4 papers · 1 filter
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…