C. Klüppelberg

发表

Density Functional Theory and Optimal Transportation with Coulomb Cost

Codina Cotar, G. Friesecke, C. Klüppelberg, 2011, 1104.0603.

Subexponential distributions

C. Klüppelberg, C. Goldie, 1998 .

PARAMETER-ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE INNOVATIONS

C. Klüppelberg, R. Adler, T. Mikosch, 1995 .

Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case

C. Klüppelberg, G. Kuhn, L. Peng, 2008 .

Modelling Extremal Events

C. Klüppelberg, P. Embrechts, T. Mikosch, 1997 .

Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times

C. Klüppelberg, D. Daley, A. Baltrunas, 2004 .

Subexponential distributions and integrated tails.

C. Klüppelberg, 1988 .

Stationary M/G/1 excursions in the presence of heavy tails

C. Klüppelberg, S. Asmussen, 1997, Journal of Applied Probability.

Subexponential Distributions — Large Deviations with Applications to Insurance and Queueing Models

C. Klüppelberg, A. Baltrūnas, 2004 .

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]

C. Klüppelberg, D. Daley, Yang Yang, 2011 .

Complex stochastic systems

D. Cox, O. Barndorff-Nielsen, C. Klüppelberg, 2000 .

Sampling at subexponential times, with queueing applications

K. Sigman, C. Klüppelberg, S. Asmussen, 1999 .

Quantifying Extreme Risks

C. Klüppelberg, A. Menzel, Vicky Fasen, 2014 .

Time series of functional data with application to yield curves

C. Klüppelberg, Rituparna Sen, 2019, Applied Stochastic Models in Business and Industry.

A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

C. Klüppelberg, R. Maller, A. Lindner, 2004, Journal of Applied Probability.

Large claims approximations for risk processes in a Markovian environment

C. Klüppelberg, S. Asmussen, L. Henriksen, 1994 .

Pareto Lévy Measures and Multivariate Regular Variation

C. Klüppelberg, I. Eder, 2012, Advances in Applied Probability.

TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS

C. Klüppelberg, Habib Esmaeili, 2013, 1306.1725.

Time Series Analysis for Heavy-Tailed Processes

C. Klüppelberg, T. Mikosch, Paul Emberchts, 1997 .

Statistical inference for max‐stable processes in space and time

Claudia Kluppelberg, Richard A. Davis, C. Klüppelberg, 2012, 1204.5581.

Large deviations results for subexponential tails, with applications to insurance risk

Claudia Klüppelberg, Søren Asmussen, C. Klüppelberg, 1996 .

The Tail of the Stationary Distribution of an Autoregressive Process with Arch(1) Errors

C. Klüppelberg, M. Borkovec, 2001 .

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

C. Klüppelberg, M. Seifert, 2019, Finance and Stochastics.

Large Insurance Losses Distributions

C. Klüppelberg, Vicky Fasen, 2014 .

Electricity spot price modelling with a view towards extreme spike risk

Claudia Klüppelberg, Thilo Meyer-Brandis, C. Klüppelberg, 2010 .

Lindner , Maller : Continuous time volatility modelling : COGARCH versus

C. Klüppelberg, R. Maller, A. Lindner, 2007 .

Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

C. Klüppelberg, R. Maller, A. Lindner, 2006 .

High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes

C. Klüppelberg, C. Klüppelberg, P. Brockwell, 2011 .

High‐frequency sampling of a continuous‐time ARMA process

C. Klüppelberg, P. Brockwell, V. Ferrazzano, 2011, 1104.0554.

Extreme Value Theory in Finance

C. Klüppelberg, Erik Brodin, E. Brodin, 2008 .

Indirect Inference for Lévy‐driven continuous‐time GARCH models

C. Klüppelberg, Thiago Rêgo Sousa, S. Haug, 2019, Scandinavian Journal of Statistics.

Indirect Inference for Lévy‐driven continuous‐time GARCH models

C. Klüppelberg, S. Haug, Thiago do Rêgo Sousa, 2017, Scandinavian Journal of Statistics.

Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

C. Klüppelberg, F. Biagini, Serena Fuschini, 2011 .

A local limit theorem for random walk maxima with heavy tails

C. Klüppelberg, S. Asmussen, D. Konstantinides, 2002 .

Conditional Distributions of Processes Related to Fractional Brownian Motion

C. Klüppelberg, M. Zähle, H. Fink, 2013, J. Appl. Probab..

Maximize the Sharpe Ratio and Minimize a VaR

C. Klüppelberg, R. Maller, Robert B. Durand, 2010, The Journal of Wealth Management.

Anisotropic Brown-Resnick space-time processes: estimation and model assessment

C. Klüppelberg, S. Buhl, 2015, 1503.06049.

Analysis of Stock Market Volatility by Continuous-Time GARCH Models

C. Klüppelberg, R. Maller, Robert B. Durand, 2009 .

Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors

C. Klüppelberg, A. Lindner, S. Jaschke, 2004 .

Identifiability and estimation of recursive max‐linear models

S. Lauritzen, C. Klüppelberg, Nadine Gissibl, 2019, Scandinavian Journal of Statistics.

Subexponential distributions and integrated tails

C. Klüppelberg, 1988, Journal of Applied Probability.

On the distribution tail of an integrated risk model: A numerical approach

C. Klüppelberg, R. Maller, M. Brokate, 2008 .

Complex stochastic systems

D. M. Titterington, Andrew B. Lawson, David R. Cox, 1994 .

Contagion in ﬁnancial systems: A Bayesian network approach

C. Klüppelberg, Carsten Chong, 2017 .

Time Series of Functional Data for Forecasting the Yield Curve and Electricity Prices

C. Klüppelberg, Rituparna Sen, 2013 .

Fe b 20 20 CONDITIONAL INDEPENDENCE IN MAX-LINEAR BAYESIAN NETWORKS

C. Klüppelberg, B. Amendola, 2020 .

Max-linear models on infinte graphs generated by Bernoulli bond percolation

C. Klüppelberg, Ercan Sönmez, 2018 .

Dealing with Dependent Risks

R. Stelzer, C. Klüppelberg, 2014 .

An innovations algorithm for the prediction of functional linear processes

Claudia Klüppelberg, J. Klepsch, C. Klüppelberg, 2016, J. Multivar. Anal..

Risk - A Multidisciplinary Perspective

Daniel Straub, Isabell M. Welpe, C. Klüppelberg, 2014 .

Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes

C. Klüppelberg, R. Maller, A. Lindner, 2003 .

Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional

Codina Cotar, G. Friesecke, C. Klüppelberg, 2018, Archive for Rational Mechanics and Analysis.

Anisotropic Brown-Resnick space-time processes: estimation and model assessment

C. Klüppelberg, S. Buhl, 2016, Extremes.

Bounds for randomly shared risk of heavy-tailed loss factors

C. Klüppelberg, Oliver Kley, 2016, Extremes.

Lévy Matters I

O. Barndorff-Nielsen, C. Klüppelberg, J. Jacod, 2010 .

Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes

C. Klüppelberg, S. Buhl, 2019, Extremes.

Bivariate extreme value distributions based on polynomial dependence functions

Claudia Klüppelberg, C. Klüppelberg, A. May, 2006 .

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

Claudia Klüppelberg, Tailen Hsing, Gabriel Kuhn, 2004 .

Allocation of risk capital to insurance portfolios

C. Klüppelberg, M. Urban, Jörg Dittrich, 2003 .

Allocation of risk capital to insurance portfolios

C. Klüppelberg, M. Urban, Jörg Dittrich, 2003 .

A single number can't hedge against economic catastrophes

C. Klüppelberg, H. Rootzén, 1999 .

Statistical Methods for Extremal Events

Claudia Klüppelberg, Thomas Mikosch, Paul Emberchts, 1997 .

Self-normalized and randomly centered spectral estimates

C. Klüppelberg, C. Klüppelberg, T. Mikosch, 1996 .

Max-linear models in random environment

C. Klüppelberg, Ercan Sönmez, 2022, J. Multivar. Anal..

Explosive Poisson shot noise processes with applications to risk reserves

Claudia Klüppelberg, Thomas Mikosch, C. Klüppelberg, 1995 .

Statistical models and methods for dependence in insurance data

Claudia Klüppelberg, Liang Peng, Stephan Haug, 2011 .

N-density representability and the optimal transport limit of the Hohenberg-Kohn functional.

Claudia Klüppelberg, Codina Cotar, Brendan Pass, 2013, The Journal of chemical physics.

Domains of attraction for exponential families

S. Resnick, C. Klüppelberg, A. Balkema, 2003 .

Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional

Claudia Klüppelberg, Codina Cotar, Gero Friesecke, 2017, 1706.05676.

Copula structure analysis

Claudia Klüppelberg, Gabriel Kuhn, C. Klüppelberg, 2009 .

Subexponential distributions and characterizations of related classes

Claudia Klüppelberg, C. Klüppelberg, 1989 .

Testing for Reduction to Random Walk in Autoregressive Conditional Heteroskedasticity Models

C. Klüppelberg, M. V. D. Vyver, Russ Maller, 2002 .

Extremes of supOU Processes

C. Klüppelberg, V. Fasen, 2007 .

The integrated periodogram for stable processes

Claudia Klüppelberg, Thomas Mikosch, C. Klüppelberg, 1996 .

Estimation of causal continuous‐time autoregressive moving average random fields

C. Klüppelberg, V. Pham, 2020, Scandinavian Journal of Statistics.

Estimation of stable CARMA models with an application to electricity spot prices

C. Klüppelberg, Gernot Müller, Isabel C. Garcia, 2011 .

Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging

Claudia Klüppelberg, Sven Buhl, Denise Dettmering, 2017, Journal of Geodesy.

The Cogarch: A Review, with News on Option Pricing and Statistical Inference

C. Klüppelberg, R. Maller, Alexander Szimayer, 2010 .

Asymmetric COGARCH processes

Claudia Klüppelberg, Anita Behme, Kathrin Mayr, 2014, Journal of Applied Probability.

Method of Moment Estimation in the Cogarch(1,1) Model

C. Klüppelberg, A. Lindner, S. Haug, 2007 .

Estimating the COGARCH(1,1) model - a first go

C. Klüppelberg, A. Lindner, S. Haug, 2005 .

Bounds for randomly shared risk of heavy-tailed loss factors

Oliver Kley, Claudia Klüppelberg, C. Klüppelberg, 2015, 1503.03726.

Extremal behavior of stochastic volatility models

C. Klüppelberg, A. Lindner, V. Fasen, 2006 .

Optimal Portfolios with Bounded Capital at Risk

Claudia Klüppelberg, Susanne Emmer, Ralf Korn, 2001 .

Extreme Value Analysis of Multivariate High-Frequency Wind Speed Data

C. Klüppelberg, C. Steinkohl, R. Davis, 2013 .

Prediction of outstanding insurance claims

Claudia Klüppelberg, M. Severin, C. Klüppelberg, 2001 .

Estimating the tail dependence function of an elliptical distribution

C. Klüppelberg, G. Kuhn, L. Peng, 2007 .

Estimation of distribution tails —a semiparametric approach

C. Klüppelberg, J. Villaseñor, 1993 .

Peng : Estimating Tail Dependence of Elliptical Distributions

C. Klüppelberg, G. Kuhn, L. Peng, 2007 .

Estimating Tail Dependence of Elliptical Distributions

C. Klüppelberg, G. Kuhn, L. Peng, 2006 .

Telecommunication traffic, queueing models, and subexponential distributions

Claudia Klüppelberg, Michael Greiner, Manfred R. Jobmann, 1999, Queueing Syst. Theory Appl..

Mini-Workshop: Lévy Processes and Related Topics in Modelling

O. Barndorff-Nielsen, C. Klüppelberg, J. Jacod, 2007 .

Explicit results on conditional distributions of generalized exponential mixtures

Claudia Klüppelberg, Miriam Isabel Seifert, C. Klüppelberg, 2020, J. Appl. Probab..

Developments in Insurance Mathematics

C. Klüppelberg, 2001 .

Tail probabilities of random linear functions of regularly varying random vectors

C. Klüppelberg, Vicky Fasen-Hartmann, B. Das, 2019, Extremes.

Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes

Claudia Klüppelberg, Sven Buhl, C. Klüppelberg, 2017, Extremes.

Tauberian results for densities with Gaussian tails

U. Stadtmüller, C. Klüppelberg, A. Balkema, 1995 .

Contagion in Financial Systems: A Bayesian Network Approach

Claudia Klüppelberg, Carsten Chong, C. Klüppelberg, 2017, SIAM J. Financial Math..

Big Data: Progress in Automating Extreme Risk Analysis

Nadine Gissibl, Johanna Mager, C. Klüppelberg, 2017 .

Ruin probabilities for risk processes in a bipartite network

C. Klüppelberg, G. Reinert, Anita Behme, 2018, Stochastic Models.

Risk in a Large Claims Insurance Market with Bipartite Graph Structure

C. Klüppelberg, G. Reinert, Oliver Kley, 2014, Oper. Res..

Regular variation in the mean and stable limits for Poisson shot noise

Claudia Klüppelberg, Thomas Mikosch, C. Klüppelberg, 2003 .

Time series of functional data

C. Klüppelberg, Rituparna Sen, 2010 .

2 Extreme Risks 2 . 1 Climate risk

C. Klüppelberg, A. Menzel, V. Fasen, 2013 .

Operational VaR: a closed-form approximation

Claudia Klüppelberg, Klaus Böcker, C. Klüppelberg, 2005 .

Densities with Gaussian Tails

Claudia Klüppelberg, Sidney I. Resnick, A. A. Balkema, 1993 .

Conditional independence in max-linear Bayesian networks

S. Lauritzen, C. Klüppelberg, Carlos Améndola, 2022 .

Causal Discovery of a River Network from its Extremes pdf

Claudia Klüppelberg, Ngoc Mai Tran, Johannes Buck, 2021, ArXiv.

Estimating an extreme Bayesian network via scalings

Claudia Klüppelberg, Mario Krali, C. Klüppelberg, 2019, J. Multivar. Anal..

Spectral estimates and stable processes

Claudia Klüppelberg, Thomas Mikosch, C. Klüppelberg, 1993 .

Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance.

Claudia Klüppelberg, Christoph Kühn, C. Klüppelberg, 2004 .

Testing for non-correlation between price and volatility jumps

C. Klüppelberg, J. Jacod, Gernot Müller, 2017 .

Estimating high quantiles for electricity prices by stable linear models

C. Klüppelberg, T. Meyer-Brandis, Chris Bernhardt, 2008 .

Renewal Theory for Functionals of a Markov Chain with Compact State Space

C. Klüppelberg, S. Pergamenchtchikov, 2003 .

Lévy Matters I - ReadingSample

O. Barndorff-Nielsen, C. Klüppelberg, J. Jacod, 2017 .

Multivariate models for operational risk

Claudia Klüppelberg, Klaus Böcker, C. Klüppelberg, 2010 .

A geometric approach to portfolio optimization in models with transaction costs

Claudia Klüppelberg, Yuri Kabanov, C. Klüppelberg, 2004, Finance Stochastics.

Risk Management with Extreme Value Theory

Claudia Klüppelberg, C. Klüppelberg, 2002 .

Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management

Claudia Klüppelberg, Tailen Hsing, Gabriel Kuhn, 2004 .

Spatial Risk Measures: Local Specification and Boundary Risk

C. Klüppelberg, H. Föllmer, 2014 .

Limit laws for exponential families

S. Resnick, C. Klüppelberg, A. Balkema, 1999 .

High-level dependence in time series models

C. Klüppelberg, M. Schlather, V. Fasen, 2010 .

Copula Structure Analysis Based on Robust and Extreme Dependence Measures

C. Klüppelberg, G. Kuhn, 2006 .

Stochastic Volatility Models: Extremal Behavior

C. Klüppelberg, A. Lindner, 2010 .

Extremes of Random Volatility Models

C. Klüppelberg, A. Lindner, 2008 .

Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data

Claudia Klüppelberg, Jean Jacod, Gernot Müller, 2012, J. Appl. Probab..

A note on the tail accuracy of the univariate saddlepoint approximation

O. Barndorff-Nielsen, C. Klüppelberg, 1992 .

Extreme value theory for moving average processes with light-tailed innovations

C. Klüppelberg, A. Lindner, 2005 .

Stability for Multivariate Exponential Families

S. Resnick, C. Klüppelberg, A. Balkema, 2001 .