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Multiple risk factor dependence structures : distributional properties
Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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Asymptotics for risk capital allocations based on conditional tail expectation
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324
Persistent link: https://www.econbiz.de/10009404721
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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Insurance / Mathematics & economics 96 (2021), pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
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A reconciliation of the top-down and bottom-up approaches to risk capital allocations : proportional allocations revisited
Furman, Edward; Kye, Yisub; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 3, pp. 395-416
Persistent link: https://www.econbiz.de/10012623437
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A form of multivariate pareto distribution with applications to financial risk measurement
Su, Jianxi; Furman, Edward - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 331-357
Persistent link: https://www.econbiz.de/10011671067