Claudia Klüppelberg

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Claudia Klüppelberg (left) with the financial mathematician Christian Bluhm at a seminar in June 2010

Claudia Klüppelberg (* 1953 in Kirchheimbolanden ) is a German mathematician. Until her retirement in 2019, she headed the chair for mathematical statistics at the Technical University of Munich and has made a name for herself beyond her area of ​​expertise as a scientifically argued critic of risky stock trading. Long before the global financial crisis that began in 2007 , Claudia Klüppelberg warned against placing too much trust in outdated financial mathematical procedures in the banking world. In particular, she criticized the unbroken trust of bank executives in overly simplistic mathematical models for modeling price developments , such as B. the Black – Scholes model and the Gaussian copula model, as well as risk capital requirements in the international Basel / Solvency guidelines based on individual risk measures.

Life

Claudia Klüppelberg grew up in Kirchheimbolanden, passed her Abitur on her second educational path in Mannheim and then began studying mathematics with a minor in business administration . She did her doctorate in 1987 in Mannheim on the subject of "Subexponential distributions and characterizations of related classes" and in 1990 moved to the ETH Zurich .

Her habilitation in 1993 in Zurich bore the title, which set the course for her further career: "From Gaussian Tails to Heavy Tails: Asymptotic Methods in Applied Probability". It was about a core problem of stochastic models that are still widely used today; these, according to Klüppelberg, are based on the Gaussian distribution , most financial mathematicians in industry are no longer interested in the edges far to the left and right of the bell, the so-called tails (flanks). The very computationally intensive consideration of the flanks is necessary for the risk assessment . If the decision-makers in the banks had calculated the statistical processes within the flanks for their risky business and taken them seriously, they would not have slipped into the banking crisis.

In 1995 Claudia Klüppelberg moved to the University of Mainz and in 1997 to the Technical University of Munich, where she took over the management of the chair for mathematical statistics. In the same year she published her book Modeling Extremal Events for Insurance and Finance with Paul Embrechts and Thomas Mikosch , which is regarded as a standard work on extreme value theory. In a joint work published in 2004 with Ross Maller and Alexander Lindner, she introduced a generalization or adaptation of the GARCH time series model in continuous time, which is known as the COGARCH process. From 2008 to 2011 she was “Carl von Linde Senior Fellow” at the Institute for Advanced Study at the Technical University of Munich, where she headed the “Risk Analysis and Stochastic Modeling” group and initiated research on energy technology, such as the intelligent shutdown of Wind turbines in gusts of wind or the estimation of electricity price developments with stochastic methods. In her teaching activity she dealt with the teaching of mathematical fundamentals, time series analysis , econometric financial models, insurance and financial mathematics, risk management and extreme value theory . She has organized numerous conferences, as well as the workshop “Risks, crises, disasters: How can extreme events be managed?” In November 2010 at the Deutsches Museum , Munich. She was and is active as an editor in numerous specialist journals and specialist book series.

Claudia Klüppelberg lives in Munich.

In 2001 she was awarded the order Pro meritis scientiae et litterarum by the Bavarian State Ministry for Science, Research and Art .

Works

  • Embrechts, P., Klüppelberg, C., Mikosch, T. (1997, 2001, 2003, 2008): Modeling Extremal Events for Insurance and Finance . Springer, Berlin.
  • Barndorff-Nielsen, OE, Cox, D. , Klüppelberg, C. (Eds.) (2001): Complex Stochastic Systems . Chapman and Hall / CRC, Boca Raton.
  • Barndorff-Nielsen, OE, Bertoin, J., Jacod, J., Klüppelberg, C. (Eds.) (2010): Lévy Matters I. A Subseries on Lévy Processes . Springer LNM 2010.
  • Developments in Insurance Mathematics , in Björn Engquist, Wilfried Schmid Mathematics Unlimited - 2001 and Beyond , Springer Verlag 2001

Web links

Individual evidence

  1. ↑ Peter Hepperger, Pricing and Hedging under High-Dimensional Jump-Diffusion Models using Partial Differential Equations (Dissertation 2011)
  2. ↑ https://www.cvl-a.mcts.tum.de/wir-ueber-uns/archiv-oeffliche-vorlesungen/wintersemester-20102011/ (accessed on May 21, 2016)
personal data
SURNAME Klüppelberg, Claudia
BRIEF DESCRIPTION German mathematician
DATE OF BIRTH 1953
PLACE OF BIRTH Kirchheimbolanden