10 citations · 19 across the 7 of their papers we have counts for
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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.PR2021★ 3 cited
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…