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Paths and indices of maximal tail dependence

Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678

Persistent link: https://www.econbiz.de/10011397592

Multiple risk factor dependence structures : distributional properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68

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Multiple risk factor dependence structures : copulas and related properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 74 (2017), pp. 109-121

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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

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation

Mohammed, Nawaf; Furman, Edward; Su, Jianxi - 2021

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...

Persistent link: https://www.econbiz.de/10013238894

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

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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

Inference for the tail conditional allocation : large sample properties, insurance risk assessment, and compound sums of concomitants

Gribkova, N. V.; Su, J.; Zitikis, R. - In: Insurance / Mathematics & economics 107 (2022), pp. 199-222

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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