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  • Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
    conditional expectation can be expressed TCES (sq) (17) = η γ0 α0 FS+ηZ0 (sq) FS (sq) + eγeαmax F S+Zmax ... pression for tail conditional expectation risk measure (17) from the formula for TCE based allocation (20), ...

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    • Authors: Edward Furman, Zinoviy Landsman
    • Date: Sep 2008
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
  • Weighted Pricing Functionals
    functionals 14 6. Stein-type covariance decompositions 17 7. The weighted insurance pricing model 20 8. Computing ... reduces to Πw[Xk, S + a] ./ Πw[Xk, S]. (5.10) 17 Consequently, for the economic Esscher pricing functional ...

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    • Authors: Edward Furman, Ricardas Zitikis
    • Date: May 2009
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
  • Modeling, Measuring, and Pricing the Flood Risk
    ................................................ 17 5.1 Factors Prescribing Insurance Industry Standards ... ................................................ 17 5.2 Guidelines for Modeling and Pricing .......

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    • Authors: Edward Furman, Jian xi Su
    • Date: Jan 2019
    • Competency: External Forces & Industry Knowledge
    • Topics: Environment
  • A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited
    + yi) Γ(γi) yi! (β∗/βi)γi(1− β∗/βi)yi , k ∈ N0. (17) In the next section, we show how the class of mixed-gamma ... The PMF of κ∗N(i) can be computed directly via (17) or recursively via (15). Similarly, for ri, rj ∈ ...

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    • Authors: Edward Furman, Jian xi Su
    • Date: Dec 2019
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Enterprise Risk Management