3 citations · 9 across the 20 of their papers we have counts for
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stat.AP2016★ 2 cited
Should we opt for the Black Friday discounted price or wait until the Boxing Day?
Jiang Wu, Ricardas Zitikis
We derive an optimal strategy for minimizing the expected loss in the two-period economy when a pivotal decision needs to be made during the first time period and cannot be subsequ…
stat.AP2016
Tail dependence of the Gaussian copula revisited
Edward Furman, Alexey Kuznetsov, Jianxi Su +1
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-bein…
math.ST2016
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
Edward Furman, Ricardas Zitikis
Gini-type correlation coefficients have become increasingly important in a variety of research areas, including economics, insurance and finance, where modelling with heavy-tailed…