8 papers · 1 filter
Uniform asymptotics for a multidimensional renewal risk model with random number of delayed claims and multivariate subexponentiality
Dimitrios G. Konstantinides, Charalampos D. Passalidis, Meng Yuan
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed…
Asymptotics for a nonstandard risk model with multivariate subexponential claims and constant interest force
Dimitrios G. Konstantinides, Charalampos D. Passalidis, Hui Xu
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite t…
Multivariate subexponentiality and interplay of insurance and financial risks in a renwal risk model
Dimitrios G. Konstantinides, Charalampos D. Passalidis
In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process…
Infinite-time ruin probability of a multivariate renewal risk model with Brownian perturbations
Dimitrios G. Konstantinides
We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claim…
Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
Dimitrios G. Konstantinides, Jiajun Liu, Charalampos D. Passalidis
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identicall…
Tail behavior of randomly weighted sums with interdependent summands
Dimitrios G. Konstantinides, Remigijus Leipus, Charalampos D. Passalidis +1
We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to inc…