9 citations · 51 across the 11 of their papers we have counts for
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q-fin.RM2018★ 8 cited
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…
q-fin.RM2018★ 7 cited
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…
math.PR2018★ 6 cited
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…