Ph.D. DISSERTATION
1. Furman, E. (2006). Tail based risk measures and some multivariate dependence structures, Summa Cum Laude. Department of Statistics, University of Haifa, Israel. (Scientific advisor: Prof. Zinoviy Landsman).
M.A. DISSERTATION
2. Furman, E. (2004). Tail conditional expectation in the case of a multivariate gamma portfolio with commoon rate parameters, (Grade 98/100). Department of Statistics, University of Haifa, Israel. (Scientific advisor: Prof. Zinoviy Landsman).
REFERRED ARTICLES IN ACTUARIAL MATHEMATICS
Furman, E., Kuznetsov, A. and Zitikis, R. (2018). "Weighted Risk Capital Allocations in the Presence of Systematic Risk." Insurance: Mathematics and Economics , to appear.
Su, J. and Furman, E. (2017). "Multiple "Risk Factor Dependence Structures: Copulas and related properties." Insurance: Mathematics and Economics 74, 109 - 121. This paper is akin to Chapter 3 in Jianxi Su's Ph.D. dissertation.
Su, J. and Furman, E. (2017). "Multiple Risk Factor Dependence Structures: Distributional Properties." Insurance: Mathematics and Economics 76, 56 - 68. This paper is akin to Chapter 2 in Jianxi Su's Ph.D. dissertation.
Furman, E., Wang, R. and Zitikis, R. (2017). "Gini-type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-tailed Risks." Journal of Banking and Finance 83, 70 - 84.
Furman, E. and Zitikis, R. (2017). "Beyond the Pearson Correlation: Heavy- tailed Risks, Weighted Gini Correlations, and a Gini-type Weighted Insurance Pricing Model." ASTIN Bulletin 83, 70 - 84.
Su, J. and Furman, E. (2017). "A Form of Multivariate Pareto Distribution with application to financial risk measurement." ASTIN Bulletin 47(1), 331 - 357. This paper is akin to Chapter 1 in Jianxi Su's Ph.D. dissertation.
Furman, E., Kuznetsov, A., Su, J. and Zitikis, R. (2016). "The Maximal Tail Dependence Path of the Gaussian Copula is Diagonal." Insurance: Mathematics and Economics 69, 97 - 103.
Asimit, V., Furman, E. and Vernic, R. (2016). "Statistical Inference for a New Class of Multivariate Pareto Distributions." Communications in Statistics - Simulation and Computation 45(2), 456 - 471.
Furman, E., Su, J. and Zitikis, R. (2015). "Paths and Indices of Maximal Tail Dependence." ASTIN Bulletin 45(3), 661 - 678.
Marri, F. and Furman, E. (2012). "Pricing compound Poisson processes with the Farlie-Gambel-Morgenstern dependence structure." Insurance: Mathematics and Economics, 51(1), 151 - 157. Fouad Marri was a Post-Doctoral Fellow that worked with me during 2009 -- 2010.
Asimit, V., Furman, E., Tang, Q. and Vernic, R. (2011). "Asymptotics for risk capital allocations based on conditional tail expectation." Insurance: Mathematics and Economics, 49(3), 310 - 324. This paper was awarded the Fortis Prize for the best paper published/presented in 2010 in the Insurance: Mathematics and Economics journal/congress.
Furman, O. and Furman, E. (2010). "On some layer-based risk measures with applications to exponential dispersion models." Special issue of the Journal of Probability and Statistics , in press.
Zitikis, R., Furman,E., Necir, A., Neslehova, J., and Puri, M. L. (2010). Editorial: "Actuarial and Financial Risks: Models, Statistical Inference, and Case Studies." Journal of Probability and Statistics, Special Issue on Actuarial and Financial Risks: Models, Statistical Inference, and Case Studies.
Furman, E. and Zitikis, R. (2010. "General Stein-type covariance decompositions with applications to insurance and finance." ASTIN Bulletin 40(1), 369 - 375.
Furman, E. and Landsman, Z. (2010). "Multivariate Tweedie distributions and some related capital-at-risk analysis." Insurance: Mathematics and Economics 46(2), 351 - 361.
Asimit, V. A., Furman, E. and Vernic, R. (2010). "On a multivariate Pareto distribution." Insurance: Mathematics and Economics 46(2), 308 - 316.
Furman, E. and Zitikis, R. (2009). "Weighted pricing functionals." North American Actuarial Journal 13(4).
Furman, E. and Landsman, Z. (2008). "Economic capital allocations for non-negative portfolios of dependent risks." ASTIN Bulletin 38(2), 601 - 619.
Furman, E. and Zitikis, R. (2008). "Monotonicity properties of the composition of regularized and inverted-regularized gamma functions with applications." Journal of Mathematical Analysis and Applications 348(2), 971 - 976
Furman, E. and Zitikis, R. (2008). "Weighted risk capital allocations." Insurance: Mathematics and Economics 43(2), 263 - 270. This paper was awarded the Fortis Prize for the best paper published/presented in 2008 in the Insurance: Mathematics and Economics journal/congress.
Furman, E. and Zitikis, R. (2008). "Monotonicity of a ratio of incomplete Gamma functions with actuarial applications." Journal of Inequalities in Pure and Applied Mathematics 9(3), 1 - 6.
Furman, E. (2008). "On a multivariate Gamma distribution". Statistics and Probability Letters 78(15), 2353 - 2360. See also, the erratum bu Su, J. and Furman, E. in Statistics and Probability Letters 82(5), 1040 - 1041.
Furman, E. and Zitikis, R. (2008). "Weighted premium calculation principles". Insurance: Mathematics and Economics 42(1), 459 - 465
Furman, E. and Zitikis, R. (2007). "Discussion of 'An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets' by Landsman, Z. and Sherris, M.". North American Actuarial Journal 11(3).
Furman, E. (2007). “On the convolution of the Negative Binomial random variables.” Statistics and Probability Letters 77(2), 169 - 172.
Furman, E. and Landsman, Z. (2006). “On some risk-adjusted tail-based risk measures.” Journal of Actuarial Practice (JoAP) 13, 175 - 191.
Furman, E. and Landsman, Z (2006). “Tail variance premium with applications for elliptical portfolio of risks. ASTIN Bulletin 36(2), 433 - 462.
Furman, E. and Landsman, Z. (2005). “Risk capital decomposition for a multivariate dependent gamma portfolio.” Insurance: Mathematics and Economics 37, 635 - 649.
ARTICLES IN REFERRED CONFERENCE PROCEEDINGS IN ACTUARIAL MATHEMATICS
Furman, E. and Zitikis, R. (2009). “Weighted pricing functionals.” Actuarial Research Clearing House, 2009.1.
Furman, E. and Zitikis, R. (2009). “General Stein-type decompositions of covariances and the capital asset pricing model.” Proceedings of the Midwest Finance Association (MFA), Vol 6, (Ed.: L. E. Blose).
REFEREED ARTICLES IN COMPUTER SCIENCE
Berkovsky S., Eitani Y., Furman E. and Makov U. (2004). “Developing framework for insurance underwriting expert system,” IJSIT Lecture Notes, Database and Expert systems, 191 - 197.
TECHNICAL REPORTS
1. Furman, E. (2008) "Applying the Solvency 2 Accord in Israel: Technical Provisions' Calculations in the Context of Non-Hedgeable Risks." Report for the Ministry of Finance, Jerusalem, Israel.
2. Furman, E. and Salama, E. (2007) “Time series analysis: toward X-13-ARIMA-SEATS.” Report for the Central Bureau of Statistics, Jerusalem, Israel.
3. Furman, E. and Salama, E. (2007) “Time series analysis: a brief review.” Report for the Central Bureau of Statistics, Jerusalem, Israel.
4. Furman, E. and Landsman, Z. (2006) “Multivariate Tweedie distributions and some related capital-at-risk analysis,” Technical report N 06-12-1, Actuarial research center, University of Haifa.
5. Furman, E. and Landsman, Z. (2004) “Tail variance premium with applications for elliptical portfolio of risks,” Technical Report N 04-7-1, Actuarial Research Center, University of Haifa.
6. Furman, E. and Landsman, Z. (2004) “Risk capital decomposition for a multivariate gamma portfolio,” Technical Report N 04-5-1, Actuarial Research Center, University of Haifa.
