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CUTTING EDGE OPERATIONAL RISK Operational VAR: a closedform approximation - The authors investigate a simple loss distribution model for operational risk. They show that, when loss...
Böcker, Klaus; Klüppelberg, Claudia - In: Risk : managing risk in the world's financial markets 18 (2005) 12, pp. 90-94
Persistent link: https://www.econbiz.de/10007021006
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Yuri; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-228
Persistent link: https://www.econbiz.de/10008214886
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10008215024
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ARTICLES - Optimal Portfolios with Bounded Capital at Risk
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384
Persistent link: https://www.econbiz.de/10008216773
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Integrated insurance risk models with exponential Lévy investment
Klüppelberg, Claudia; Kostadinova, Radostina - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 560-577
Persistent link: https://www.econbiz.de/10007988420
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Indirect Inference for Lévy-Driven Continuous-Time GARCH Models
do Rego Sousa, Thiago - 2018
We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliary model. We follow previous approaches and use...
Persistent link: https://www.econbiz.de/10012928980
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Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012495775
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Risk in large claims insurance market with bipartite graph structure
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
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Ruin estimation in multivariate models with Clayton dependence structure
Bregman, Yuliya; Klüppelberg, Claudia - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 6, pp. 462
Persistent link: https://www.econbiz.de/10007258636
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Integrated insurance risk models with exponential Lévy investment
Klüppelberg, Claudia; Kostadinova, Radostina - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 560-578
Persistent link: https://www.econbiz.de/10008879714