Claudia Klüppelberg holds the Chair of Mathematical Statistics at the Center for Mathematical Sciences of Technische Universität München. After her diploma in mathematics in 1983 and her Ph.D. at University of Mannheim in 1987 Klüppelberg spent five years, 1990-1995, as a Postdoc in the Insurance Mathematics group of the Department of Mathematics at ETH Zurich. In 1993 she habilitated at ETH Zurich. From 1995 to 1997 Klüppelberg was working as Associated Professor of Applied Statistics at the Mathematics Department of University of Mainz. In Spring 1997 she accepted an offer of Technische Universität München. Klüppelberg is a Fellow of the Institute of Mathematical Statistics, a member of the Editorial Board of the Springer Finance book series, and an associate editor of several scientific journals (e.g. Statistics Survey). She also belongs to various national and international research and academic advisory committees.
Selected Awards
2007, New Frontiers in Risk Management Award
2001, Federal Republic of Germany Cross of Merit with ribbon, Bavarian State Ministry of Sciences, Research and the Arts, Munich
2001, Pro meritis scientiae et litterarum, Bavarian State Ministry of Sciences, Research and the Arts, Munich
Research Interests
Claudia Klüppelberg’s research interests combine various areas of applied probability and statistics with special application to finance and insurance risk processes. She is interested in promoting the stochastic sciences on an academic level, but also in real life problems in the finance and insurance areas and collaborates with banks and insurance companies.
Selected Publications
Klüppelberg, Claudia; Pergamenchtchikov, Serguei: Extremal behaviour of models with multivariate random recurrence representation. Stochastic Processes and their Applications 117 (4), 2007, 432-456.
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.: Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14 (4), 2004, 1766-1801.
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross: A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour. Journal of Applied Probability 41 (03), 2004, 601-622.
Klüppelberg, Claudia; Pergamenchtchikov, Serguei: The tail of the stationary distribution of a random coefficient AR (q) model. Ann. Appl. Probab. 14 (2), 2004, 971-1005.
Klüppenberg, C.; Pergamenchtchikov, S.: Renewal theory for functionals of a Markov chain with compact state space. Annals of Probabillity 31, 2003, 2270-2300.
Barndorff-Nielsen, O.E.; Cox, D.R.; Klüppelberg, C.: Complex Stochastic Systems. Monographs on Statistics and Applied Probability. Chapman and Hall/CRC, 2001.
Fink, Holger; Klüppelberg, Claudia: Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations. Bernoulli 17 (1), 2011, 484-506 more…BibTeX
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Ueltzhöfer, Florian A.J.; Klüppelberg, Claudia: An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Journal of Nonparametric Statistics 23 (4), 2011, 967-989 more…BibTeX
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2008
Delong, Łukasz; Klüppelberg, Claudia: Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients. Ann. Appl. Probab. 18 (3), 2008, 879-908 more…BibTeX
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