KLÜPPELBERG, CLAUDIA / Mathematics / Researchers

International Center for Scientific Research

Researchers

Mathematics / KLÜPPELBERG, CLAUDIA

cklumathematik.tu-muenchen.de

Position

Professor Dr. Claudia Klüppelberg holds the Chair of Mathematical Statistics at the Center for Mathematical Sciences of the Munich University of Technology, Germany.

Research interests

· Time Series Analysis
· Statistics of Stochastic Processes
· Mathematical Finance
· Insurance Mathematics
Claudia Klüppelberg's research interest combine various areas of applied probability and statistics, and her work is often motivated by real life problems. At the moment this concerns mainly the areas of insurance and finance. Both fields concentrate of financial risk management; the mathematical models and methods, however, differ.

Publications

Asmussen, S., Kalashnikov, V., Klüppelberg, C., Konstantinides, D., Tsitiashvili, G. (2002)
A local limit theorem for random walk maxima with heavy tails.
Statistics & Probability Letters 56, 399-4-404.

Baltrunas, A., Daley, D.J., Klüppelberg, C. (2002)
Tail behaviour of the busy period of GI/G/1 queue with subexponential service times.
Submitted for publication.

Klüppelberg, C., Kühn, C. (2002)
Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance.
Submitted for publication.

Jaschke, S., Klüppelberg, C., Lindner, A. (2002)
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
Submitted for publication

Klüppelberg, C. (2002)
Risk management with extreme value theory.
Submitted for publication.

Emmer, S., Klüppelberg, C.(2002)
Optimal portfolios when stock prices follow an exponential Lévy process.
Submitted for publication.

Klüppelberg, C., Pergamenchtchikov, S., (2002)
The tail of the stationary distribution of a random coefficient AR(q) model.
Submitted for publication.

Besides numerous publications in scientific journals, Claudia Klüppelberg has coauthored the book :
Embrechts, P., Klüppelberg, C. and Mikosch T. (1997, 1999, 2001), Modelling Extremal Events for Insurance and Finance", Springer, Berlin.

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