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Klüppelberg, Claudia
9
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Kohärente Risikobewertung mittels Expertenschätzung : Bewertung operationeller Risiken
Baumgart, André
;
Falk, Thomas
;
Kuhn, Gabriel
- In:
Risiko-Manager
(
2009
)
1
,
pp. 1,8-13
Persistent link: https://www.econbiz.de/10009911931
Saved in:
2
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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3
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
Saved in:
4
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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5
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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6
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 data is heavytailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they also obtain ...
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
Saved in:
7
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
Saved in:
8
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
Schreiber, Irene
;
Müller, Gernot
;
Klüppelberg, Claudia
; …
- In:
International review of financial analysis
24
(
2012
),
pp. 57-65
Persistent link: https://www.econbiz.de/10010046481
Saved in:
9
Parameter estimation of a bivariate compound Poisson process
Esmaeili, Habib
;
Klüppelberg, Claudia
- In:
Insurance / Mathematics & economics
47
(
2010
)
2
,
pp. 224-234
Persistent link: https://www.econbiz.de/10008447796
Saved in:
10
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
Saved in:
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