KTH Mathematics  


Publications and preprints

  • 2014. Lindskog, F, Resnick, S.I., Roy, J:
    Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
    Probability Surveys: 11, 270-314. PDF
  • 2013. Hult, H, Lindskog, F, Nykvist, J:
    A simple time-consistent model for the forward density process
    The International Journal of Applied and Theoretical Finance: 16(8) PDF
  • 2013. Alm, J, Lindskog, F:
    Foreign-currency interest-rate swaps in asset-liability management for insurers. European Actuarial Journal: 3(1), 133-158. PDF
  • 2012. Hult, H, Lindskog, F, Hammarlid, O, Rehn, C J:
    Risk and Portfolio Analysis: Principles and Methods (Book)
    Springer Series in Operations Research and Financial Engineering
  • 2012. Perninge, M, Lindskog, F, Söder, L:
    Importance sampling of injected powers for electric power system security analysis
    IEEE Transactions on Power Systems 27(1), 3-11.
  • 2011. Hult, H, Lindskog, F:
    Ruin probabilities under general investments and heavy-tailed claims
    Finance and Stochastics 15(2), 243-265.
  • 2009. Boman, J, Lindskog, F:
    Support theorems for the Radon transform and Cramér-Wold theorems
    The Journal of Theoretical Probability 22(3), 683-710.
    arXiv:0802.4373v1 [math.GM]
  • 2007. Hult, H, Lindskog, F.:
    Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
    The Annals of Probability 35(1), 309-339.
    arXiv:math/0703802v1 [math.PR]
  • 2006. Hult, H, Lindskog, F.:
    Regular variation for measures on metric spaces
    Publications de l'Institut Mathématique, Nouvelle Série 80, 121-140.
  • 2006. Hult, H, Lindskog, F.:
    Heavy-tailed insurance portfolios: buffer capital and ruin probabilities PDF
    Technical Report No. 1441, School of ORIE, Cornell University, 2006.
  • 2006. Hult, H, Lindskog, F.:
    On regular variation for infinitely divisible random vectors and additive processes
    Advances in Applied Probability 38(1), 134-148.
  • 2006. Hult, H, Lindskog, F.:
    On Kesten's counterexample to the Cramér-Wold device for regular variation
    Bernoulli 12(1), 133-142.
  • 2005. Hult, H, Lindskog, F, Mikosch, T, Samorodnitsky, G.:
    Functional large deviations for multivariate regularly varying random walks
    The Annals of Applied Probability 15(4), 2651-2680.
    arXiv:math/0602460v1 [math.PR]
  • 2005. Hult, H, Lindskog, F.:
    Extremal behavior of regularly varying stochastic processes
    Stochastic Processes and their Applications 115(2), 249-274.
  • 2004. Lindskog, F.:
    Multivariate extremes and regular variation for stochastic processes
    Doctoral thesis. Supervisor: Paul Embrechts. Diss. ETH no. 15319 PDF
    Department of Mathematics, Swiss Federal Institute of Technology, Zürich, 2004.
  • 2003. Daul, S, De Giorgi, E, Lindskog, F, McNeil, A.:
    Using the grouped t-copula
    RISK Magazine 16(11), 73-76.
  • 2003. Lindskog, F, McNeil, A.:
    Common Poisson shock models: applications to insurance and credit risk modelling
    ASTIN Bulletin 33(2), 209-238.
  • 2003. Lindskog, F, McNeil, A, Schmock, U.:
    Kendall's tau for elliptical distributions
    In: Credit Risk. Measurement, Evaluation and Management Eds: G. Bol, G. Nakhaeizadeh, S. Rachev, T. Ridder, K.-H. Vollmer, Physica-Verlag, A Springer-Verlag Company, Heidelberg, 149-156.
    Preprint PDF
  • 2003. Embrechts, P, Lindskog, F, McNeil, A.:
    Modelling dependence with copulas and applications to Risk Management
    In: Handbook of Heavy Tailed Distributions in Finance Ed: S. Rachev, Elsevier, Chapter 8, 329-384.
  • 2002. Hult, H, Lindskog, F.:
    Multivariate extremes, aggregation and dependence in elliptical distributions
    Advances in Applied Probability 34(3), 587-608.

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Published by: Filip Lindskog
Updated: July, 2012