Prof. Dr. Anja Janßen


Prof. Dr. Anja Janßen

Institut für Mathematische Stochastik (IMST)
Universitätsplatz 2, 39106, Magdeburg, G18-402
Research interests

I am interested in extreme value theory and dependence modelling. My main interest is the analysis of rare events in multivariate observations and time series. In my projects, I explore how model assumptions (like specific models for financial time series, in particular GARCH and SV-models) or general frameworks (like those of regular variation for vectors and time series) shape the structure of extreme events. More recently, I have worked at the interface of probability theory and statistics in the form of finding ways to improve extremal inference by incorporating this structure into estimation techniques.

I am Associate Editor for the journals Extremes and Stochastic Models.


Curriculum Vitae

  • 2020 - Professor (W2), Faculty of Mathematics, Otto-von-Guericke-Universität Magdeburg,
  • 2017- 2020 - Associate Professor, Department of Mathematics, KTH Royal Institute of Technology Stockholm,
  • 2015--2017 - Postdoctoral researcher, Department of Mathematics, University of Copenhagen, 
  • 2011--2015 - Postdoctoral researcher and visiting assistant professor, Department of Mathematics, University of Hamburg 
  • 2010 - Doctoral Degree, Mathematics, University of Göttingen,
  • 2006--2011 - Research Assistant, University of Göttingen,
  • 2006--2010 - Member of the Ph.D. Program "Applied Statistics and Empirical Methods", University of Göttingen,
  • 2006 - Diploma in Business Mathematics ("Wirtschaftsmathematik"), University of Hamburg

k-means clustering of extremes
A Janßen, P Wan
Electronic Journal of Statistics 14 (1), 1211-1233 (2020)

On a minimum distance procedure for threshold selection in tail analysis
H Drees, A Janßen, SI Resnick, T Wang
SIAM Journal on Mathematics of Data Science 2 (1), 75-102 (2020)

Spectral tail processes and max-stable approximations of multivariate regularly varying time series
A Janßen
Stochastic Processes and their Applications 129 (6), 1993-2009 (2019)

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
A Janßen, T Mikosch, M Rezapour, X Xie
Bernoulli 24 (2), 1351-1393 (2018)

Joint exceedances of random products
A Janßen, H Drees
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54, 437-465 (2018)

Conditional extreme value models: fallacies and pitfalls
H Drees, A Janßen
Extremes 20 (4), 777-805 (2017)

A stochastic volatility model with flexible extremal dependence structure
A Janssen, H Drees
Bernoulli 22 (3), 1448-1490 (2016)

Joint extremal behavior of hidden and observable time series with applications to GARCH processes
A Ehlert, UR Fiebig, A Janßen, M Schlather
Extremes 18 (1), 109-140 (2015)

Markov tail chains
A Janssen, J Segers
Journal of Applied Probability 51 (4), 1133-1153 (2014)

Limit laws for power sums and norms of iid samples
A Janßen
Probability theory and related fields 146 (3), 515-533 (2010)

On Some connections between light tails, regular variation and extremes
A Janßen
Niedersächsische Staats-und Universitätsbibliothek Göttingen (2010)


Sommersemester 2022

Oberseminar zur Stochastik LSF

Gremium FR_FMA Moses LSF

Wintersemester 2021/22

Statistical Methods LSF E-Learning

Statistical Methods (Turorial) LSF E-Learning

Wahrscheinlichkeitstheorie LSF E-Learning

Wahrscheinlichkeitstheorie (Übung) LSF E-Learning

Oberseminar IMST LSF

Gremium FR_FMA Moses LSF

Sommersemester 2021

Zeitreihenanalyse LSF E-Learning

Introduction to Probability and Statistics LSF E-Learning

Introduction to Probability and Statistics (Tutorial) LSF E-Learning

Proseminar Paradoxien in der Stochastik LSF

Oberseminar zur Stochastik LSF

Wintersemester 2020/21

Finanz- und Extremwertstatistik: LSF Elearning

Einführung in die Stochastik: LSF Elearning

Office hours

Nach Vereinbarung per Email - Please contact me via Email.

Letzte Änderung: 24.11.2020 - Ansprechpartner: Webmaster