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Henrik Hult
Henrik Hult
KTH, Department of Mathematics
Verified email at kth.se
Title
Cited by
Cited by
Year
Multivariate extremes, aggregation and dependence in elliptical distributions
H Hult, F Lindskog
Advances in Applied probability 34 (3), 587-608, 2002
3182002
A note on Wick products and the fractional Black-Scholes model
T Björk, H Hult
Finance and Stochastics 9 (2), 197-209, 2005
2442005
Regular variation for measures on metric spaces
H Hult, F Lindskog
Publications de l'Institut Mathématique 80 (94), 121-140, 2006
1762006
Risk and portfolio analysis: Principles and methods
H Hult, F Lindskog, O Hammarlid, CJ Rehn
Springer Science & Business Media, 2012
1602012
Extremal behavior of regularly varying stochastic processes
H Hult, F Lindskog
Stochastic Processes and their applications 115 (2), 249-274, 2005
1162005
Functional large deviations for multivariate regularly varying random walks
H Hult, F Lindskog, T Mikosch, G Samorodnitsky
The Annals of Applied Probability 15 (4), 2651-2680, 2005
1082005
Within-die process variations: How accurately can they be statistically modeled?
B Hargreaves, H Hult, S Reda
2008 Asia and South Pacific design automation conference, 524-530, 2008
682008
Tail probabilities for infinite series of regularly varying random vectors
H Hult, G Samorodnitsky
Bernoulli 14 (3), 838-864, 2008
562008
Approximating some Volterra type stochastic integrals with applications to parameter estimation
H Hult
Stochastic processes and their applications 105 (1), 1-32, 2003
482003
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
H Hult, F Lindskog
The Annals of Probability 35 (1), 309-339, 2007
472007
On regular variation for infinitely divisible random vectors and additive processes
H Hult, F Lindskog
Advances in Applied Probability 38 (1), 134-148, 2006
402006
Heavy-tailed insurance portfolios: buffer capital and ruin probabilities
H Hult, F Lindskog
Cornell University Operations Research and Industrial Engineering, 2006
322006
On Kesten's Counterexample to the Cramér: Wold Device for Regular Variation
H Hult, F Lindskog
Bernoulli, 133-142, 2006
222006
Mathematical modeling and statistical methods for risk management, lecture notes
H Hult, F Lindskog
McGraw-Hill, 1995
191995
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
T Gudmundsson, H Hult
Journal of Applied Probability 51 (2), 359-376, 2014
182014
Large deviations for point processes based on stationary sequences with heavy tails
H Hult, G Samorodnitsky
Journal of Applied Probability 47 (1), 1-40, 2010
172010
Algorithmic trading with Markov chains
H Hult, J Kiessling
162010
Topics on fractional Brownian motion and regular variation for stochastic processes
H Hult
Matematik, 2003
152003
On importance sampling with mixtures for random walks with heavy tails
H Hult, J Svensson
ACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (2), 1-21, 2012
132012
Ruin probabilities under general investments and heavy-tailed claims
H Hult, F Lindskog
Finance and Stochastics 15 (2), 243-265, 2011
132011
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