Jaakko Lehtomaa

activity

20152021

most citedAsymptotic independence and support detection techniques for heavy-tailed multivariate data

10 citations · 10 across the 2 of their papers we have counts for

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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.PR2015

A note on limiting behaviour of constrained sums of two variables

Jaakko Lehtomaa

This note studies the asymptotic properties of the variable $Z_{d} := \frac{X _{1}}{d} ∣ {X_{1} + X_{2} = d},$ as $d \to \infty$ . Here $X_{1}$ and $X_{2}$ are non-negative i.i.d. variables with a co…