9 citations · 51 across the 11 of their papers we have counts for
7 papers · 1 filter
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…
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…
New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dietmar Pfeifer, Andreas Mändle, Olena Ragulina
We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider…
Bonus--malus systems with different claim types and varying deductibles
Olena Ragulina
The paper deals with bonus-malus systems with different claim types and varying deductibles. The premium relativities are softened for the policyholders who are in the malus zone a…
Data driven partition-of-unity copulas with applications to risk management
Dietmar Pfeifer, Andreas Mändle, Olena Ragulina
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider…