4 papers
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…
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…
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…