10 citations · 19 across the 7 of their papers we have counts for
7 papers
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…
Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance
Miriam Hägele, Jaakko Lehtomaa
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance port…
Asymptotic independence and support detection techniques for heavy-tailed multivariate data
Jaakko Lehtomaa, Sidney Resnick
One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks a…
A note on limiting behaviour of constrained sums of two variables
Jaakko Lehtomaa
This note studies the asymptotic properties of the variable as . Here and are non-negative i.i.d. variables with a co…
On asymptotic scales of independently stopped random sums
Jaakko Lehtomaa
We study randomly stopped sums via their asymptotic scales. First, finiteness of moments is considered. To generalise this study, asymptotic scales applicable to the class of all h…
A comparison method for heavy-tailed random variables
Jaakko Lehtomaa
We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are…
Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
Jaakko Lehtomaa
We study the rough asymptotic behaviour of a general economic risk model in a discrete setting. Both financial and insurance risks are taken into account. Loss during the first …