17 papers
Asymptotics of randomly weighted sums without moment conditions of random weights
Qingwu Gao, Dimitrios G. Konstantinides, Charalampos D. Passalidis +2
The paper analyzes the asymptotic behavior of sums with random weights that lack moment assumptions, focusing on heavy‑tailed primary variables and extending Breiman's theorem, wit…
Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
Zhangting Chen, Dimitrios G. Konstantinides, Charalampos D. Passalidis
This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We pro…
Interplay of insurance and financial risks in a non Levy-Renewal environment
Dimitrios G. Konstantinides, Charalampos D. Passalidis
In this paper we consider a multivariate risk model, with common counting process and common process of logarithmic returns for the investment portfolio. We assume that the claim-v…
Random vectors in the presence of a single big jump
Dimitrios G. Konstantinides, Charalampos D. Passalidis
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades ar…
The Bivariate regular variation of randomly weighted sums revisited in the presence of interdependence
Dimitrios G. Konstantinides, Charalampos D. Passalidis
We study the joint distribution of two randomly weighted sums. Inspired by the practical applications, we assume that the main random variables follow the non-standard bivariate re…
Heavy-tailed random vectros: theory and applications
Dimitrios G. Konstantinides, Charalampos D. Passalidis
In this paper we introduce and study several multivariate, heavy-tailed distribution classes, and we explore their closure properties and their applications. We consider the class…