10 citations · 17 across the 3 of their papers we have counts for
6 papers
Insurance Business and Sustainable Development
Dietmar Pfeifer, Vivien Langen
In this study, we will discuss recent developments in risk management of the global financial and insurance business with respect to sustainable development. So far climate change…
Adaptive Bernstein Copulas and Risk Management
Dietmar Pfeifer, Olena Ragulina
We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the nu…
Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas
Dietmar Pfeifer, Doreen Strassburger, Joerg Philipps
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins.…
Modellvalidierung mit Hilfe von Quantil-Quantil-Plots unter Solvency II (Model validation on the basis of quantile-quantile-plots under Solvency II)
Dietmar Pfeifer
After several years of development, the Solvency II-project has finally been set to work in the European Union with the beginning of the year 2016. This has caused massive changes…
Generating VaR scenarios with product beta distributions
Dietmar Pfeifer, Olena Ragulina
We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular inte…
New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)
Dietmar Pfeifer, Andreas Mändle, Olena Ragulina +1
In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas wit…