Claudia Klüppelberg
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German mathematician
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Claudia Klüppelbergmathematics Degrees
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Probability Theory
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Measure Theory
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Mathematics
Claudia Klüppelberg's Degrees
- PhD Mathematics University of Konstanz
Why Is Claudia Klüppelberg Influential?
(Suggest an Edit or Addition)According to Wikipedia, Claudia Klüppelberg is a German mathematical statistician and applied probability theorist, known for her work in risk assessment and statistical finance. She is a professor emerita of mathematical statistics at the Technical University of Munich.
Claudia Klüppelberg's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Modelling Extremal Events (1997) (3366)
- Subexponential distributions and integrated tails (1988) (304)
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004) (279)
- PARAMETER-ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE INNOVATIONS (1995) (209)
- Subexponential distributions (1998) (200)
- Large deviations of heavy-tailed random sums with applications in insurance and finance (1997) (163)
- Explosive Poisson shot noise processes with applications to risk reserves (1995) (151)
- Density Functional Theory and Optimal Transportation with Coulomb Cost (2011) (144)
- Operational VaR: a closed-form approximation (2005) (134)
- Optimal Portfolios with Bounded Capital at Risk (2001) (128)
- Sampling at subexponential times, with queueing applications (1999) (113)
- Large deviations results for subexponential tails, with applications to insurance risk (1996) (111)
- Ruin probabilities in the presence of heavy tails and interest rates (1998) (108)
- The Tail of the Stationary Distribution of an Autoregressive Process with Arch(1) Errors (2001) (98)
- Complex stochastic systems (1994) (92)
- A single number can't hedge against economic catastrophes (1999) (86)
- Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006) (84)
- Statistical inference for max‐stable processes in space and time (2012) (82)
- Subexponential distributions and characterizations of related classes (1989) (81)
- Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. (2004) (78)
- Electricity spot price modelling with a view towards extreme spike risk (2010) (75)
- Estimation of stable CARMA models with an application to electricity spot prices (2011) (74)
- Optimal portfolios when stock prices follow an exponential Lévy process (2004) (72)
- Method of Moment Estimation in the Cogarch(1,1) Model (2007) (72)
- Multivariate models for operational risk (2010) (71)
- Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008) (70)
- Regular variation in the mean and stable limits for Poisson shot noise (2003) (66)
- Some Aspects of Insurance Mathematics (1994) (62)
- A local limit theorem for random walk maxima with heavy tails (2002) (61)
- Large claims approximations for risk processes in a Markovian environment (1994) (61)
- Integrated insurance risk models with exponential Lévy investment (2008) (54)
- Extremal behavior of stochastic volatility models (2006) (54)
- Modelling and measuring multivariate operational risk with Lévy copulas (2008) (53)
- The integrated periodogram for stable processes (1996) (53)
- Estimating the tail dependence function of an elliptical distribution (2007) (51)
- Spectral estimates and stable processes (1993) (51)
- Some Limit Theory for the Self-normalised Periodogram of Stable Processes (1994) (50)
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times (2004) (49)
- Delay in claim settlement and ruin probability approximations (1995) (49)
- Densities with Gaussian Tails (1993) (46)
- High‐frequency sampling and kernel estimation for continuous‐time moving average processes (2011) (44)
- Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional (2017) (44)
- On extreme ruinous behaviour of Lévy insurance risk processes (2006) (44)
- The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008) (43)
- Lévy Matters I (2010) (42)
- Copula structure analysis (2009) (42)
- Extremal Behavior of Diffusion Models in Finance (1998) (41)
- High-level dependence in time series models (2010) (38)
- Statistical models and methods for dependence in insurance data (2011) (38)
- A geometric approach to portfolio optimization in models with transaction costs (2004) (37)
- N-density representability and the optimal transport limit of the Hohenberg-Kohn functional. (2013) (36)
- Estimation of ruin probabilities by means of hazard rates (1989) (35)
- Extremes of supOU Processes (2007) (35)
- Allocation of risk capital to insurance portfolios (2003) (35)
- An innovations algorithm for the prediction of functional linear processes (2016) (34)
- Telecommunication traffic, queueing models, and subexponential distributions (1999) (34)
- Parameter estimation of a bivariate compound Poisson process (2010) (33)
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment (2015) (32)
- Ruin estimation in multivariate models with Clayton dependence structure (2005) (32)
- The full solution of the convolution closure problem for convolution- equivalent distributions. (1991) (32)
- Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging (2017) (32)
- Extreme Value Theory in Finance (2008) (26)
- The Cogarch: A Review, with News on Option Pricing and Statistical Inference (2010) (26)
- Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data (2004) (25)
- Contagion in Financial Systems: A Bayesian Network Approach (2017) (24)
- Parametric estimation of a bivariate stable Lévy process (2011) (24)
- Asymptotic ordering of distribution functions and convolution semigroups (1990) (24)
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure (2014) (24)
- Generalized fractional Lévy processes with fractional Brownian motion limit (2015) (23)
- Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors (2004) (23)
- Conditional Distributions of Processes Related to Fractional Brownian Motion (2013) (22)
- Testing for Reduction to Random Walk in Autoregressive Conditional Heteroskedasticity Models (2002) (22)
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations (2011) (22)
- Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis (2012) (22)
- Estimation of distribution tails —a semiparametric approach (1993) (21)
- Fractional integral equations and state space transforms (2006) (21)
- Risk Management with Extreme Value Theory (2002) (21)
- High‐frequency sampling of a continuous‐time ARMA process (2011) (21)
- Renewal Theory for Functionals of a Markov Chain with Compact State Space (2003) (20)
- Extremal behaviour of models with multivariate random recurrence representation (2007) (19)
- Bivariate extreme value distributions based on polynomial dependence functions (2006) (19)
- Identifiability and estimation of recursive max‐linear models (2019) (19)
- A fractional credit model with long range dependent default rate (2013) (19)
- Estimating high quantiles for electricity prices by stable linear models (2008) (18)
- Spatial Risk Measures: Local Specification and Boundary Risk (2014) (17)
- Estimating an extreme Bayesian network via scalings (2019) (17)
- A note on the tail accuracy of the univariate saddlepoint approximation (1992) (16)
- Limit laws for exponential families (1999) (16)
- Quantifying Extreme Risks (2014) (16)
- Tauberian results for densities with Gaussian tails (1995) (15)
- Self-normalized and randomly centered spectral estimates (1996) (14)
- Extreme value theory for moving average processes with light-tailed innovations (2005) (14)
- Analysis of Stock Market Volatility by Continuous-Time GARCH Models (2009) (13)
- TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS (2013) (13)
- Conditional risk measures in a bipartite market structure (2015) (12)
- Stationary M/G/1 excursions in the presence of heavy tails (1997) (12)
- Time series of functional data (2010) (12)
- On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case (2011) (12)
- Subexponential Distributions — Large Deviations with Applications to Insurance and Queueing Models (2004) (11)
- Pareto Lévy Measures and Multivariate Regular Variation (2012) (11)
- Multivariate Tail Copula: Modeling and Estimation (2006) (11)
- Extreme Value Analysis of Multivariate High-Frequency Wind Speed Data (2013) (11)
- Allocation of risk capital to insurance portfolios (2003) (11)
- Asymmetric COGARCH processes (2014) (10)
- First‐Order Approximations to Operational Risk: Dependence and Consequences (2011) (10)
- Domains of attraction for exponential families (2003) (10)
- Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (2012) (10)
- Corrigendum to “Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times” [Stochastic Process. Appl. 111 (2004) 237–258] (2011) (10)
- Maxima of stochastic processes driven by fractional Brownian motion (2005) (9)
- Statistical estimation of large claims distribution (1993) (9)
- Testing for non-correlation between price and volatility jumps (2017) (8)
- Time series of functional data with application to yield curves (2019) (8)
- Ruin probabilities for risk processes in a bipartite network (2018) (7)
- Indirect Inference for Lévy‐driven continuous‐time GARCH models (2017) (6)
- Copula structure analysis based on extreme dependence (2015) (6)
- The quintuple law for sums of dependent Levy processes (2007) (6)
- Asymptotic ruin probabilities and hazard rates. (1990) (6)
- Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes (2003) (6)
- Estimating Tail Dependence of Elliptical Distributions (2006) (6)
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (2019) (6)
- Big Data: Progress in Automating Extreme Risk Analysis (2017) (6)
- Dimension reduction based on extreme dependence (2010) (5)
- Credit Contagion in a Long Range Dependent Macroeconomic Factor Model (2011) (5)
- Maximize the Sharpe Ratio and Minimize a VaR (2010) (5)
- Bounds for randomly shared risk of heavy-tailed loss factors (2015) (5)
- Testing for uncorrelation or for a functional relationship between price and volatility jumps (2010) (5)
- Estimating the COGARCH(1,1) model - a first go (2005) (5)
- Modelling, Estimation and Visualization of Multivariate Dependence for High-frequency Data (2010) (5)
- Multivariate operational risk: dependence modelling with Lévy copulas (2007) (5)
- Introduction to the copula discussion: Some background (2006) (5)
- Explicit results on conditional distributions of generalized exponential mixtures (2020) (5)
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes (2017) (5)
- Dealing with Dependent Risks (2014) (4)
- Copula Structure Analysis Based on Robust and Extreme Dependence Measures (2006) (4)
- Large Insurance Losses Distributions (2008) (4)
- Fluctuations of Maxima (1997) (4)
- Conditional characteristic functions of processes related to fractional Brownian motion (2010) (4)
- Optimal investment and consumption in a Black-Scholes market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process (2008) (4)
- Parameter estimation for a misspecified arma model with infinite variance innovations (1996) (3)
- Developments in Insurance Mathematics (2001) (3)
- Optimale Portfolios mit beschränktem Value-at-Risk (1999) (3)
- Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management (2004) (3)
- Asymptotic ordering of risks and ruin probabilities (1993) (3)
- Causal Discovery of a River Network from its Extremes (2021) (3)
- Outcrossings of safe regions by generalized hyperbolic processes (2013) (3)
- Tail probabilities of random linear functions of regularly varying random vectors (2019) (3)
- Max-linear models on infinte graphs generated by Bernoulli bond percolation (2018) (3)
- On the distribution tail of an integrated risk model: A numerical approach (2008) (3)
- Time-consistency of risk measures with GARCH volatilities and their estimation (2015) (3)
- On strong consistency of estimators for infinite variance time series (1995) (3)
- Risk - A Multidisciplinary Perspective (2014) (3)
- Extremes of Random Volatility Models (2008) (3)
- Peng : Estimating Tail Dependence of Elliptical Distributions (2007) (3)
- Time Series Analysis for Heavy-Tailed Processes (1997) (2)
- Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional (2018) (2)
- Estimation of causal continuous‐time autoregressive moving average random fields (2020) (2)
- Copula Structure Analysis for High-dimensional Data (2009) (2)
- Statistical Methods for Extremal Events (1997) (2)
- Prediction of outstanding insurance claims (2001) (2)
- Tail Exactness of Multivariate Saddlepoint (1999) (2)
- Indirect inference for time series using the empirical characteristic function and control variates (2019) (2)
- Economic Capital Modelling and Basel II Compliance in the Banking Industry (2008) (1)
- Empirical likelihood methods for an AR(1) process with ARCH(1) errors (2006) (1)
- Rejoinder: Statistical models and methods for dependence in insurance data (2011) (1)
- Fluctuations of Upper Order Statistics (1997) (1)
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes (2019) (1)
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment (2016) (1)
- Recent progress in theory and applications : foundations, trees and numerical issues in finance (2010) (1)
- Hitting probabilities for compound Poisson processes in a bipartite network (2018) (1)
- Stochastic Volatility Models: Extremal Behavior (2010) (1)
- Information Technology Risks: An Interdisciplinary Challenge (2014) (0)
- Extremal Behaviour of Fractal Models (2004) (0)
- Max-linear models in random environment (2022) (0)
- Lévy Matters I - ReadingSample (2017) (0)
- Challenges in Statistical Theory: Complex Data Structures and Algorithmic Optimization (2009) (0)
- Lindner , Maller : Continuous time volatility modelling : COGARCH versus (2007) (0)
- Contagion in financial systems: A Bayesian network approach (2017) (0)
- Abstract Contributed paperRandom walks and convolution equivalent distributions (1987) (0)
- Monitoring and Prediction of Regional Water Availability for Agricultural Production under the Influence of Climate Anomalies and Weather Extremes (2013) (0)
- Mini-Workshop: Lévy Processes and Related Topics in Modelling (2007) (0)
- Delay in claim settlement and ruin probability approximations. (1996) (0)
- International Statistical Year 2013 and with special events commemorating the 60th birthday of (2013) (0)
- Heavy Tails in Insurance (2010) (0)
- Fluctuations of Sums (1997) (0)
- Fluid queue models for observed long range dependence in telecommunication data. (2001) (0)
- 2 Fractional Brownian motion : integrals , prediction and theWick product (2010) (0)
- An Approach to Extremes via Point Processes (1997) (0)
- Time Series of Functional Data for Forecasting the Yield Curve and Electricity Prices (2013) (0)
- 2 Extreme Risks 2 . 1 Climate risk (2013) (0)
- Fe b 20 20 CONDITIONAL INDEPENDENCE IN MAX-LINEAR BAYESIAN NETWORKS (2020) (0)
- Heerwaarden A. E. Van (1991): Ordering of risks: Theory and actuarial applications. Thesis/Tinbergen Institute (Tinbergen Institute research series; no. 20), Amsterdam, 159 pages, US$ 21.00/DF1. 37.50 (1992) (0)
- Bounds for randomly shared risk of heavy-tailed loss factors (2016) (0)
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