Books:

Further publications:

2019

  • Buhl, S., Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Semiparametric estimation for isotropic max-stable space-time processes. Bernoulli 25 (4A), 2019, 2508–2537 mehr…
  • Chong, C. and Klüppelberg, C.: Partial mean field limits in heterogeneous networks. Stochastic Processes and their Applications 129 (12), 2019, 4998-5036 mehr…
  • Das, B., Fasen-Hartmann, V., and Klüppelberg, C.: Tail probabilities of random linear functions of regularly varying random vectors. Preprint, 2019 mehr…
  • Davis, R., do Rêgo Sousa, T., and Klüppelberg, C.: Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates. Preprint, 2019 mehr…
  • Do Rêgo Sousa, T., Haug, S., and Klüppelberg, C.: Indirect inference for Lévy-driven continuous-time GARCH models. Scandinavian Journal of Statistics (46), 2019, 765-801 mehr…
  • Gissibl, N., Klüppelberg, C. and Lauritzen, S.: Identifiability and estimation of recursive max-linear models. Preprint, 2019 mehr…
  • Klüppelberg, C. and Seifert, M. I.: Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Finance and Stochastics 23 (4), 2019, 795-826 mehr…
  • Klüppelberg, C. and Lauritzen, S.: Bayesian Networks for Max-linear Models. In: Biagini, F. and Kauermann, G. and Meyer-Brandis, T. (Hrsg.): Network Science - An Aerial View from Different Perspectives. Springer, 2019 mehr…
  • Klüppelberg, C. and Pham, V.S.: Estimation of causal CARMA random fields. Preprint, 2019 mehr…
  • Klüppelberg, C. and Seifert, M.: Explicit results on conditional distributions of generalized exponential mixtures. Preprint, 2019 mehr…

2018

  • Behme, A., Klüppelberg, C., and Reinert, G.: Hitting probabilities for compound Poisson processes in a bipartite network. Preprint, 2018 mehr…
  • Buhl, S. and Klüppelberg, C.: Limit theory for the empirical extremogram of random fields. Stochastic Processes and their Applications 128 (6), 2018, 2060-2082 mehr…
  • Chong, C. and Klüppelberg, C.: Contagion in financial systems: A Bayesian network approach. SIAM Journal on Financial Mathematics 9 (1), 2018, 28-53 mehr…
  • Gissibl, N. and Klüppelberg, C.: Max-linear models on directed acyclic graphs. Bernoulli 24 (4A), 2018, 2693–2720 mehr…
  • Gissibl, N., Klüppelberg, C., and Otto, M.: Tail dependence of recursive max-linear models with regularly varying noise variables. Econometrics and Statistics 6, 2018, 149-167 mehr…
  • Haug, S., Klüppelberg, C., and Straub, G.: Fractionally integrated COGARCH processes. Journal of Financial Econometrics 16 (4), 2018, 599–628 mehr…
  • Kley, O., Klüppelberg, C., and Reinert, G.: Conditional risk measures in a bipartite market structure. Scandinavian Actuarial Journal 2018 (4), 2018, 328-355 mehr…
  • Klüppelberg, C. and Sönmez, E.: Max-linear models on infinite graphs generated by Bernoulli bond percolation. Preprint, 2018 mehr…

2017

  • Boergens, E., Buhl, S., Dettmering, D., Klüppelberg, C., and Seitz, F.: Combination of multi-mission altimetry data along the Mekong river with spatio temporal kriging. Journal of Geodesy 91 (5), 2017, 519–534 mehr…
  • Buhl, S. and Klüppelberg, C.: Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Extremes, 2017 mehr…
  • Cotar, C., Friesecke, G., and Klüppelberg, C.: Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Archive for Rational Mechanics and Analysis, 2017 mehr…
  • Gissibl, N., Klüppelberg, C., and Mager, J.: Big data: progress in automating extreme risk analysis. In: Pietsch, W., Wernecke, J. and Ott, M. (Hrsg.): Berechenbarkeit der Welt?. Springer VS, 2017, 171-189 mehr…
  • Jacod, J., Klüppelberg, C., and Müller, G.: Testing for non-correlation between price and volatility jumps. Journal of Econometrics 197 (2), 2017, 284-297 mehr…
  • Klepsch, J. and Klüppelberg, C.: An Innovations Algorithm for the prediction of functional linear processes. Journal of Multivariate Analysis 155, 2017, 252–271 mehr…
  • Klepsch, J., Klüppelberg, C., and Wei, T.: Prediction of functional ARMA processes with an application to traffic data. Econometrics and Statistics 1, 2017, 128–149 mehr…

2016

  • Buhl, S. and Klüppelberg, C.: Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Extremes 19 (4), 2016, 627-660 mehr…
  • Chen, B., Chong, C., and Klüppelberg, C.: Simulation of stochastic Volterra equations driven by space-time Lévy noise. In: Podolskij, M., Stolzer, R., Thorbjørnsen, S., and Veraart, A.E.D. (Hrsg.): The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Springer, 2016, 209-229 mehr…
  • Doney, R.A., Klüppelberg, C., and Maller, R.A.: Passage time and fluctuation calculations for subexponential Lévy processes. Bernoulli 22 (3), 2016, 1491-1519 mehr…
  • Kley, O. and Klüppelberg, C.: Bounds for randomly shared risk of heavy-tailed loss factors. Extremes 19 (4), 2016, 719–733 mehr…
  • Kley, O., Klüppelberg, C., and Reinert G.: Risk in a large claims insurance market with bipartite graph structure. Operations Research 64 (5), 2016, 1159-1176 mehr…
  • Klüppelberg, C. and Zhang, J.: Time-consistency of risk measures with GARCH volatilities and their estimation. Statistics & Risk Modeling 32 (2), 2016, 103-124 mehr…

2015

  • Behme, A., Chong, C., and Klüppelberg, C.: Superposition of COGARCH processes. Stochastic Processes and their Applications 125 (4), 2015, 1426-1469 mehr…
  • Chong, C. and Klüppelberg, C.: Integrability conditions for space-time stochastic integrals: Theory and applications. Bernoulli 21 (4), 2015, 2190-2216 mehr…
  • Haug, S., Klüppelberg, C., and Kuhn, G.: Copula structure analysis based on extreme dependence. Statistics and Its Interface 8 (1), 2015, 93-107 mehr…
  • Kley, O., Klüppelberg, C., and Reichel, L.: Systemic risk through contagion in a core-periphery structured banking network. In: A. Palczewski and L. Stettner: Advances in Mathematics of Finance. Banach Center Publications, 2015 mehr…
  • Klüppelberg, C., and Matsui, M.: Generalized fractional Lévy processes with fractional Brownian motion limit and applications to stochastic volatility models. Advances in Applied Probability 47 (4), 2015, 1108-1131 mehr…
  • Klüppelberg, C., and Scherer, M.: Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik. Springer (5. Aufl.), 2015 mehr…

2014

  • Behme, A., Klüppelberg, C., and Mayr, K.: Asymmetric COGARCH processes. Journal of Applied Probability 51A, 2014, 161-173 mehr…
  • Benth, F.E., Klüppelberg, C., Müller, G., and Vos, L.: Futures pricing in electricity markets based on stable CARMA spot models. Energy Economics 44, 2014, 392-406 mehr…
  • Fasen, V., Klüppelberg, C., and Menzel, A: Quantifying extreme risks. In: Klüppelberg, C., Straub, D., Welpe, I. (Hrsg.): Risk - A Multidisciplinary Introduction . Springer, 2014, 151-181 mehr…
  • Fasen, V., and Klüppelberg, C.: Large insurance losses distributions. In: Encyclopedia of Quantitative Risk Assessment. Wiley, 2014 mehr…
  • Föllmer, H., and Klüppelberg, C.: Spatial risk measures: local specification and boundary risk. In: Crisan, D., Hambly, B. and Zariphopoulou, T. (Hrsg.): Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons. Springer International Publishing, 2014, 307-326 mehr…
  • Klüppelberg, C., and Stelzer, R.: Dealing with dependent risks. In: Klüppelberg, C., Straub, D., and Welpe, I. (Hrsg.): Risk - A Multidisciplinary Introduction. Springer, 2014, 241-277 mehr…

2013

  • Biagini, F., Fink, H., and Klüppelberg, C.: A fractional credit model with long range dependent hazard rate. Stochastic Processes and their Applications 123 (4), 2013, 1319-1347 mehr…
  • Brockwell, P.J., Ferrazzano, V., and Klüppelberg, C.: High-frequency sampling and kernel estimation for continuous-time moving average processes. Journal of Time Series Analysis 34 (3), 2013, 385-404 mehr…
  • Cotar, C., Friesecke, G., and Klüppelberg, C.: Density functional theory and and optimal transportation with Coulomb cost. Communications on Pure and Applied Mathematics 66 (4), 2013, 548-599 mehr…
  • Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Statistical inference for max-stable processes in space and time. Journal of the Royal Statistical Society, Series B 75 (5), 2013, 791-819 mehr…
  • Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Max-stable processes for modelling extremes observed in space and time. Journal of the Korean Statistical Society 42 (3), 2013, 399-414 mehr…
  • Esmaeili, H., and Klüppelberg, C.: Two-step estimation of a multi-variate Lévy process. Journal of Time Series Analysis 34 (6), 2013, 668-690 mehr…
  • Fink, H., Klüppelberg, C., and Zähle, M.: Conditional characteristic functions of processes related to fractional Brownian motion. Journal of Applied Probability 50 (1), 2013, 166-183 mehr…
  • Friesecke, G., Mendl, C.B., Pass, B., Cotar, C., and Klüppelberg, C.: N-density representability and the optimal transport limit of the Hohenberg-Kohn functional. The Journal of Chemical Physics 139 (164109), 2013, 12 pages mehr…
  • Klüppelberg, C., and Rasmussen, M.G.: Outcrossings of safe regions by generalized hyperbolic processes. Statistics & Probability Letters 83 (10), 2013, 2197 - 2204 mehr…
  • Steinkohl, C., Davis, R., and Klüppelberg, C.: Extreme value analysis of multivariate high frequency wind speed data. Journal of Statistical Theory and Practice 7 (1), 2013, 73-94 mehr…

2012

  • Brockwell, P.J., Ferrazzano, V. and Klüppelberg, C.: High-frequency sampling of a continuous-time ARMA processes. J. Time Series Analysis (33 (1)), 2012, 152-160 mehr…
  • Eder, I. and Klüppelberg, C.: Pareto Lévy measures and multivariate regular variation. Advances in Applied Probability 44 (1), 2012, 117-138 mehr…
  • Jacod, J., Klüppelberg, C. and Müller, G.: Functional relationships between price and volatility jumps and its consequences for discretely observed data. Journal of Applied Probability 49 (4), 2012, 901-914 mehr…
  • Schreiber, I., Müller, G., Klüppelberg, C, Wagner, N.: Equities, credits and volatilities: a multivariate analysis of the european market during the sub-prime crisis. International Review of Financial Analysis 24, 2012, 57–65 mehr…

2011

  • Bankovsky, D., Klüppelberg, C. and Maller, R.: On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Journal of Applied Probability 48A, 2011, 15-28 mehr…
  • Biagini, F., Fuschini, F., Klüppelberg, C.: Credit contagion in a long range dependent macroeconomic factor model. In: Di Nunno, Julia, Øksendal, Bernt: Advanced Mathematical Methods in Finance. Springer, 2011, 105-132 mehr…
  • Böcker, K. and Klüppelberg, C.: First order approximations to operational risk - dependence and consequences. In: Greg N. Gregoriou: Operational Risk Toward Basel III, Best Practices and Issues in Modeling, Management and Regulation. . Wiley, 2011, 219-245 mehr…
  • Daley, D.J., Klüppelberg, C. and Yang, Y.: Corrigendum to Baltrunas, Daley and Klüppelberg: Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Stochastic Processes and their Applications 121 (9), 2011, 2186–2187 mehr…
  • Esmaeili, H., Klüppelberg, C.: Parametric estimation of a bivariate stable Lévy process. Journal of Multivariate Analysis 102 (5), 2011, 918–930 mehr…
  • Fasen, V. and Klüppelberg, C.: Modellieren und Quantifizieren von extremen Risiken. In: Wendland, Katrin, Werner, Annette: Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung.. Teubner Verlag, 2011, 67-88 mehr…
  • Fink, H., Klüppelberg, C.: Fractional Lévy driven Ornstein-Uhlenbeck processes and stochastic differential equations. Bernoulli 17 (1), 2011, 484-506 mehr…
  • García, I., Klüppelberg, C., Müller, G.: Estimation of stable CARMA models with an application to electricity spot prices. Statistical Modelling 11 (5), 2011, 447-470 mehr…
  • Haug, S., Klüppelberg, C. and Peng, L.: Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society 40 (2), 2011, 125-139 mehr…
  • Klüppelberg, C, Maller, R. and Szimayer, A.: The COGARCH: a review, with news on option pricing and statistical inference. In: Surveys in Stochastic Processes. Proc. of the 33rd SPA Conference in Berlin. EMS Series of Congress Reports, EMS Publishing House, 2011, 29-58 mehr…
  • Ueltzhöfer, F., Klüppelberg, C.: An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Journal of Nonparametric Statistics 23 (4), 2011, 967-989 mehr…

2010

  • Asmussen, S., Fasen, V., Klüppelberg, C.: Heavy tails in insurance. In: Encyclopedia of Quantitative Finance. Wiley, 2010, 873-875 mehr…
  • Brodin, E., Klüppelberg, C.: Modelling, estimation and visualization of multivariate dependence for high-frequency data. In: Statistical Modelling and Regression Structures . Springer, 2010, 267-300 mehr…
  • Böcker, K. and Klüppelberg, C.: Multivariate models for operational risk. Quantitative Finance 10 (8), 2010, 855–869 mehr…
  • Durand, R., Jafarpour, H., Klüppelberg, C., Maller, R.: Maximize the sharpe ratio and minimize a VaR. Journal of Wealth Management 13 (1), 2010, 91-102 mehr…
  • Esmaeili, H., Klüppelberg, C.: Parameter estimation of a bivariate compound Poisson process. Insurance: Mathematics and Economics 47 (2), 2010, 224-233 mehr…
  • Fasen, V., Klüppelberg, C., Schlather, M.: High-level dependence in time series models. Extremes 13 (1), 2010, 1-33 mehr…
  • Klüppelberg, C., Lindner, A.: Stochastic volatility models: extremal behavior. In: Cont, R.: Encyclopedia of Quantitative Finance. Wiley, 2010, 1741-1748 mehr…
  • Klüppelberg, C., Meyer-Brandis, T., Schmidt, A.: Electricity spot price modelling with a view towards extreme spike risk. Quantitative Finance 10 (9), 2010, 963-974 mehr…
  • Kumeth, A., Klüppelberg, C., and Steinkohl, C.: Modelling the value and measuring the risk of private equity. Preprint, 2010 mehr…
  • Sen, R. and Klüppelberg, C.: Time series of functional data. Technical report, 2010 mehr…

2009

  • Böcker, K. and Klüppelberg, C.: Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten. In: Schäfer, K.: Risikomanagement und kapitalmarktorientierte Finanzierung.. Fritz Knapp Verlag, 2009, 403-420 mehr…
  • Eder, I. and Klüppelberg, C.: The first passage event for sums of dependent Lévy processes with applications to insurance risk. Ann. Appl. Probab. 19 (6), 2009, 2047-2079 mehr…
  • Klüppelberg, C. and Pergamenshchikov, S.: Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. In: Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling. Walter de Gruyter, 2009, 245-273 mehr…
  • Klüppelberg, C., Kuhn, G: Copula structure analysis. J. Royal Stat. Soc., Series B 71 (3), 2009, 737 - 753. mehr…
  • Klüppelberg, C., Pergamenchtchikov, S.: Optimal consumption and investment with bounded downside risk for power utility functions. In: Delbaen, F., Rásonyi, M. and Stricker, C.: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, 2009, 133-169 mehr…
  • Müller, G., Durand, R., Maller, R., Klüppelberg, C.: Analysis of stock market volatility by continuous-time GARCH models. In: Gregoriou, G.N.: Stock Market Volatility. Chapman Hall/Taylor and Francis, 2009, 31-50 mehr…

2008

  • Bernhardt, C.,Klüppelberg, C., Meyer-Brandis, T.: Estimating high quantiles for electricity prices by stable linear models. Journal of Energy Markets 1 (1), 2008, 3-19 mehr…
  • Brodin, E., Klüppelberg, C.: Extreme value theory in finance. In: Everitt, B. and Melnick, E.: Encyclopedia of Quantitative Risk Analysis and Assessment.. Wiley, Chichester, 2008 mehr…
  • Brokate, M., Klüppelberg, C., Kostadinova, R., Maller, R., Seydel, R.S.: On the distribution tail of an integrated risk model: a numerical approach. Insurance: Math. and Econ. 42 (1), 2008, 101-106 mehr…
  • Böcker, K., Klüppelberg, C.: Modelling and measuring multivariate operational risk with Lévy copulas. J. Operational Risk 3 (2), 2008, 3-27 mehr…
  • Böcker, K., Klüppelberg, C.: Economic capital modelling and Basel II compliance in the banking industry. In: Jäger, W. and Krebs, H.-J.: Mathematics . Springer, 2008, 295-317 mehr…
  • Delong, L., Klüppelberg, C.: Optimal investment and consumption in a Black-Scholes market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process. Annals of Applied Probabability 18 (3), 2008, 879-908 mehr…
  • Klüppelberg, C., Kostadinova, R.: Integrated insurance risk models with exponential Lévy investment. Insurance: Math & Economics 42 (2), 2008, 560-577 mehr…
  • Klüppelberg, C., Kuhn, G., Peng, L.: Semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case. Scand. J. Stat. 35 (4), 2008, 701-718 mehr…
  • Klüppelberg, C., Resnick, S.: The Pareto Copula, aggregation of risks and the Emperor's socks. Journal of Applied Probability 45 (1), 2008, 67-84 mehr…

2007

  • Klüppelberg, C., Pergamenchtchikov: Extremal behavior of models with multivariate random recurrence representation. Stoch. Proc. Appl 117 (4), 2007, 432-456 mehr…
  • Böcker, K. and Klüppelberg, C.: Multivariate operational risk: dependence modelling with Lévy copulas. 2007 ERM Symposium , Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries. , 2007 mehr…
  • Fasen, V., Klüppelberg, C.: Extremes of supOU processes. In: Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications. Springer, 2007, 340-359 mehr…
  • Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M.: Method of moment estimation in the COGARCH(1,1) model. The Econometrics Journal 10 (2), 2007, 320-341 mehr…
  • Klüppelberg, C., Kuhn, G. and Peng, L.: Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 2007, 229–251 mehr…

2006

  • Buchmann, B. and Klüppelberg, C.: Fractional integral equations and state space transforms. Bernoulli 12 (3), 2006, 431-456 mehr…
  • Fasen, V.,Klüppelberg, C. and Lindner, A.: Extremal behavior of stochastic volatility models. In: Stochastic Finance. Springer, 2006, 107-155 mehr…
  • Klüppelberg, C. and Kyprianou, A.E.: On extreme ruinous behaviour of Lévy Insurance risk processes. J. Appl. Probab. 43 (2), 2006, 594-598 mehr…
  • Klüppelberg, C. and May, A.: Bivariate extreme value distributions based on polynomial dependence functions. Mathematical Methods in the Applied Sciences 29 (12), 2006, 1467–1480 mehr…
  • Klüppelberg, C. and Peng, L.: Empirical likelihood methods for an AR(1) process with ARCH(1) errors. Discussion Paper 386 beim SFB 386 "Diskrete Strukturen"., 2006 mehr…
  • Klüppelberg, C. and Rootzén, H.: Introduction to the copula discussion: some background. Extremes 7 (1), 2006, 1-2 mehr…
  • Klüppelberg, C., Lindner, A. and Maller, R.: Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. In: Kabanov, Yu., Liptser, R., Stoyanov, J.: The Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance. Springer, 2006, 393-419 mehr…

2005

  • Bregman, Y., Klüppelberg, C.: Ruin estimation in multivariate models with Clayton dependence structure. Scand. Act. J. 2005 (6), 2005, 462-480 mehr…
  • Buchmann, B., Klüppelberg, C.: Maxima of stochastic processes driven by fractional Brownian motion. Adv. Appl. Probab. 37 (3), 2005, 743-764 mehr…
  • Böcker, K., Klüppelberg, C.: Operational VaR: a closed-form approximation. Risk, 2005, 90-93 mehr…
  • Klüppelberg, C., Lindner, A.: Extreme value theory for moving avarage processes with light-tailed innovations. Bernoulli 11 (3), 2005, 381-410 mehr…

2004

  • Baltrunas, A., Daley, D.J., Klüppelberg, C.: Tail behaviour of the busy period of GI/G/1 queue with subexponential service times. Stoch. Proc. Appl. 111 (2), 2004, 237-258 mehr…
  • Baltrunas, A., Klüppelberg, C.: Subexponential distributions - large deviations with applications to insurance and queueing models. Austr.N.Z.J.Stat 46 (1), 2004, 141-150 mehr…
  • Emmer, S., Klüppelberg, C.: Optimal portfolios when stock prices follow an exponential Lévy process. Finance & Stochastics 8 (1), 2004, 17-44 mehr…
  • Hsing, T., Klüppelberg, C., Kuhn, G.: Modelling, estimation and visualization of multivariate dependence for risk management. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr…
  • Hsing, T., Klüppelberg, C., Kuhn, G.: Dependence estimation and visualization in multivariate extremes with applications to financial data. Extremes 7 (2), 2004, 99-121. mehr…
  • Jaschke, S., Klüppelberg, C., Lindner, A.: Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. J. Multiv. Anal. 88 (2), 2004, 252-273 mehr…
  • Kabanov, Y., Klüppelberg, C.: A geometric approach to portfolio optimization in models with transaction costs. Finance & Stochastics 8 (2), 2004, 207-227 mehr…
  • Klüppelberg, C.: Risk management with extreme value theory. In: Finkenstädt, B. and Rootzén, H.: Extreme Values in Finance, Telecommunication and the Environment.. Chapman and Hall/CRC, Boca Raton, 2004, 101-168 mehr…
  • Klüppelberg, C.: Subexponential distributions. In: Sundt, B. and Teugels, J.: Encyclopedia of Actuarial Science. Wiley, Chichester, 2004, 1626-1633 mehr…
  • Klüppelberg, C., Kyprianou, A., Maller, R.: Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14 (4), 2004, 1766-1801 mehr…
  • Klüppelberg, C., Kühn, C.: Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. Stoch. Proc. Appl. 113 (2), 2004, 333-351 mehr…
  • Klüppelberg, C., Lindner, A., Maller, R.: A continuous time GARCH process driven by a Lévy process: stationarity and second order behaviour. J. Appl. Prob. 41 (3), 2004, 601-622 mehr…
  • Klüppelberg, C., Pergamenchtchikov, S.: The tail of the stationary distribution of a random coefficient AR(q) model. Ann. Appl. Probab. 14 (2), 2004, 971-1005 mehr…

2003

  • Balkema, A. A., Klüppelberg, C. und Resnick S. I.: Domains of attraction for exponential families. Stoch. Proc. Appl. 107 (1), 2003, 83-103 mehr…
  • Klüppelberg, C., Mikosch, T., Schärf, A.: Regular variation in the mean and stable limits for Poisson shot noise. Bernoulli 9 (3), 2003, 467-496 mehr…
  • Klüppelberg, C., Pergamenchtchikov, S.: Renewal theory for functionals of a Markov chain with compact state space. Ann. Probab. 31 (4), 2003, 2270-2300 mehr…
  • Urban, M., Dittrich, J., Klüppelberg, C., Stölting, R.: Allocation of risk capital to insurance portfolios. Blätter der DGVFM 26 (2), 2003, 389-406 mehr…

2002

  • Asmussen, S., Kalashnikov, V., Klüppelberg, C., Konstantinides, D., Tsitiashvili, G.: A local limit theorem for random walk maxima with heavy tails. Statistics & Probability Letters 56 (4), 2002, 399-404 mehr…
  • Klüppelberg, C., Maller R.A., Van De Vyver M., Wee D.: Testing for reduction to random walk in autoregressive conditional heteroscedasticity models. The Econometrics Journal 5 (2), 2002, 387-416 mehr…
  • Klüppelberg, C., Severin, M.: Prediction of outstanding insurance claims. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2002, mehr…

2001

  • Balkema, A. A., Klüppelberg, C. und Resnick S. I.: Stability for multivariate exponential families. J. Math. Sci. 106 (2), 2001, 2777-2791 mehr…
  • Barndorff-Nielsen, O.E., Cox, D., Klüppelberg, C.: Complex stochastic systems. Chapman and Hall / CRC, Boca Raton, 2001 mehr…
  • Borkovec, M., Klüppelberg, C.: The tail of the stationary distribution of an autoregressive process with ARCH(1) errors. Ann. Applied Probab 11 (4), 2001, 1220-1241 mehr…
  • Emmer, S., Klüppelberg, C. , Korn, R.: Optimal portfolios with bounded Capital-at-Risk. Mathematical Finance 11 (4), 2001, 365-384 mehr…
  • Gogl, H., Greiner, M., Jobmann, M., Klüppelberg, C.: Fluid queue models for observed long range dependence in telecommunication data. In: Greiner, M.,Jobmann, M.: Stochastic Modeling of High-Speed Networks: Workshop Proceedings. CS Press, 2001 mehr…
  • Klüppelberg, C.: Developments in insurance mathematics. In: Engquist, B., Schmid, W.: Mathematics Unlimited - 2001 and Beyond. Springer, 2001, 703-722 mehr…

2000

  • Borkovec, M., und Klüppelberg, C.: Extremwerttheorie für Finanzzeitreihen - ein unverzichtbares Werkzeug im Risikomanagement219-241. In: Rudolph, B., und Johanning, L. (Hrsg.): Handbuch Risikomanagement. Uhlenbruch , 2000, 219-241 mehr…
  • Emmer, S., Klüppelberg, C. , and Korn, R.: Optimal portfolios with bounded downside risks. Lehrstuhl für Mathematische Statistik, 2000, mehr…

1999

  • Balkema, A.A., Klüppelberg, C., and Resnick, S.I.: Limit laws for exponential families. Bernoulli 5 (6), 1999, 951-968 mehr…
  • Barndorff-Nielsen, O.E., and Klüppelberg, C.: Tail exactness of multivariate saddlepoint approximations. Scandinavian Journal of Statistics 26 (2), 1999 mehr…
  • Greiner, M., Jobmann, M., and Klüppelberg, C.: Telecommunication traffic, queueing models and subexponential distributions. Queueing Systems 33 (1-3), 1999 mehr…
  • Klüppelberg, C. and Korn, R.: Optimale Portfolios mit beschränktem Value-at-Risk. Solutions 3 (2), 1999, 23-32 mehr…
  • Rootzen, H. and Klüppelberg, C.: A single number can't hedge against economic catastrophes. AMBIO: A Journal of the Human Environment 28 (6), 1999 mehr…

1998

  • Asmussen, S., Klüppelberg, C. , and Sigman, K.: Sampling at subexponential times, with queueing applications. Stochastic Processes and their Applications 79 (2), 1998, 265-286 mehr…
  • Borkovec, M., and Klüppelberg, C.: Extremal behaviour of diffusion models in finance. Extremes 1 (1), 1998, 47-80 mehr…
  • Emmer, S., Klüppelberg, C., and Trüstedt, M.: VaR - ein Maß für das extreme Risiko. Solutions 2, 1998, 53-63 mehr…
  • Goldie, C.M., and Klüppelberg, C.: Subexponential distributions. In: Adler, R., Feldman, R., and Taqqu, M.S. (Hrsg.): A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy Tailed Distributions. Birkhäuser, 1998, 435-459 mehr…
  • Klüppelberg, C.: Risikomanagement in der Finanzmathematik. DMV-Mitteilungen 6 (3), 1998, 62-67 mehr…
  • Klüppelberg, C., and Stadtmüller, U.: Ruin probabilities in the presence of heavy tails and interest rates. Scandinavian Actuarial Journal 1998 (1), 1998, 49-58 mehr…

1997

  • Asmussen, S., and Klüppelberg, C.: Stationary M/G/1 excursions in the presence of heavy tails. Journal of Applied Probability 34 (1), 1997, 208-212 mehr…
  • Klüppelberg, C., and Mikosch, T.: Large deviations of heavy-tailed random sums with applications in insurance and finance. Journal of Applied Probability 34 (2), 1997, 293-308 mehr…

1996

  • Asmussen, S., and Klüppelberg, C.: Large deviations results in the presence of heavy tails, with applications to insurance risk. Stochastic Processes and their Applications 64 (1), 1996, 103-125 mehr…
  • Klüppelberg, C., and Mikosch, T.: Self-normalised and randomly centred spectral estimates. In: Heyde, C.C., Prokhorov, Yu.V., Pyke, R. and Rachev, S.T. (Hrsg.): Proceedings of the Athens International Conference on Applied Probability and Time Series. Springer, 1996, 259-271 mehr…
  • Klüppelberg, C., and Mikosch, T.: Gaussian limit fields for the integrated periodogram. Annals of Applied Probability 6 (3), 1996, 969-991 mehr…
  • Klüppelberg, C., and Mikosch, T.: Parameter estimation for a misspecified ARMA model with infinite variance innovations. Journal of Mathematical Sciences 78 (1), 1996, 60-65 mehr…
  • Klüppelberg, C., and Mikosch, T.: The integrated periodogram for stable processes. Annals of Statistics 24 (5), 1996, 1855-1879 mehr…

1995

  • Balkema, A.A., Klüppelberg, C., and Stadtmüller, U.: Tauberian results for densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1995, 383-400 mehr…
  • Klüppelberg, C., and Mikosch, T.: Explosive Poisson shot noise processes with applications to risk reserves. Bernoulli 1 (1-2), 1995, 125-147 mehr…
  • Klüppelberg, C., and Mikosch, T.: Delay in claim settlement and ruin probability approximations. Scandinavian Actuarial Journal 1995 (2), 1995, 154-168 mehr…
  • Klüppelberg, C., and Mikosch, T.: On strong consistency of estimators for infinite variance time series. Theory of Probability and Mathematical Statístics 53, 1995, 127-136 mehr…
  • Mikosch, T., Gadrich, T., Klüppelberg, C., and Adler, R.J.: Parameter estimation for ARMA models with infinite variance innovations. Annals of Statistics 23 (1), 1995, 305-326 mehr…

1994

  • Asmussen, S., Henriksen, L. Fløe, Klüppelberg, C.: Large claims approximations for risk processes in a Markovian environment. Stoch. Proc. Appl. 54 (1), 1994, 29-43 mehr…
  • Klüppelberg, C.: Katastrophen - Modellierung und Vorhersage. Antrittsvorlesung, 1. Dezember 1993, ETH-Zürich. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker (1), 1994, 29-49 mehr…
  • Klüppelberg, C., Mikosch, T.: Some limit theory for the self-normalised periodogram of stable processes. Scand. J. Stat. 21 (4), 1994, 485-491 mehr…

1993

  • Balkema, A.A., Klüppelberg, C., Resnick, S.I.: Densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1993, 383-400 mehr…
  • Buchwalder, M., Chevallier, E., Klüppelberg, C.: Approximation methods for the total claimsize distribution - an algorithmic and graphical presentation. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker 2, 1993, 187-227 mehr…
  • Embrechts, P., Klüppelberg, C.: Some aspects of insurance mathematics. Theory of Probability and its Applications 38 (2), 1993, 262-295 mehr…
  • Klüppelberg, C.: Asymptotic ordering of risks and ruin probabilities. Insurance: Mathematics and Economics 12 (3), 1993, 259-264 mehr…
  • Klüppelberg, C., Mikosch, T.: Spectral estimates and stable processes. Stochastic Processes and their Applications 47 (2), 1993, 323-344 mehr…
  • Klüppelberg, C., Villasenor, J.: Estimation of distribution tails - a semiparametric approach. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 21 (2), 1993, 213-235 mehr…

1992

  • Barndorff-Nielsen, O.E., Klüppelberg, C. (1992): A note on the tail accuracy of the univariate saddlepoint approximation. Annales de Toulouse Série 6 1 (1), 1992, 5-14 mehr…

1991

  • Keller, B., Klüppelberg, C.: Statistical estimation of large claims distributions. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1991, 203-216 mehr…
  • Klüppelberg, C., Villasenor, J.: The full solution of the convolution closure problem for convolution- equivalent distributions. J. Math. Anal. Appl. 160 (1), 1991, 79-92 mehr…

1990

  • Klüppelberg, C.: Asymptotic ordering of distribution functions and convolution semigroups. Semigroup Forum 40 (1), 1990, 77-92 mehr…
  • Klüppelberg, C.: Asymptotic ruin probabilities and hazard rates. Math. Oper. Res. 60, 1990, 567-576 mehr…

1989

  • Klüppelberg, C.: Subexponential distributions and characterizations of related classes. Probability Theory and Related Fields 82 (2), 1989, 259-269 mehr…
  • Klüppelberg, C.: Estimation of ruin probabilities by means of hazard rates. Insurance: Mathematics and Economics 8 (4), 1989, 279-285 mehr…

1988

  • Klüppelberg, C.: Subexponential distributions and integrated tails. Journal of Applied Probability 25 (1), 1988, 132-141 mehr…