most citedPrecise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions

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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…