Date and Time
- Time：11:00 am-12:00 am
- Date：Thursday, 2nd November
- Venue：MB441, SIP North Campus
- Speaker：Prof. Dimitrios G. Konstantinides, the University of the Aegean
- Host: Prof. Hailiang Yang
We study the background risk model under a various forms of dependence and some distribution classes of heavy tails. First, we study the asymptotic behavior of tail expectation of portfolios with unequal heavy-tailedness, under strong asymptotic independence. Further we investigate the asymptotic behavior of a pair of weighted random sums, generalizing the dependence structure among random vector components. Second, we examine the ruin probability in bi-dimensional discrete time risk model with unequal heavy-tailedness, under dependence. Next, we carry out asymptotic analysis of the tail distortion risk measures in background risk model under various forms of dependence, with regularly varying risk distributions in each portfolio. Finally, we extend Breiman's theorem under Asimit-Jones dependence structure.
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.