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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

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

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

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

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

A general approach to full-range tail dependence copulas

Su, Jianxi; Hua, Lei - In: Insurance / Mathematics & economics 77 (2017), pp. 39-64

Persistent link: https://www.econbiz.de/10011783893

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

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

Persistent link: https://www.econbiz.de/10013471211