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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

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

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

using the closure under convolutions property. This direction yields an additive background risk model, and it has been very … multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative … study the links to the MBRM, employ the machinery of divided differences to derive the distribution of the aggregate risk …

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

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

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

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

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

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