10 citations · 17 across the 3 of their papers we have counts for
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q-fin.RM2020
Generating unfavourable VaR scenarios with patchwork copulas
Dietmar Pfeifer, Olena Ragulina
The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios w…
q-fin.RM2020★ 7 cited
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…
stat.ME2020★ 10 cited
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.…