2 papers
math.PR2026
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…
math.PR2025
Asymptotics of higher-order conditional tail moments for convolution-equivalently distributed losses
Zhangting Chen, Bingjie Wang, Dongya Cheng
This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. Th…