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2022
- Conditional Independence in Max-linear Bayesian Networks. Ann. Appl. Probab. 32 (1), 2022, 1-45 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Tail probabilities of random linear functions of regularly varying random vectors. Extremes - Statistical Theory and Applications in Science, Engineering and Economics 22, 2022 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series. In: Mathematics Going Forward - Collected Mathematical Brushstrokes. Springer, 2022 mehr…
- Max-linear models in random environment. Journal of Multivariate Analysis 190, 2022, 104999 mehr… Volltext ( DOI )
2021
- Recursive max-linear models with propagating noise. Electronic Journal of Statistics 15 (2), 2021, 4770-4822 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates. Journal of Time Series Analysis 42, 2021, 653–684 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Identifiability and estimation of recursive max-linear models. Scandinavian Journal of Statistics 48 (1), 2021, 188-211 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Estimating an Extreme Bayesian Network via Scalings. Journal of Multivariate Analysis 181, 2021, 104672 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2020
- Ruin probabilities for risk processes in a bipartite network. Stochastic Models 36 (4), 2020, 548-573 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Modelling extremal dependence for operational risk by a bipartite graph. Journal of Banking & Finance 117, 2020, 105855 mehr… Volltext ( DOI )
- Estimation of causal continuous‐time autoregressive moving average random fields. Scandinavian Journal of Statistics, 2020, 1-32 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Explicit results on conditional distributions of generalized exponential mixtures. Journal of Applied Probability 57 (3), 2020, 760-774 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Estimation of causal continuous‐time autoregressive moving average random fields. Scandinavian Journal of Statistics 48 (1), 2020, 132-163 mehr… Volltext ( DOI )
2019
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Extremes 22 (2), 2019, 223-269 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Semiparametric estimation for isotropic max-stable space-time processes. Bernoulli 25 (4A), 2019, 2508–2537 mehr… Volltext (mediaTUM)
- Partial mean field limits in heterogeneous networks. Stochastic Processes and their Applications 129 (12), 2019, 4998-5036 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Indirect inference for Lévy-driven continuous-time GARCH models. Scandinavian Journal of Statistics 46 (3), 2019, 765-801 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Finance and Stochastics 23 (4), 2019, 795-826 mehr… Volltext (mediaTUM)
- Bayesian Networks for Max-linear Models. In: Network Science - An Aerial View . Springer International Publishing (1st Ed. . Aufl.), 2019, 79-97 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Time series of functional data with application to yield curves. Applied Stochastic Models in Business and Industry 35 (4), 2019, 1028-1043 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2018
- Limit theory for the empirical extremogram of random fields. Stochastic Processes and their Applications 128 (6), 2018, 2060-2082 mehr… Volltext (mediaTUM)
- Contagion in financial systems: A Bayesian network approach. SIAM Journal on Financial Mathematics 9 (1), 2018, 28-53 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Archive for Rational Mechanics and Analysis 228 (3), 2018, 891–922 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Max-linear models on directed acyclic graphs. Bernoulli 24 (4A), 2018, 2693–2720 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Tail dependence of recursive max-linear models with regularly varying noise variables. Econometrics and Statistics 6, 2018, 149-167 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Fractionally integrated COGARCH processes. Journal of Financial Econometrics 16 (4), 2018, 599–628 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Conditional risk measures in a bipartite market structure. Scandinavian Actuarial Journal 2018 (4), 2018, 328-355 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2017
- Combination of multi-mission altimetry data along the Mekong river with spatio temporal kriging. Journal of Geodesy 91 (5), 2017, 519–534 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Big data: progress in automating extreme risk analysis. In: Berechenbarkeit der Welt?. Springer VS, 2017, 171-189 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Testing for non-correlation between price and volatility jumps. Journal of Econometrics 197 (2), 2017, 284-297 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- An Innovations Algorithm for the prediction of functional linear processes. Journal of Multivariate Analysis 155, 2017, 252–271 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Prediction of functional ARMA processes with an application to traffic data. Econometrics and Statistics 1, 2017, 128–149 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2016
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Extremes 19 (4), 2016, 627-660 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Simulation of stochastic Volterra equations driven by space-time Lévy noise. In: The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Springer, 2016, 209-229 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Passage time and fluctuation calculations for subexponential Lévy processes. Bernoulli 22 (3), 2016, 1491-1519 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Bounds for randomly shared risk of heavy-tailed loss factors. Extremes 19 (4), 2016, 719–733 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Risk in a large claims insurance market with bipartite graph structure. Operations Research 64 (5), 2016, 1159-1176 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Time-consistency of risk measures with GARCH volatilities and their estimation. Statistics & Risk Modeling 32 (2), 2016, 103-124 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2015
- Superposition of COGARCH processes. Stochastic Processes and their Applications 125 (4), 2015, 1426-1469 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Integrability conditions for space-time stochastic integrals: Theory and applications. Bernoulli 21 (4), 2015, 2190-2216 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Copula structure analysis based on extreme dependence. Statistics and Its Interface 8 (1), 2015, 93-107 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Systemic risk through contagion in a core-periphery structured banking network. In: A. Palczewski and L. Stettner: Advances in Mathematics of Finance. Banach Center Publications, 2015 mehr… Volltext (mediaTUM)
- Generalized fractional Lévy processes with fractional Brownian motion limit and applications to stochastic volatility models. Advances in Applied Probability 47 (4), 2015, 1108-1131 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik. Springer (5. Aufl.), 2015 mehr…
2014
- Asymmetric COGARCH processes. Journal of Applied Probability 51A, 2014, 161-173 mehr… Volltext (mediaTUM)
- Futures pricing in electricity markets based on stable CARMA spot models. Energy Economics 44, 2014, 392-406 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Quantifying extreme risks. In: Risk - A Multidisciplinary Introduction . Springer, 2014, 151-181 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Large insurance losses distributions. In: Encyclopedia of Quantitative Risk Assessment. Wiley, 2014 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Spatial risk measures: local specification and boundary risk. In: Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons. Springer International Publishing, 2014, 307-326 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Dealing with dependent risks. In: Risk - A Multidisciplinary Introduction. Springer, 2014, 241-277 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2013
- A fractional credit model with long range dependent hazard rate. Stochastic Processes and their Applications 123 (4), 2013, 1319-1347 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- High-frequency sampling and kernel estimation for continuous-time moving average processes. Journal of Time Series Analysis 34 (3), 2013, 385-404 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Density functional theory and and optimal transportation with Coulomb cost. Communications on Pure and Applied Mathematics 66 (4), 2013, 548-599 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Statistical inference for max-stable processes in space and time. Journal of the Royal Statistical Society, Series B 75 (5), 2013, 791-819 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Max-stable processes for modelling extremes observed in space and time. Journal of the Korean Statistical Society 42 (3), 2013, 399-414 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Two-step estimation of a multi-variate Lévy process. Journal of Time Series Analysis 34 (6), 2013, 668-690 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Conditional characteristic functions of processes related to fractional Brownian motion. Journal of Applied Probability 50 (1), 2013, 166-183 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- N-density representability and the optimal transport limit of the Hohenberg-Kohn functional. The Journal of Chemical Physics 139 (164109), 2013, 12 pages mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Outcrossings of safe regions by generalized hyperbolic processes. Statistics & Probability Letters 83 (10), 2013, 2197 - 2204 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Extreme value analysis of multivariate high frequency wind speed data. Journal of Statistical Theory and Practice 7 (1), 2013, 73-94 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2012
- High-frequency sampling of a continuous-time ARMA processes. J. Time Series Analysis (33 (1)), 2012, 152-160 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Pareto Lévy measures and multivariate regular variation. Advances in Applied Probability 44 (1), 2012, 117-138 mehr… Volltext (mediaTUM)
- Functional relationships between price and volatility jumps and its consequences for discretely observed data. Journal of Applied Probability 49 (4), 2012, 901-914 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Equities, credits and volatilities: a multivariate analysis of the european market during the sub-prime crisis. International Review of Financial Analysis 24, 2012, 57–65 mehr… Volltext (mediaTUM)
2011
- On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Journal of Applied Probability 48A, 2011, 15-28 mehr… Volltext (mediaTUM)
- Credit contagion in a long range dependent macroeconomic factor model. In: Di Nunno, Julia, Øksendal, Bernt: Advanced Mathematical Methods in Finance. Springer, 2011, 105-132 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- First order approximations to operational risk - dependence and consequences. In: Greg N. Gregoriou: Operational Risk Toward Basel III, Best Practices and Issues in Modeling, Management and Regulation. . Wiley, 2011, 219-245 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Corrigendum to Baltrunas, Daley and Klüppelberg: Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Stochastic Processes and their Applications 121 (9), 2011, 2186–2187 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Parametric estimation of a bivariate stable Lévy process. Journal of Multivariate Analysis 102 (5), 2011, 918–930 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Modellieren und Quantifizieren von extremen Risiken. In: Wendland, Katrin, Werner, Annette: Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung.. Teubner Verlag, 2011, 67-88 mehr… Volltext (mediaTUM)
- Fractional Lévy driven Ornstein-Uhlenbeck processes and stochastic differential equations. Bernoulli 17 (1), 2011, 484-506 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Estimation of stable CARMA models with an application to electricity spot prices. Statistical Modelling 11 (5), 2011, 447-470 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society 40 (2), 2011, 125-139 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- The COGARCH: a review, with news on option pricing and statistical inference. In: Surveys in Stochastic Processes. Proc. of the 33rd SPA Conference in Berlin. EMS Series of Congress Reports, EMS Publishing House, 2011, 29-58 mehr… Volltext (mediaTUM)
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Journal of Nonparametric Statistics 23 (4), 2011, 967-989 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2010
- Heavy tails in insurance. In: Encyclopedia of Quantitative Finance. Wiley, 2010, 873-875 mehr… Volltext (mediaTUM)
- Modelling, estimation and visualization of multivariate dependence for high-frequency data. In: Statistical Modelling and Regression Structures . Springer, 2010, 267-300 mehr… Volltext (mediaTUM)
- Multivariate models for operational risk. Quantitative Finance 10 (8), 2010, 855–869 mehr… Volltext (mediaTUM)
- Maximize the sharpe ratio and minimize a VaR. Journal of Wealth Management 13 (1), 2010, 91-102 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Parameter estimation of a bivariate compound Poisson process. Insurance: Mathematics and Economics 47 (2), 2010, 224-233 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- High-level dependence in time series models. Extremes 13 (1), 2010, 1-33 mehr… Volltext (mediaTUM)
- Stochastic volatility models: extremal behavior. In: Cont, R.: Encyclopedia of Quantitative Finance. Wiley, 2010, 1741-1748 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Electricity spot price modelling with a view towards extreme spike risk. Quantitative Finance 10 (9), 2010, 963-974 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2009
- Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten. In: Schäfer, K.: Risikomanagement und kapitalmarktorientierte Finanzierung.. Fritz Knapp Verlag, 2009, 403-420 mehr… Volltext (mediaTUM)
- The first passage event for sums of dependent Lévy processes with applications to insurance risk. Ann. Appl. Probab. 19 (6), 2009, 2047-2079 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. In: Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling. Walter de Gruyter, 2009, 245-273 mehr… Volltext (mediaTUM)
- Copula structure analysis. J. Royal Stat. Soc., Series B 71 (3), 2009, 737 - 753. mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Optimal consumption and investment with bounded downside risk for power utility functions. In: Delbaen, F., Rásonyi, M. and Stricker, C.: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, 2009, 133-169 mehr… Volltext (mediaTUM)
- Analysis of stock market volatility by continuous-time GARCH models. In: Gregoriou, G.N.: Stock Market Volatility. Chapman Hall/Taylor and Francis, 2009, 31-50 mehr… Volltext (mediaTUM)
2008
- Estimating high quantiles for electricity prices by stable linear models. Journal of Energy Markets 1 (1), 2008, 3-19 mehr… Volltext (mediaTUM)
- Extreme value theory in finance. In: Everitt, B. and Melnick, E.: Encyclopedia of Quantitative Risk Analysis and Assessment.. Wiley, Chichester, 2008 mehr… Volltext (mediaTUM)
- On the distribution tail of an integrated risk model: a numerical approach. Insurance: Math. and Econ. 42 (1), 2008, 101-106 mehr… Volltext (mediaTUM)
- Modelling and measuring multivariate operational risk with Lévy copulas. J. Operational Risk 3 (2), 2008, 3-27 mehr… Volltext (mediaTUM)
- Economic capital modelling and Basel II compliance in the banking industry. In: Jäger, W. and Krebs, H.-J.: Mathematics . Springer, 2008, 295-317 mehr… Volltext (mediaTUM)
- Optimal investment and consumption in a Black-Scholes market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process. Annals of Applied Probabability 18 (3), 2008, 879-908 mehr… Volltext (mediaTUM)
- Integrated insurance risk models with exponential Lévy investment. Insurance: Math & Economics 42 (2), 2008, 560-577 mehr… Volltext (mediaTUM)
- Semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case. Scand. J. Stat. 35 (4), 2008, 701-718 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- The Pareto Copula, aggregation of risks and the Emperor's socks. Journal of Applied Probability 45 (1), 2008, 67-84 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2007
- Extremal behavior of models with multivariate random recurrence representation. Stoch. Proc. Appl 117 (4), 2007, 432-456 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Multivariate operational risk: dependence modelling with Lévy copulas. 2007 ERM Symposium , Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries. , 2007 mehr… Volltext (mediaTUM)
- Extremes of supOU processes. In: Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications. Springer, 2007, 340-359 mehr… Volltext (mediaTUM)
- Method of moment estimation in the COGARCH(1,1) model. The Econometrics Journal 10 (2), 2007, 320-341 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 2007, 229–251 mehr… Volltext (mediaTUM)
2006
- Fractional integral equations and state space transforms. Bernoulli 12 (3), 2006, 431-456 mehr… Volltext (mediaTUM)
- Extremal behavior of stochastic volatility models. In: Stochastic Finance. Springer, 2006, 107-155 mehr… Volltext (mediaTUM)
- On extreme ruinous behaviour of Lévy Insurance risk processes. J. Appl. Probab. 43 (2), 2006, 594-598 mehr… Volltext (mediaTUM)
- Bivariate extreme value distributions based on polynomial dependence functions. Mathematical Methods in the Applied Sciences 29 (12), 2006, 1467–1480 mehr… Volltext ( DOI )
- Introduction to the copula discussion: some background. Extremes 7 (1), 2006, 1-2 mehr…
- Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. In: Kabanov, Yu., Liptser, R., Stoyanov, J.: The Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance. Springer, 2006, 393-419 mehr… Volltext (mediaTUM)
2005
- Ruin estimation in multivariate models with Clayton dependence structure. Scand. Act. J. 2005 (6), 2005, 462-480 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Maxima of stochastic processes driven by fractional Brownian motion. Adv. Appl. Probab. 37 (3), 2005, 743-764 mehr… Volltext (mediaTUM)
- Operational VaR: a closed-form approximation. Risk, 2005, 90-93 mehr… Volltext (mediaTUM)
- Extreme value theory for moving avarage processes with light-tailed innovations. Bernoulli 11 (3), 2005, 381-410 mehr… Volltext (mediaTUM)
2004
- Tail behaviour of the busy period of GI/G/1 queue with subexponential service times. Stoch. Proc. Appl. 111 (2), 2004, 237-258 mehr… Volltext (mediaTUM)
- Subexponential distributions - large deviations with applications to insurance and queueing models. Austr.N.Z.J.Stat 46 (1), 2004, 141-150 mehr… Volltext (mediaTUM)
- Optimal portfolios when stock prices follow an exponential Lévy process. Finance & Stochastics 8 (1), 2004, 17-44 mehr… Volltext (mediaTUM)
- Modelling, estimation and visualization of multivariate dependence for risk management. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… Volltext (mediaTUM)
- Dependence estimation and visualization in multivariate extremes with applications to financial data. Extremes 7 (2), 2004, 99-121. mehr… Volltext (mediaTUM)
- Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. J. Multiv. Anal. 88 (2), 2004, 252-273 mehr… Volltext (mediaTUM)
- A geometric approach to portfolio optimization in models with transaction costs. Finance & Stochastics 8 (2), 2004, 207-227 mehr… Volltext (mediaTUM)
- Risk management with extreme value theory. In: Finkenstädt, B. and Rootzén, H.: Extreme Values in Finance, Telecommunication and the Environment.. Chapman and Hall/CRC, Boca Raton, 2004, 101-168 mehr… Volltext (mediaTUM)
- Subexponential distributions. In: Sundt, B. and Teugels, J.: Encyclopedia of Actuarial Science. Wiley, Chichester, 2004, 1626-1633 mehr… Volltext (mediaTUM)
- Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14 (4), 2004, 1766-1801 mehr… Volltext (mediaTUM)
- Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. Stoch. Proc. Appl. 113 (2), 2004, 333-351 mehr… Volltext (mediaTUM)
- A continuous time GARCH process driven by a Lévy process: stationarity and second order behaviour. J. Appl. Prob. 41 (3), 2004, 601-622 mehr… Volltext (mediaTUM)
- The tail of the stationary distribution of a random coefficient AR(q) model. Ann. Appl. Probab. 14 (2), 2004, 971-1005 mehr… Volltext (mediaTUM)
2003
- Domains of attraction for exponential families. Stoch. Proc. Appl. 107 (1), 2003, 83-103 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Regular variation in the mean and stable limits for Poisson shot noise. Bernoulli 9 (3), 2003, 467-496 mehr… Volltext (mediaTUM)
- Renewal theory for functionals of a Markov chain with compact state space. Ann. Probab. 31 (4), 2003, 2270-2300 mehr… Volltext (mediaTUM)
- Allocation of risk capital to insurance portfolios. Blätter der DGVFM 26 (2), 2003, 389-406 mehr… Volltext (mediaTUM)
2002
- A local limit theorem for random walk maxima with heavy tails. Statistics & Probability Letters 56 (4), 2002, 399-404 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Testing for reduction to random walk in autoregressive conditional heteroscedasticity models. The Econometrics Journal 5 (2), 2002, 387-416 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2001
- Stability for multivariate exponential families. J. Math. Sci. 106 (2), 2001, 2777-2791 mehr… Volltext (mediaTUM)
- Complex stochastic systems. Chapman and Hall / CRC, Boca Raton, 2001 mehr…
- The tail of the stationary distribution of an autoregressive process with ARCH(1) errors. Ann. Applied Probab 11 (4), 2001, 1220-1241 mehr… Volltext (mediaTUM)
- Optimal portfolios with bounded Capital-at-Risk. Mathematical Finance 11 (4), 2001, 365-384 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Fluid queue models for observed long range dependence in telecommunication data. In: Greiner, M.,Jobmann, M.: Stochastic Modeling of High-Speed Networks: Workshop Proceedings. CS Press, 2001 mehr… Volltext (mediaTUM)
- Developments in insurance mathematics. In: Engquist, B., Schmid, W.: Mathematics Unlimited - 2001 and Beyond. Springer, 2001, 703-722 mehr… Volltext (mediaTUM)
2000
- Extremwerttheorie für Finanzzeitreihen - ein unverzichtbares Werkzeug im Risikomanagement219-241. In: Handbuch Risikomanagement. Uhlenbruch , 2000, 219-241 mehr… Volltext (mediaTUM)
1999
- Limit laws for exponential families. Bernoulli 5 (6), 1999, 951-968 mehr… Volltext (mediaTUM)
- Tail exactness of multivariate saddlepoint approximations. Scandinavian Journal of Statistics 26 (2), 1999 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Telecommunication traffic, queueing models and subexponential distributions. Queueing Systems 33 (1-3), 1999 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Optimale Portfolios mit beschränktem Value-at-Risk. Solutions 3 (2), 1999, 23-32 mehr… Volltext (mediaTUM)
- A single number can't hedge against economic catastrophes. AMBIO: A Journal of the Human Environment 28 (6), 1999 mehr… Volltext (mediaTUM)
1998
- Sampling at subexponential times, with queueing applications. Stochastic Processes and their Applications 79 (2), 1998, 265-286 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Extremal behaviour of diffusion models in finance. Extremes 1 (1), 1998, 47-80 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- VaR - ein Maß für das extreme Risiko. Solutions 2, 1998, 53-63 mehr… Volltext (mediaTUM)
- Subexponential distributions. In: A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy Tailed Distributions. Birkhäuser, 1998, 435-459 mehr… Volltext (mediaTUM)
- Risikomanagement in der Finanzmathematik. DMV-Mitteilungen 6 (3), 1998, 62-67 mehr…
- Ruin probabilities in the presence of heavy tails and interest rates. Scandinavian Actuarial Journal 1998 (1), 1998, 49-58 mehr… Volltext ( DOI ) Volltext (mediaTUM)
1997
1996
- Large deviations results in the presence of heavy tails, with applications to insurance risk. Stochastic Processes and their Applications 64 (1), 1996, 103-125 mehr… Volltext ( DOI )
- Self-normalised and randomly centred spectral estimates. In: Proceedings of the Athens International Conference on Applied Probability and Time Series. Springer, 1996, 259-271 mehr…
- Gaussian limit fields for the integrated periodogram. Annals of Applied Probability 6 (3), 1996, 969-991 mehr… Volltext ( DOI )
- Parameter estimation for a misspecified ARMA model with infinite variance innovations. Journal of Mathematical Sciences 78 (1), 1996, 60-65 mehr… Volltext ( DOI )
- The integrated periodogram for stable processes. Annals of Statistics 24 (5), 1996, 1855-1879 mehr… Volltext ( DOI )
1995
- Tauberian results for densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1995, 383-400 mehr… Volltext ( DOI )
- Explosive Poisson shot noise processes with applications to risk reserves. Bernoulli 1 (1-2), 1995, 125-147 mehr…
- Delay in claim settlement and ruin probability approximations. Scandinavian Actuarial Journal 1995 (2), 1995, 154-168 mehr… Volltext ( DOI )
- On strong consistency of estimators for infinite variance time series. Theory of Probability and Mathematical Statístics 53, 1995, 127-136 mehr… Volltext (mediaTUM)
- Parameter estimation for ARMA models with infinite variance innovations. Annals of Statistics 23 (1), 1995, 305-326 mehr… Volltext ( DOI )
1994
- Large claims approximations for risk processes in a Markovian environment. Stoch. Proc. Appl. 54 (1), 1994, 29-43 mehr… Volltext ( DOI )
- Katastrophen - Modellierung und Vorhersage. Antrittsvorlesung, 1. Dezember 1993, ETH-Zürich. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker (1), 1994, 29-49 mehr…
- Some limit theory for the self-normalised periodogram of stable processes. Scand. J. Stat. 21 (4), 1994, 485-491 mehr…
1993
- Densities with Gaussian tails. Journal of the London Mathematical Society 51 (3), 1993, 568-588 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Approximation methods for the total claimsize distribution - an algorithmic and graphical presentation. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker 2, 1993, 187-227 mehr…
- Some aspects of insurance mathematics. Theory of Probability and its Applications 38 (2), 1993, 262-295 mehr… Volltext (mediaTUM)
- Asymptotic ordering of risks and ruin probabilities. Insurance: Mathematics and Economics 12 (3), 1993, 259-264 mehr… Volltext ( DOI )
- Spectral estimates and stable processes. Stochastic Processes and their Applications 47 (2), 1993, 323-344 mehr… Volltext ( DOI )
- Estimation of distribution tails - a semiparametric approach. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 21 (2), 1993, 213-235 mehr…
1992
- A note on the tail accuracy of the univariate saddlepoint approximation. Annales de Toulouse Série 6 1 (1), 1992, 5-14 mehr… Volltext ( DOI )
1991
- Statistical estimation of large claims distributions. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1991, 203-216 mehr… Volltext ( DOI )
- The full solution of the convolution closure problem for convolution- equivalent distributions. J. Math. Anal. Appl. 160 (1), 1991, 79-92 mehr… Volltext ( DOI )
1990
- Asymptotic ordering of distribution functions and convolution semigroups. Semigroup Forum 40 (1), 1990, 77-92 mehr… Volltext ( DOI )
- Asymptotic ruin probabilities and hazard rates. Math. Oper. Res. 60, 1990, 567-576 mehr…
1989
- Subexponential distributions and characterizations of related classes. Probability Theory and Related Fields 82 (2), 1989, 259-269 mehr… Volltext ( DOI )
- Estimation of ruin probabilities by means of hazard rates. Insurance: Mathematics and Economics 8 (4), 1989, 279-285 mehr… Volltext ( DOI )
1988
- Subexponential distributions and integrated tails. Journal of Applied Probability 25 (1), 1988, 132-141 mehr…