2 citations · 5 across the 18 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…
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…
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…