1 citations · 1 across the 4 of their papers we have counts for
5 papers
Mean-tail Gini framework for optimal portfolio selection
Jinghui Chen, Edward Furman, Stephano Ricci +1
The limitations of the traditional mean-variance (MV) efficient frontier, as introduced by Markowitz (1952), have been extensively documented in the literature. Specifically, the a…
Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
Jinghui Chen, Edward Furman, X. Sheldon Lin
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 202…
Stochastic Loss Reserving: Dependence and Estimation
Andrew Fleck, Edward Furman, Yang Shen
Nowadays insurers have to account for potentially complex dependence between risks. In the field of loss reserving, there are many parametric and non-parametric models attempting t…
Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
Andrew Fleck, Edward Furman, Yang Shen
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative…
Multiple risk factor dependence structures: Distributional properties
Jianxi Su, Edward Furman
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRi…