Edward Furman

York University - Department of Mathematics and Statistics

4700 Keele Street

Toronto, M3J 1P3

Canada

SCHOLARLY PAPERS

23

DOWNLOADS
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2,342

SSRN CITATIONS
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Top 9,851

in Total Papers Citations

28

CROSSREF CITATIONS

86

Scholarly Papers (23)

1.

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 University of Western Ontario
Downloads 224 (149,307)

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

2.

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 University of Western Ontario
Downloads 217 (153,839)
Citation 11

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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

3.

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 University of Western Ontario
Downloads 212 (157,223)
Citation 1

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

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 University of Western Ontario
Downloads 201 (165,189)
Citation 9

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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 University of Western Ontario
Downloads 182 (180,886)
Citation 4

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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 161 (201,049)

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

7.

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
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 141 (224,253)

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

8.

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 104 (281,215)

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

9.

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 103 (283,050)

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Negative Binomial random variables, convolutions

10.

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
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 87 (315,513)
Citation 1

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

11.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 23 Posted: 11 Sep 2013
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 82 (327,193)

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

12.

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 78 (336,922)
Citation 4

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

13.

Weighted Pricing Functionals

Number of pages: 31 Posted: 29 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 77 (339,481)

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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

14.

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 67 (366,582)
Citation 2

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

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
York University - Department of Mathematics and Statistics, York University, Purdue University - Department of Statistics and University of Western Ontario
Downloads 58 (394,172)

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Gaussian copula, tail dependence, maximal dependence path

16.

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
University of Manchester - School of Mathematics, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 55 (404,312)

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

17.

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 53 (411,102)

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

18.

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 University of Western Ontario
Downloads 52 (414,643)

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

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 University of Western Ontario
Downloads 50 (421,750)
Citation 1

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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 48 (429,141)
Citation 3

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

21.

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 47 (432,967)

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

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 37 (474,154)

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

23.

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 6 (662,336)

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