10 citations · 10 across the 2 of their papers we have counts for
3 papers
math.PR2021
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…
math.ST2019★ 10 cited
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…
math.PR2015
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…