5 papers
Estimating an Extreme Bayesian Network via Scalings
Claudia Klüppelberg, Mario Krali
Recursive max-linear vectors model causal dependence between its components by expressing each node variable as a max-linear function of its parental nodes in a directed acyclic gr…
Tail probabilities of random linear functions of regularly varying random vectors
Bikramjit Das, Vicky Fasen-Hartmann, Claudia Klüppelberg
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete charac…
Identifiability and estimation of recursive max-linear models
Nadine Gissibl, Claudia Klüppelberg, Steffen Lauritzen
We address the identifiablity and estimation of recursive max-linear structural equation models represented by an edge weighted directed acyclic graph (DAG). Such models are genera…
Ruin probabilities for risk processes in a bipartite network
Anita Behme, Claudia Klüppelberg, Gesine Reinert
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk proces…
On the Ruin Probability of the Generalised Ornstein-Uhlenbeck Process in the Cramér Case
Damien Bankowski, Claudia Klüppelberg, Ross Maller
For a bivariate \Levy process and initial value define the Generalised Ornstein-Uhlenbeck (GOU) process \[ V_t:=e^{ξ_t}\Big(V_0+\int_0^t e^{-ξ_{s-}}\ud η…