7 papers
Dirichlet sub-mixtures: A new reading of multiplicative background risk models with Pareto margins
Nawaf Mohammed, Edward Furman
Multiplicative background risk models (MBRMs) provide a tractable framework for describing dependent risks. We construct a class of MBRMs with Pareto margins by combining Marshall-…
A tale of two allocations: Risk capital contributions versus risk contributions in the tail
Nawaf Mohammed, Edward Furman
We compare two natural proportional notions of a risk component's contribution to the aggregate tail risk of a collection of risks: the fraction of aggregate tail risk capital allo…
Multiple risk factor dependence structures: Copulas and related properties
Jianxi Su, Edward Furman
Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosi…
A form of multivariate Pareto distribution with applications to financial risk measurement
Jianxi Su, Edward Furman
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2…
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…
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…
Paths and indices of maximal tail dependence
Edward Furman, Jianxi Su, Ričardas Zitikis
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements o…