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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

Discussion on "size-biased risk measures of compound sums," by Michel Denuit, January 2020

Furman, Edward; Kye, Yisub; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 631-636

Persistent link: https://www.econbiz.de/10013167030

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

Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation

Mohammed, Nawaf; Furman, Edward; Su, Jianxi - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 425-436

Persistent link: https://www.econbiz.de/10012793935

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

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

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

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

On a multiplicative multivariate gamma distribution with applications in insurance

Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...

Persistent link: https://www.econbiz.de/10011890776

On log-normal convolutions : an analytical-numerical method with applications to economic capital determination

Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey - In: Insurance / Mathematics & economics 90 (2020), pp. 120-134

Persistent link: https://www.econbiz.de/10012169509