7 citations · 26 across the 5 of their papers we have counts for
8 papers
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…
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…
The risk model with stochastic premiums and a multi-layer dividend strategy
Olena Ragulina
The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piec…
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…
The risk model with stochastic premiums, dependence and a threshold dividend strategy
Olena Ragulina
The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and…