WorldCat Identities

Klüppelberg, Claudia 1953-

Overview
Works: 52 works in 127 publications in 2 languages and 1,200 library holdings
Genres: Conference proceedings 
Roles: Author, Editor, Honoree
Classifications: HF5691, 650.01513
Publication Timeline
Key
Publications about  Claudia Klüppelberg Publications about Claudia Klüppelberg
Publications by  Claudia Klüppelberg Publications by Claudia Klüppelberg
Most widely held works by Claudia Klüppelberg
Modelling extremal events for insurance and finance by Paul Embrechts ( Book )
46 editions published between 1997 and 2010 in English and German and held by 591 WorldCat member libraries worldwide
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations, in financial data, stock-market shocks, risk management ...) play an increasingly important role. This much awaited book presents a comprehensive development of extreme value methodology for random walk models, time series, certain types of continuous-time stochastic processes and compound Poisson processes, all models which standardly occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes of iid sequences, extremes in time series models, point process methods, statistical estimation of tail probabilities. Besides summarising and bringing together known results, the book also features topics that appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavy-tailed time series. A typical chapter will introduce the new methodology in a rather intuitive (tough always mathematically correct) way, stressing the understanding of new techniques rather than following the usual "theorem-proof" format. Many examples, mainly from applications in insurance and finance, help to convey the usefulness of the new material. A final chapter on more extensive applications and/or related fields broadens the scope further. The book can serve either as a text for a graduate course on stochastics, insurance or mathematical finance, or as a basic reference source. Its reference quality is enhanced by a very extensive bibliography, annotated by various comments sections making the book broadly and easily accessible
Complex stochastic systems ( Book )
12 editions published between 2000 and 2001 in English and Undetermined and held by 248 WorldCat member libraries worldwide
"Individually, these articles provide authoritative, tutorial-style expositions and recent results from various subjects related to complex stochastic systems. Collectively, they link these separate areas of study to form the first comprehensive overview of this important and rapidly developing field."--Jacket
Risk -- a multidisciplinary introduction by Claudia Klüppelberg ( )
6 editions published in 2014 in English and held by 245 WorldCat member libraries worldwide
This is a unique book addressing the integration of risk methodology from various fields. It stimulates intellectual debate and communication across disciplines, promotes better risk management practices and contributes to the development of risk management methodologies. Book chapters explain fundamental risk models and measurement, and address risk and security issues from diverse areas such as finance and insurance, health sciences, life sciences, engineering and information science. Integrated Risk Sciences is an emerging field, that considers risks in different fields aiming at a common language, and at sharing and improving methods developed in different fields. Readers should have a Bachelor degree and at least one basic university course in statistics and probability. The main goal of the book is to provide basic knowledge on risk and security in a common language; the authors have taken particular care to ensure that each chapter can be understood by doctoral students and researchers across disciplines. Each chapter provides simple case studies and examples, open research questions and discussion points, and a selected bibliography inviting the reader to further studies
Subexpotentielle Verteilungen und Charakterisierungen verwandter Klassen by Claudia Klüppelberg ( Book )
4 editions published in 1987 in German and held by 25 WorldCat member libraries worldwide
Lévy matters I recent progress in theory and applications : foundations, trees and numerical issues in finance by Thomas Duquesne ( )
3 editions published in 2010 in English and held by 15 WorldCat member libraries worldwide
Annotation
Stochastic processes beyond semimartingales with application to interest rates, credit risk and volatility modeling by Holger Fink ( )
1 edition published in 2012 in English and held by 10 WorldCat member libraries worldwide
Large deviations results in the presence of heavy tails, with applications to insurance risk by Søren Asmussen ( Book )
5 editions published in 1995 in English and German and held by 7 WorldCat member libraries worldwide
Optimal portfolios with bounded value at risk by Claudia Klüppelberg ( Book )
1 edition published in 1998 in English and held by 6 WorldCat member libraries worldwide
Heavy tails and highly volatile phenomena ( Book )
1 edition published in 1997 in English and held by 4 WorldCat member libraries worldwide
Self-normalised and randomly centred spectral estimates by Claudia Klüppelberg ( Book )
2 editions published in 1995 in German and English and held by 4 WorldCat member libraries worldwide
Large deviations of heavy tailed random sums with applications in insurance and finance by Claudia Klüppelberg ( Book )
2 editions published in 1995 in German and English and held by 4 WorldCat member libraries worldwide
Subexponential distributions by Charles M Goldie ( Book )
1 edition published in 1996 in English and held by 4 WorldCat member libraries worldwide
Regular variation in the mean and stable limits for Poisson shot noise by Claudia Klüppelberg ( Book )
2 editions published in 2001 in English and held by 4 WorldCat member libraries worldwide
Limit laws for exponential families by August A Balkema ( Book )
1 edition published in 1995 in English and held by 2 WorldCat member libraries worldwide
Lévy matters by Thomas Duquesne ( Book )
in Undetermined and held by 2 WorldCat member libraries worldwide
Lévy Matters II Recent Progress in Theory and Applications - Functional Lévy Fields, and Scale Functions by Serge Cohen ( )
1 edition published in 2012 in English and held by 2 WorldCat member libraries worldwide
Annotation
A note on the tail accuracy of the univariate saddlepoint approximation by O. E Barndorff-Nielsen ( Book )
3 editions published in 1991 in English and held by 2 WorldCat member libraries worldwide
Some aspects of insurance mathematics by Paul Embrechts ( Book )
1 edition published in 1992 in English and held by 1 WorldCat member library worldwide
Empirical likelihood methods for an AR(1) process with ARCH(1) errors ( )
1 edition published in 2006 in English and held by 1 WorldCat member library worldwide
For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval for the parameter in the AR part is proposed. All of these results do not require more than a finite second moment of the innovations. This includes the case of t-innovations for any degree of freedom larger than 2, which serves as a prominent model for real data. -- ARCH model ; Empirical likelihood ; Stationary ; Weighted least squares
Dependence estimation and visualization in multivariate extremes with applications to financial data ( )
1 edition published in 2003 in English and held by 1 WorldCat member library worldwide
We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure and other devices measuring extreme dependence. We also apply our method to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data. -- Extreme dependence function ; nonparametric estimation ; financial data analysis
 
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Audience level: 0.70 (from 0.26 for Self-norma ... to 1.00 for Heavy tail ...)
Alternative Names
Klüppelberg, C.
Languages
English (84)
German (9)
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