activity
20132021
most citedAsymptotic independence and support detection techniques for heavy-tailed multivariate data

10 citations · 19 across the 7 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.PR2013★ 2 cited

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…

math.PR2013★ 4 cited

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 …