2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.ST2021
On the identification of the riskiest directional components from multivariate heavy-tailed data
Miriam Hägele, Jaakko Lehtomaa
In univariate data, there exist standard procedures for identifying dominating features that produce the largest observations. However, in the multivariate setting, the situation i…
math.PR2020★ 2 cited
Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
Miriam Hägele
This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the incr…