Claudia Klüppelberg
Claudia Klüppelberg
Unknown affiliation
Verified email at ma.tum.de
Title
Cited by
Cited by
Year
Modelling extremal events: for insurance and finance
P Embrechts, C Klüppelberg, T Mikosch
Springer Science & Business Media, 2013
89182013
Mathematical models of financial derivatives
YK Kwok
Springer, 2008
2494*2008
Subexponential distributions and integrated tails
C Klüppelberg
Journal of Applied Probability, 132-141, 1988
3971988
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
C Klüppelberg, A Lindner, R Maller
Journal of Applied Probability, 601-622, 2004
3022004
Subexponential distributions
CM Goldie, C Klüppelberg
A practical guide to heavy tails: statistical techniques and applications …, 1998
2761998
Large deviations of heavy-tailed random sums with applications in insurance and finance
C Klüppelberg, T Mikosch
Journal of Applied Probability, 293-308, 1997
2301997
Ruin probabilities and overshoots for general Lévy insurance risk processes
C Klüppelberg, AE Kyprianou, RA Maller
The Annals of Applied Probability 14 (4), 1766-1801, 2004
2132004
Optimal portfolios with bounded capital at risk
S Emmer, C Klüppelberg, R Korn
Mathematical Finance 11 (4), 365-384, 2001
1882001
Subexponential distributions and characterizations of related classes
C Klüppelberg
Probability Theory and Related Fields 82 (2), 259-269, 1989
1861989
Operational VaR: a closed-form approximation
K Böcker, C Klüppelberg
Risk, 90-93, 2005
1712005
Large deviations results for subexponential tails, with applications to insurance risk
S Asmussen, C Klüppelberg
Stochastic processes and their applications 64 (1), 103-125, 1996
1621996
Explosive Poisson shot noise processes with applications to risk reserves
C Klüppelberg, T Mikosch
Bernoulli, 125-147, 1995
1591995
Ruin probabilities in the presence of heavy-tails and interest rates
C Klüppelberg, U Stadtmüller
Scandinavian Actuarial Journal 1998 (1), 49-58, 1998
1481998
Sampling at subexponential times, with queueing applications
S Asmussen, C Klüppelberg, K Sigman
Stochastic processes and their applications 79 (2), 265-286, 1999
1351999
A single number can't hedge against economic catastrophes
H Rootzen, C Klüppelberg
AMBIO: A Journal of the Human Environment 28 (6), 1999
1301999
Density functional theory and optimal transportation with Coulomb cost
C Cotar, G Friesecke, C Klüppelberg
Communications on Pure and Applied Mathematics 66 (4), 548-599, 2013
1232013
The tail of the stationary distribution of an autoregressive process with ARCH (1) errors
M Borkovec, C Klüppelberg
Annals of Applied Probability, 1220-1241, 2001
1222001
A local limit theorem for random walk maxima with heavy tails
S Asmussen, V Kalashnikov, D Konstantinides, C Klüppelberg, ...
Statistics & probability letters 56 (4), 399-404, 2002
1052002
Some aspects of insurance mathematics
P Embrechts, C Klüppelberg
Theory of Probability & Its Applications 38 (2), 262-295, 1994
1031994
Continuous time volatility modelling: COGARCH versus Ornstein–Uhlenbeck models
C Klüppelberg, A Lindner, R Maller
From stochastic calculus to mathematical finance, 393-419, 2006
982006
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