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Tail dependence of the Gaussian copula revisited
Furman, Edward; Kuznetsov, Alexey; Su, Jianxi; Zitikis, … - In: Insurance / Mathematics & economics 69 (2016), pp. 97-103
Persistent link: https://www.econbiz.de/10011530927
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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
Persistent link: https://www.econbiz.de/10011712411
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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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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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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