Gribkova, N. V.; Su, J.; Zitikis, R. Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. (English) Zbl 1507.91179 Insur. Math. Econ. 107, 199-222 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{N. V. Gribkova} et al., Insur. Math. Econ. 107, 199--222 (2022; Zbl 1507.91179) Full Text: DOI
Furman, Edward; Kye, Yisub; Su, Jianxi A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. (English) Zbl 1479.91321 N. Am. Actuar. J. 25, No. 3, 395-416 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{E. Furman} et al., N. Am. Actuar. J. 25, No. 3, 395--416 (2021; Zbl 1479.91321) Full Text: DOI
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDFBibTeX XMLCite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI