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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…
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…