Edward Furman

Dr. Edward Furman

Department of Mathematics and Statistics, York University, Toronto, ON, Canada

Research Focus & Metrics

Academic Career Length

22Years (2005-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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1 November 2006 in ASTIN Bulletin
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Journal Article
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EFEdward Furman
Edward Furman
Zinoviy LandsmanZinoviy Landsman
Zinoviy Landsman
In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances. In addition, we suggest a number of risk measures associated with TVP. While the well-known tail conditional expectation risk measure provides a risk manager with information about the average of the tail of the loss distribution, tail variance risk measure (TV) estimates the variability along such a tail. Furthermore, given a multivariate setup, we offer a number of allocation techniques which preserve different desirable properties (sub-additivity and fulladditivity, for instance). We are able to derive explicit expressions for TV and TVP, and risk capital decomposition rules based on them, in the general framework of multivariate elliptical distributions. This class is very popular among actuaries and risk managers because it contains distributions with marginals whose tails are heavier than those of normal distributions. This distinctive feature is desirable when modeling financial datasets. Moreover, according to our results, in some cases there exists an optimal threshold, such that by choosing it, an insurance company minimizes its risk.

1 February 2008 in Insurance: Mathematics and Economics
Verified
Journal Article
Closed access
EFEdward Furman
Edward Furman
RZRičardas Zitikis
Ričardas Zitikis

1 October 2008 in Insurance: Mathematics and Economics
Verified
Journal Article
Closed access
EFEdward Furman
Edward Furman
RZRičardas Zitikis
Ričardas Zitikis

1 November 2011 in Insurance: Mathematics and Economics
Verified
Journal Article
Open access
AAAlexandru V. Asimit
Alexandru V. Asimit
EFEdward Furman
Edward Furman
Qihe TangQihe Tang
Qihe Tang
RVRaluca Vernic
Raluca Vernic

1 December 2005 in Insurance: Mathematics and Economics
Verified
Journal Article
Closed access
EFEdward Furman
Edward Furman
ZLZinoviy Landsman
Zinoviy Landsman

1 October 2008 in Statistics & Probability Letters
Verified
Journal Article
Closed access
EFEdward Furman
Edward Furman