金融工程研究中心学术报告：Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims

报 告 人：Dimitrios G. Konstantinides 报告时间：2023年11月3号  15:30 - 17:00 报告地点：览秀楼 105学术报告厅 报告摘要： Consider an insurer with d lines of business and the freedom to make risk-free and risky investments. The investment portfolio price process is described as a general càdlàg process. It is assumed that the claim sizes from different lines of business and their common inter-arrival times form a sequence of independent and identically distributed (i.i.d.) random pairs, each pair obeying a particular dependence structure. With this dependence structure, claim sizes from different lines of business are distributed according to the multivariate regular variation. This paper proposes conditions that can be satisfied by several important stochastic processes, including the Lévy process, Vasicek interest rate model, Cox-Ingersoll-Ross interest rate model, Heston model, and Stochastic volatility model. Under these conditions, the uniform asymptotic expansions of ruin probabilities are derived, which hold uniformly for the entire time horizon. Numerical examples are provided as a means of illustrating the main results.. 报告人简介： Dimitrios G. Konstantinides was born in Thessaloniki where he had his elementary education. Later he continued in gymnasium in Larissa and he finished the lyceum in Athens at Kalithea.  After entrance exams he became student of the Department of Mathematics in University of Athens. For his M.Sc. degree he went to Kiev at the Mechaniko-Mathematical Department of the Kiev National University, named after Shevtshenko, with supervisor M.V. Kartashov. Next for his doctoral studies he entered to the Mechaniko-Mathematical Department of the Moscow State University, named after Lomonossov, with supervisor A.D. Solovyev. He began his academic career in Technical University of Crete for six years where he taught tostudents of the Department of Electrical Engineering and Computer Science and of the Department of Industrial and Management Engineering. Then he continued to the University of the Aegean (Samos) at the Department of Mathematics for three years and then at theDepartment of Statistics and Actuarial – Financial Mathematics.