Claudia Klüppelberg

Leibniz Supercomputing Centre — Germany

Economics, Econometrics and Finance · Social Sciences

45h-index10.3kcitations266works0.52yr avg
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Research Topics

Financial Risk and Volatility Modeling(144), Stochastic processes and financial applications(90), Probability and Risk Models(77), Insurance, Mortality, Demography, Risk Management(31), Complex Systems and Time Series Analysis(30)

Publications264 total

Copula methods for modeling pair densities in density functional theory
The Journal of Chemical Physics·2025
Causal analysis of extreme risk in a network of industry portfolios
arXiv (Cornell University)·2025Open Access
Copula methods for modeling pair densities in density functional theory
ArXiv.org·2025Open Access
Estimating a directed tree for extremes
Journal of the Royal Statistical Society Series B (Statistical Methodology)·2024· 2 citedOpen Access
Heavy-tailed max-linear structural equation models in networks with hidden nodes
arXiv (Cornell University)·2023Open Access
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Lecture notes in mathematics·2022· 2 cited
Tail probabilities of random linear functions of regularly varying random vectors
Extremes·2022· 1 citedOpen Access
Max-linear models in random environment
Journal of Multivariate Analysis·2022· 1 citedOpen Access
Conditional independence in max-linear Bayesian networks
The Annals of Applied Probability·2022· 6 citedOpen Access
Estimating an extreme Bayesian network via scalings
Infoscience (Ecole Polytechnique Fédérale de Lausanne)·2021· 18 citedOpen Access
Causal inference for extremes on river networks
2021Open Access
Estimating a Latent Tree for Extremes
arXiv (Cornell University)·2021· 2 citedOpen Access
Causal Discovery of a River Network from its Extremes.
arXiv (Cornell University)·2021· 3 citedOpen Access
Estimating a Directed Tree for Extremes
arXiv (Cornell University)·2021· 2 citedOpen Access
Indirect inference for time series using the empirical characteristic function and control variates
Journal of Time Series Analysis·2021· 1 citedOpen Access
Recursive max-linear models with propagating noise
Electronic Journal of Statistics·2021· 5 citedOpen Access
Estimating an extreme Bayesian network via scalings
Journal of Multivariate Analysis·2020· 2 citedOpen Access
Explicit results on conditional distributions of generalized exponential mixtures
Journal of Applied Probability·2020Open Access
Modelling extremal dependence for operational risk by a bipartite graph
Journal of Banking & Finance·2020Open Access
Ruin probabilities for risk processes in a bipartite network
Stochastic Models·2020· 6 citedOpen Access
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Frequent Co-authors

Thomas Mikosch(9), Alexander Lindner(4), Søren Asmussen(4), Klaus Böcker(3), Paul Embrechts(2), Ross Maller(2), Gernot Müller(2), Richard A. Davis(2), Christina Steinkohl(2), Gabriel Kuhn(2), Liang Peng(2), Vicky Fasen(2), Tamar Gadrich(1), Robert J. Adler(1), Susanne Emmer(1), Ralf Korn(1), Ulrich Stadtmüller(1), Karl Sigman(1), Milan Borkovec(1), Fred Espen Benth(1)