Anders Rønn-Nielsen

activity

20162023

most citedExtremal clustering and cluster counting for spatial random fields

1 citations · 1 across the 4 of their papers we have counts for

collaborators

4 papers

math.PR2023

Extremes of regularly varying stochastic volatility fields

Mads Stehr, Anders Rønn-Nielsen

We consider a stationary stochastic volatility field $Y_{v} Z_{v}$ with $v \in Z^{d}$ , where $Z$ is regularly varying and $Y$ has lighter tails and is independent of $Z$ . We make -…

math.PR2022★ 1 cited

Extremal clustering and cluster counting for spatial random fields

Anders Rønn-Nielsen, Mads Stehr

We consider a stationary random field indexed by an increasing sequence of subsets of $Z^{d}$ obeying a very broad geometrical assumption on how the sequence expands. Under…

math.PR2022

Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure

Anders Rønn-Nielsen, Mads Stehr

We consider an infinitely divisible random field indexed by $R^{d}$ , $d \in N$ , given as an integral of a kernel function with respect to a Lévy basis with a Lévy mea…

math.PR2016

Asymptotics for the ruin time of a piecewise exponential Markov process with jumps

Anders Rønn-Nielsen

In this paper a class of Ornstein--Uhlenbeck processes driven by compound Poisson processes is considered. The jumps arrive with exponential waiting times and are allowed to be two…