Edward Furman

York University - Department of Mathematics and Statistics

4700 Keele Street

Toronto, M3J 1P3

Canada

  • York University - Department of Mathematics and Statistics

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 27,277

SSRN RANKINGS

Top 27,277

in Total Papers Downloads

2,925

SSRN CITATIONS
Rank 10,401

SSRN RANKINGS

Top 10,401

in Total Papers Citations

39

CROSSREF CITATIONS

86

Scholarly Papers (24)

Actions:
Email selected abstracts
1.

Weighted Premium Calculation Principles

Insurance: Mathematics and Economics, Vol. 42, No. 1, pp. 459 - 465
Number of pages: 17 Posted: 18 Jul 2007 Last Revised: 02 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 252 (187,596)

Abstract:

Loading...

weighted transform, weighted distribution, weighted premium calculation principle, loaded premium, distorted premium, Esscher's premium, Kamps's premium, conditional tail expectation, tail variance premium, stochastic ordering

2.

Weighted Risk Capital Allocations

Insurance: Mathematics and Economics, Vol. 43, No. 2, pp. 263-270
Number of pages: 23 Posted: 05 Mar 2008 Last Revised: 24 Mar 2009
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 245 (192,879)
Citation 5

Abstract:

Loading...

Weighted distributions, weighted premiums, weighted allocations, Stein's lemma, general covariance decomposition, regression function

3.

General Stein-Type Covariance Decompositions with Applications to Insurance and Finance

ASTIN: Bulletin, Vol. 40, No. 1, pp. 369-375
Number of pages: 7 Posted: 10 Mar 2008 Last Revised: 08 Jun 2010
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 232 (203,277)
Citation 1

Abstract:

Loading...

Capital Asset Pricing Model, CAPM, Beta, Stein's Lemma, Covariance Decomposition, Linear Regression

4.

Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks

Number of pages: 32 Posted: 11 Sep 2016
Edward Furman, Ruodu Wang and Ricardas Zitikis
York University - Department of Mathematics and Statistics, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 229 (205,761)
Citation 9

Abstract:

Loading...

risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.

5.

Paths and Indices of Maximal Tail Dependence

ASTIN Bulletin: The Journal of the International Actuarial Association, Forthcoming
Number of pages: 20 Posted: 06 May 2014 Last Revised: 17 Jul 2016
Edward Furman, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, Purdue University - Department of Statistics and Western University
Downloads 198 (235,596)
Citation 5

Abstract:

Loading...

multivariate distribution; copula; tail dependence; maximal dependence; fatal shock; multivariate Pareto; enterprise risk management.

6.

Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks

ASTIN Bulletin 38(2), 601 - 619.
Number of pages: 20 Posted: 02 Sep 2008 Last Revised: 24 Mar 2009
Edward Furman and Zinoviy Landsman
York University - Department of Mathematics and Statistics and University of Haifa, Department of Statistics
Downloads 173 (265,221)

Abstract:

Loading...

Economic capital allocations, tail conditional expectation risk measure, multivariate non-negative dependent risks, multivariate Tweedie distributions, multivariate compound Poisson distributions

7.

On the Convolution of the Negative Binomial Random Variables

Statistics and Probability Letters, Vol. 77, No. 2, 2006
Number of pages: 6 Posted: 28 Jul 2010
Edward Furman
York University - Department of Mathematics and Statistics
Downloads 164 (277,614)

Abstract:

Loading...

Negative Binomial random variables, convolutions

8.

Statistical Inference for a New Class of Multivariate Pareto Distributions

Communications in Statistics - Simulation and Computation, 2016, 45(2), 456-471.
Number of pages: 25 Posted: 29 Jan 2012 Last Revised: 09 Aug 2016
Alexandru Vali Asimit, Edward Furman and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 154 (292,488)

Abstract:

Loading...

Multivariate Pareto distribution, common shock model, maximum likelihood estimation, expectation maximization algorithm, method of moments

9.

Multivariate Tweedie Distributions and Some Related Capital-at-Risk Analysis

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 30 Posted: 29 Jul 2010
Edward Furman and Zinoviy Landsman
York University - Department of Mathematics and Statistics and University of Haifa, Department of Statistics
Downloads 143 (310,671)

Abstract:

Loading...

Exponential dispersion models, multivariate Tweedie family, Cauchy’s functional equations, risk capital allocations, the tail conditional expectation risk measure

10.

On Log-Normal Convolutions: An Analytical-Numerical Method With Applications to Economic Capital Determination

Number of pages: 33 Posted: 11 Sep 2017
Edward Furman, Daniel Hackmann and Alexey Kuznetsov
York University - Department of Mathematics and Statistics, Johannes Kepler University and York University
Downloads 140 (315,910)
Citation 6

Abstract:

Loading...

log-normal distribution, convolution, generalized gamma convolution, Pad´e approximation, individual risk model, collective risk model, economic capital

11.

Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation

Insurance: Mathematics and Economics, Vol. 49, No. 3, 2011
Number of pages: 39 Posted: 11 Sep 2013
Alexandru Vali Asimit, Edward Furman, Qihe Tang and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics, Department of Statistics and Actuarial Science and Ovidius University of Constanta
Downloads 103 (394,861)
Citation 1

Abstract:

Loading...

Asymptotic dependence and independence, Capital allocation, Conditional Tail Expectation, Extreme Value Theory, Heavytailed distributions, Value-at-Risk

12.

On a Multivariate Gamma Distribution

Statistics and Probability Letters, Vol. 78, No. 15, 2007
Number of pages: 8 Posted: 29 Jul 2010
Edward Furman
York University - Department of Mathematics and Statistics
Downloads 99 (405,447)
Citation 2

Abstract:

Loading...

Multivariate reduction, multivariate ladder-type gamma distributions, dependent insurance losses

13.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 23 Posted: 11 Sep 2013
Alexandru Vali Asimit, Edward Furman and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 95 (416,622)

Abstract:

Loading...

Multivariate Pareto distributions, Characterizations, Mixtures, Dependence, Simultaneous Loss, Economic Weighted Pricing

14.

Weighted Pricing Functionals

Number of pages: 31 Posted: 29 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 92 (425,289)

Abstract:

Loading...

Weighted distributions, weighted premiums, pri ing functionals, actuarial premium calculation principles, economic premium calculation principles, capital asset pricing model, CAPM, weighted insurance pricing model, WIPM

15.

Tail Dependence of the Gaussian Copula Revisited

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 21 Posted: 02 Feb 2015 Last Revised: 17 Jul 2016
Edward Furman, Alexey Kuznetsov, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University, Purdue University - Department of Statistics and Western University
Downloads 78 (469,560)

Abstract:

Loading...

Gaussian copula, tail dependence, maximal dependence path

16.

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

Number of pages: 31 Posted: 19 Mar 2021 Last Revised: 26 Aug 2021
Nawaf Mohammed, Edward Furman and Jianxi Su
York University - Department of Mathematics and Statistics, York University - Department of Mathematics and Statistics and Purdue University - Department of Statistics
Downloads 71 (494,803)

Abstract:

Loading...

Conditional tail expectation-based allocation, conditional geometric tail expectation-based allocation, conditional covariance, size-biased transform, standard simplex.

17.

Beyond the Pearson Correlation: Heavy-Tailed Risks, Weighted Gini Correlations, and a Gini-Type Weighted Insurance Pricing Model

Number of pages: 21 Posted: 09 Jul 2016 Last Revised: 12 Jul 2016
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 70 (498,569)

Abstract:

Loading...

Pearson correlation, weighted Gini correlation, capital asset pricing model, weighted insurance pricing model, bivariate distributions.

18.

A Form of Multivariate Pareto Distribution with Applications to Financial Rrisk Measurement

ASTIN Bulletin: The Journal of the International Actuarial Association
Number of pages: 30 Posted: 09 Feb 2015 Last Revised: 17 Jul 2016
Jianxi Su and Edward Furman
Purdue University - Department of Statistics and York University - Department of Mathematics and Statistics
Downloads 69 (502,459)
Citation 1

Abstract:

Loading...

Multivariate Pareto distributions, Characterizations, Dependence, Weighted Risk Measures, Minima, Maxima

19.

Weighted Risk Capital Allocations in the Presence of Systematic Risk

Number of pages: 19 Posted: 19 Sep 2017
Edward Furman, Alexey Kuznetsov and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University and Western University
Downloads 65 (518,279)
Citation 1

Abstract:

Loading...

Weighted risk measures, weighted risk capital allocations, systematic risk

20.

Multiple Risk Factor Dependence Structures: Copulas and Related Properties

Number of pages: 32 Posted: 08 Oct 2016
Jianxi Su and Edward Furman
Purdue University - Department of Statistics and York University - Department of Mathematics and Statistics
Downloads 64 (522,428)
Citation 5

Abstract:

Loading...

Multivariate distributions, (tail) dependence, Archimedean copulas, Marshall-Olkin copulas, factor models, default risk

21.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 21 Posted: 29 Jul 2010 Last Revised: 20 Sep 2010
Vali Alexandru Asimit, Edward Furman and Raluca Vernic
University of Manchester - School of Mathematics, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 64 (522,428)

Abstract:

Loading...

Multivariate Pareto distributions, characterizations, mixtures, dependence, simultaneous loss, economic weighted pricing

22.

On a Multiplicative Multivariate Gamma Distribution With Applications in Insurance

Number of pages: 25 Posted: 14 Feb 2018
Vadim Semenikhine, Edward Furman and Jianxi Su
York University, York University - Department of Mathematics and Statistics and Purdue University - Department of Statistics
Downloads 57 (552,575)

Abstract:

Loading...

aggregation, background risk model, collective risk model, copulas, measure of dependence

23.

Multiple risk factor dependence structures: Distributional properties

Number of pages: 35 Posted: 23 Nov 2015 Last Revised: 17 Jul 2016
Jianxi Su and Edward Furman
Purdue University - Department of Statistics and York University - Department of Mathematics and Statistics
Downloads 56 (557,087)

Abstract:

Loading...

Multivariate distributions, dependence, singularity, Pareto distributions, credit risk, factor models, weighted risk functionals

24.

On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models

Journal of Probability and Statistics, 2007
Number of pages: 21 Posted: 28 Jul 2010
Olga Furman and Edward Furman
University of Haifa - Actuarial Research Center and York University - Department of Mathematics and Statistics
Downloads 12 (847,435)

Abstract:

Loading...

Layer-based risk measures, (limited) tail conditional expectation, (limited) tail standard deviation, exponential dispersion models