévy‐driven continuous‐time GARCH models2019-11-07Paper
Semiparametric estimation for isotropic max-stable space-time processes2019-09-25Paper
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects2019-09-19Paper
Estimation of stable CARMA models with an application to electricity spot prices2019-09-10Paper
Extreme value analysis of multivariate high-frequency wind speed data2019-08-27Paper
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes2019-07-04Paper
Statistical Inference for Max-Stable Processes in Space and Time2019-04-30Paper
Estimation of causal CARMA random fields2019-02-13Paper
Conditional risk measures in a bipartite market structure2018-08-31Paper
Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional2018-05-18Paper
Copula structure analysis based on extreme dependence2018-05-08Paper
Max-linear models in random environment2018-04-17Paper
Contagion in Financial Systems: A Bayesian Network Approach2018-04-16Paper
Spatial Risk Measures: Local Specification and Boundary Risk2018-04-09Paper
Max-linear models on directed acyclic graphs2018-03-27Paper
Testing for non-correlation between price and volatility jumps2017-03-10Paper
An innovations algorithm for the prediction of functional linear processes2017-02-23Paper
Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise2017-01-16Paper
Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits2016-12-21Paper
Risk in a Large Claims Insurance Market with Bipartite Graph Structure2016-12-20Paper
Anisotropic Brown-Resnick space-time processes: estimation and model assessment2016-11-30Paper
Bounds for randomly shared risk of heavy-tailed loss factors2016-11-30Paper
Limit theory for the empirical extremogram of random fields2016-09-16Paper
Passage time and fluctuation calculations for subexponential Lévy processes2016-05-12Paper
Time-consistency of risk measures with GARCH volatilities and their estimation2016-03-08Paper
Generalized fractional Lévy processes with fractional Brownian motion limit2016-02-12Paper
Integrability conditions for space-time stochastic integrals: theory and applications2015-10-30Paper
Asymmetric COGARCH processes2015-04-14Paper
Systemic risk through contagion in a core-periphery structured banking network2015-04-08Paper
Superposition of COGARCH processes2015-02-27Paper
Fractionally integrated COGARCH processes2015-01-15Paper
High-frequency sampling of a continuous-time ARMA process2014-11-20Paper
Statistical models and methods for dependence in insurance data2014-09-30Paper
Rejoinder: Statistical models and methods for dependence in insurance data2014-09-30Paper
Max-stable processes for modeling extremes observed in space and time2014-08-07Paper
Quantifying Extreme Risks2014-06-30Paper
Dealing with Dependent Risks2014-06-30Paper
Riskmanagement in financial mathematics2014-06-03Paper
TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS2014-04-08Paper
Outcrossings of safe regions by generalized hyperbolic processes2014-02-19Paper
High-frequency sampling and kernel estimation for continuous-time moving average processes2013-10-09Paper
Conditional Distributions of Processes Related to Fractional Brownian Motion2013-04-25Paper
Density Functional Theory and Optimal Transportation with Coulomb Cost2013-03-04Paper
A fractional credit model with long range dependent default rate2013-03-04Paper
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data2013-01-19Paper
Copula Structure Analysis2012-10-25Paper
Modellieren und Quantifizieren von extremen Risiken2012-10-01Paper
Pareto Lévy Measures and Multivariate Regular Variation2012-04-10Paper
Parameter estimation of a bivariate compound Poisson process2012-02-10Paper
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations2011-12-21Paper
https://portal.mardi4nfdi.de/entity/Q30996672011-12-01Paper
High-level dependence in time series models2011-11-26Paper
On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case2011-10-25Paper
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations2011-09-02Paper
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model2011-08-08Paper
Corrigendum to ``Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times2011-08-04Paper
Electricity spot price modelling with a view towards extreme spike risk2011-04-29Paper
Parametric estimation of a bivariate stable Lévy process2011-04-19Paper
Multivariate models for operational risk2010-12-15Paper
Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case2010-04-22Paper
Optimal consumption and investment with bounded downside risk for power utility functions2010-02-05Paper
The first passage event for sums of dependent Lévy processes with applications to insurance risk2010-01-13Paper
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions2010-01-13Paper
Integrated insurance risk models with exponential Lévy investment2009-01-28Paper
On the distribution tail of an integrated risk model: A numerical approach2008-08-22Paper
https://portal.mardi4nfdi.de/entity/Q35116422008-07-11Paper
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients2008-07-01Paper
The Pareto Copula, Aggregation of Risks, and the Emperor's Socks2008-04-30Paper
https://portal.mardi4nfdi.de/entity/Q54366052008-01-17Paper
Ruin estimation in multivariate models with Clayton dependence structure2007-12-16Paper
Method of moment estimation in the COGARCH(1,1) model2007-11-21Paper
Estimating the tail dependence function of an elliptical distribution2007-05-15Paper
Extremal behaviour of models with multivariate random recurrence representation2007-04-16Paper
On extreme ruinous behaviour of Lévy insurance risk processes2006-11-16Paper
Fractional integral equations and state space transforms2006-11-06Paper
https://portal.mardi4nfdi.de/entity/Q54935572006-10-23Paper
Bivariate extreme value distributions based on polynomial dependence functions2006-09-06Paper
Dependence estimation and visualization in multivariate extremes with applications to financial data2006-05-24Paper
Domains of attraction for exponential families.2005-11-29Paper
Maxima of stochastic processes driven by fractional Brownian motion2005-10-17Paper
Extreme value theory for moving average processes with light-tailed innovations2005-09-28Paper
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times2005-08-05Paper
Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance2005-08-05Paper
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour2005-04-18Paper
Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models2005-04-11Paper
Ruin probabilities and overshoots for general Lévy insurance risk processes2005-03-21Paper
Optimal portfolios when stock prices follow an exponential Lévy process2004-11-24Paper
A geometric approach to portfolio optimization in models with transaction costs2004-11-24Paper
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.2004-09-15Paper
Renewal theory for functionals of a Markov chain with compact state space.2004-07-01Paper
Regular variation in the mean and stable limits for Poisson shot noise2004-06-18Paper
https://portal.mardi4nfdi.de/entity/Q27621362004-02-08Paper
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.2004-02-03Paper
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models2003-08-07Paper
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors2003-05-06Paper
A local limit theorem for random walk maxima with heavy tails2002-09-05Paper
Stability for multivariate exponential families2002-06-16Paper
Sampling at subexponential times, with queueing applications2001-01-17Paper
Optimal Portfolios with Bounded Capital at Risk2001-01-01Paper
Limit laws for exponential families2000-07-03Paper
Telecommunication traffic, queueing models, and subexponential distributions2000-03-30Paper
Tail Exactness of Multivariate Saddlepoint Approximations2000-03-01Paper
https://portal.mardi4nfdi.de/entity/Q42471151999-10-31Paper
Extremal behavior of diffusion models in finance1999-08-10Paper
Ruin probabilities in the presence of heavy-tails and interest rates1999-03-25Paper
Large deviations of heavy-tailed random sums with applications in insurance and finance1999-01-05Paper
The integrated periodogram for stable processes1998-11-03Paper
Large deviations results for subexponential tails, with applications to insurance risk1997-12-10Paper
Stationary M/G/1 excursions in the presence of heavy tails1997-11-10Paper
Gaussian limit fields for the integrated periodogram1997-07-08Paper
https://portal.mardi4nfdi.de/entity/Q43430101997-06-24Paper
Delay in claim settlement and ruin probability approximations1996-05-06Paper
Explosive Poisson shot noise processes with applications to risk reserves1995-12-12Paper
Parameter estimation for ARMA models with infinite variance innovations1995-10-18Paper
Tauberian Results for Densities with Gaussian Tails1995-09-18Paper
Large claims approximations for risk processes in a Markovian environment1995-06-18Paper
https://portal.mardi4nfdi.de/entity/Q43224021995-03-29Paper
https://portal.mardi4nfdi.de/entity/Q42749091994-11-29Paper
Estimation of distribution tails —a semiparametric approach1994-10-11Paper
https://portal.mardi4nfdi.de/entity/Q42978311994-07-04Paper
Densities with Gaussian Tails1994-06-06Paper
Asymptotic ordering of risks and ruin probabilities1994-05-19Paper
Spectral estimates and stable processes1994-01-19Paper
A note on the tail accuracy of the univariate saddlepoint approximation1993-05-16Paper
https://portal.mardi4nfdi.de/entity/Q39917001992-06-28Paper
The full solution of the convolution closure problem for convolution- equivalent distributions1991-01-01Paper
Asymptotic ordering of distribution functions and convolution semigroups1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32038991990-01-01Paper
Estimation of ruin probabilities by means of hazard rates1989-01-01Paper
Subexponential distributions and characterizations of related classes1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38089341989-01-01Paper
Subexponential distributions and integrated tails1988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37681601987-01-01Paper

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