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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