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Mathematics

D-Index
52
Citations
24089
World Ranking
931
National Ranking
47

Overview

Claudia Klüppelberg is affiliated with the Technical University of Munich in Germany. Their research spans multiple fields including Mathematics, Economics, Econometrics and Finance, and Computer Science, with significant contributions in applied and theoretical dimensions.

The scientist's main areas of study focus on Statistics and Probability, Finance, Artificial Intelligence, Management Science and Operations Research, and Statistical and Nonlinear Physics. Their work addresses topics such as Bayesian Modeling and Causal Inference, Financial Risk and Volatility Modeling, Statistical Methods and Inference, Complex Network Analysis Techniques, Stochastic Processes and Financial Applications, Probability and Risk Models, and Markov Chains and Monte Carlo Methods.

Recent published papers by Claudia Klüppelberg include:

  • Estimating an extreme Bayesian network via scalings, 2021, Infoscience (Ecole Polytechnique Fédérale de Lausanne)
  • Conditional independence in max-linear Bayesian networks, 2022, The Annals of Applied Probability
  • Ruin probabilities for risk processes in a bipartite network, 2020, Stochastic Models
  • Identifiability and estimation of recursive max-linear models, 2020, Scandinavian Journal of Statistics
  • Recursive max-linear models with propagating noise, 2021, Electronic Journal of Statistics

Their frequent coauthors reflect collaboration across different projects and disciplines, including Mario Krali, Steffen L. Lauritzen, Ngoc Mai Tran, Johannes Buck, and Gero Friesecke.

Publication venues where Claudia Klüppelberg's work frequently appears include arXiv (Cornell University), Scandinavian Journal of Statistics, Journal of Multivariate Analysis, The Annals of Applied Probability, and Stochastic Models.

Best Publications

  • Modelling Extremal Events: for Insurance and Finance

    Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg

  • Modelling Extremal Events

    Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch

  • Subexponential distributions and integrated tails.

    Claudia Klüppelberg

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

    Claudia Klüppelberg;Alexander M. Lindner;R. A. Maller

  • Subexponential distributions

    Charles M. Goldie;Claudia Klüppelberg

  • LARGE DEVIATIONS OF HEAVY-TAILED RANDOM SUMS WITH APPLICATIONS IN INSURANCE AND FINANCE

    C Kluppelberg;T Mikosch

  • PARAMETER-ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE INNOVATIONS

    Thomas Mikosch;Tamar Gadrich;Claudia Kluppelberg;Robert J. Adler

  • Ruin probabilities and overshoots for general Lévy insurance risk processes

    Claudia Kluppelberg;Andreas E. Kyprianou;Ross A. Maller

  • Subexponential distributions and characterizations of related classes

    Claudia Klüppelberg

  • Optimal Portfolios with Bounded Capital at Risk

    Susanne Emmer;Claudia Klüppelberg;Ralf Korn

  • Explosive Poisson shot noise processes with applications to risk reserves

    Claudia Klüppelberg;Thomas Mikosch

  • Density Functional Theory and Optimal Transportation with Coulomb Cost

    Codina Cotar;Gero Friesecke;Claudia Klüppelberg

  • Operational VaR: a closed-form approximation

    K. Böcker;C. Klüppelberg

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

    Søren Asmussen;Claudia Klüppelberg

  • Ruin probabilities in the presence of heavy tails and interest rates

    Claudia Klüppelberg;Ulrich Stadtmüller

  • Sampling at subexponential times, with queueing applications

    Søren Asmussen;Claudia Klüppelberg;Karl Sigman

  • A single number can't hedge against economic catastrophes

    H. Rootzen;C. Kluppelberg

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

    Milan Borkovec;Claudia Klüppelberg

  • Complex stochastic systems

    Ole Barndorff-Nielsen;David Cox;Claudia Klüppelberg

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

    Claudia Klüppelberg;Christoph Kühn

Frequent Co-Authors

Thomas Mikosch
Thomas Mikosch University of Copenhagen
Richard A. Davis
Richard A. Davis Columbia University
Gesine Reinert
Gesine Reinert University of Oxford
Liang Peng
Liang Peng Georgia State University
Ole E. Barndorff-Nielsen
Ole E. Barndorff-Nielsen Aarhus University
Søren Asmussen
Søren Asmussen Aarhus University
Peter J. Brockwell
Peter J. Brockwell Colorado State University
Jean Jacod
Jean Jacod Sorbonne University
Sidney I. Resnick
Sidney I. Resnick Cornell University
Steffen L. Lauritzen
Steffen L. Lauritzen University of Copenhagen

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