Edit Profile (opens in new tab) Ignatieva, Katja Compute Distance To: Compute Author ID: ignatieva.katja Published as: Ignatieva, Katja External Links: ORCID Documents Indexed: 14 Publications since 2010 Co-Authors: 10 Co-Authors with 13 Joint Publications 165 Co-Co-Authors all top 5 Co-Authors 1 single-authored 5 Platen, Eckhard 3 Landsman, Zinoviy M. 3 Ziveyi, Jonathan 2 Baldeaux, Jan 2 Fung, Man Chung 2 Song, Andrew 1 Gudkov, Nikolay 1 Rendek, Renata 1 Sherris, Michael 1 Trück, Stefan all top 5 Serials 5 Insurance Mathematics & Economics 2 Studies in Nonlinear Dynamics and Econometrics 1 Computers & Operations Research 1 Computational Statistics and Data Analysis 1 Applied Mathematical Finance 1 Quantitative Finance 1 ASTIN Bulletin 1 Asia-Pacific Financial Markets 1 Journal of Statistical Theory and Practice Fields 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 10 Publications have been cited 69 times in 53 Documents Cited by ▼ Year ▼ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103Fung, Man Chung; Ignatieva, Katja; Sherris, Michael 17 2014 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 11 2016 Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215Ignatieva, Katja; Platen, Eckhard 8 2012 Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. Zbl 1420.91130Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan 8 2019 Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. Zbl 1348.91293Ignatieva, Katja; Landsman, Zinoviy 7 2015 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182Ignatieva, Katja; Platen, Eckhard 6 2010 Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 6 2018 Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510Ignatieva, Katja; Landsman, Zinoviy 3 2019 Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524Ignatieva, Katja; Trück, Stefan 2 2016 A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard 1 2014 Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. Zbl 1420.91130Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan 8 2019 Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510Ignatieva, Katja; Landsman, Zinoviy 3 2019 Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 6 2018 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 11 2016 Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524Ignatieva, Katja; Trück, Stefan 2 2016 Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. Zbl 1348.91293Ignatieva, Katja; Landsman, Zinoviy 7 2015 Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103Fung, Man Chung; Ignatieva, Katja; Sherris, Michael 17 2014 A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard 1 2014 Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215Ignatieva, Katja; Platen, Eckhard 8 2012 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182Ignatieva, Katja; Platen, Eckhard 6 2010 all cited Publications top 5 cited Publications all top 5 Cited by 94 Authors 8 Ignatieva, Katja 5 Ziveyi, Jonathan 4 Landsman, Zinoviy M. 3 Eini, Esmat Jamshidi 3 Khaloozadeh, Hamid 2 Bacinello, Anna Rita 2 Baldeaux, Jan 2 Ballotta, Laura 2 Eberlein, Ernst W. 2 Feng, Runhuan 2 Fung, Man Chung 2 Kwak, Minsuk 2 Kwok, Yue-Kuen 2 Mamon, Rogemar S. 2 Molent, Andrea 2 Platen, Eckhard 2 Schmidt, Thorsten 2 Song, Andrew 2 Xiong, Heng 2 Ye, Xuguo 2 Zeineddine, Raghid 2 Zhao, Yanyong 1 Albano, Giuseppina 1 Alonso-García, Jennifer 1 Balakrishnan, Narayanaswamy 1 Barigou, Karim 1 Bauer, Alexander 1 Benth, Fred Espen 1 Bernard, Carole L. 1 Biagini, Francesca 1 Blake, David 1 Cairns, Andrew J. G. 1 Chen, An 1 Choi, Jungmin 1 Christensen, Troels Sønderby 1 Czado, Claudia 1 Dai, Tian-Shyr 1 De Rosa, Clemente 1 Delong, Łukasz 1 Dong, Bing 1 Gajek, Lesław 1 Giorno, Virginia 1 Godin, Frédéric 1 Goudenège, Ludovic 1 Groll, Andreas 1 Gudkov, Nikolay 1 Gugushvili, Shota 1 Huang, Yao Tung 1 Huang, Yiming 1 Jamalizadeh, Ahad 1 Jeon, Junkee 1 Jiang, Chunfu 1 Jing, Xiaochen 1 Kang, Boda 1 Kim, Joseph Hyun Tae 1 Kim, Soyeun 1 Klein, Thomas 1 Lai, Van Son 1 Leung, Melvern 1 Liu, Liang-Chih 1 Luciano, Elisa 1 Makov, Udi E. 1 Milevsky, Moshe Arye 1 Millossovich, Pietro 1 Moenig, Thorsten 1 O’Hare, Colin 1 Palmes, Christian 1 Peng, Hongyi 1 Regis, Luca 1 Román Román, Patricia 1 Román-Román, Sergio 1 Roozegar, Roohollah 1 Rudź, Marcin 1 Schauer, Moritz 1 Serrano-Pérez, Juan José 1 Shushi, Tomer 1 Spreij, Peter 1 Tan, Ken Seng 1 Trottier, Denis-Alexandre 1 Trück, Stefan 1 van der Meulen, Frank Henri 1 Wang, Xiaojun 1 Widenmann, Jan Maximilian 1 Woerner, Jeannette H. C. 1 Wood, Oliver 1 Xu, Fangming 1 Yang, Sharon S. 1 Yang, Yu-Kuan 1 Zanette, Antonino 1 Zeng, Pingping 1 Zhang, Kongsheng 1 Zhao, Yixing 1 Zhi, Bangdong 1 Zoccolan, Ivan all top 5 Cited in 23 Serials 20 Insurance Mathematics & Economics 5 Quantitative Finance 4 North American Actuarial Journal 2 Journal of Computational and Applied Mathematics 2 Computers & Operations Research 2 Communications in Statistics. Theory and Methods 2 ASTIN Bulletin 1 The Canadian Journal of Statistics 1 Mathematical Biosciences 1 Applied Mathematics and Computation 1 Journal of Multivariate Analysis 1 Stochastic Analysis and Applications 1 Applied Mathematical Finance 1 Journal of Nonparametric Statistics 1 Studies in Nonlinear Dynamics and Econometrics 1 Journal of Applied Statistics 1 Methodology and Computing in Applied Probability 1 Brazilian Journal of Probability and Statistics 1 Scandinavian Actuarial Journal 1 Decisions in Economics and Finance 1 Computational Management Science 1 SIAM Journal on Financial Mathematics 1 European Actuarial Journal all top 5 Cited in 11 Fields 44 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Statistics (62-XX) 14 Probability theory and stochastic processes (60-XX) 7 Numerical analysis (65-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Partial differential equations (35-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Citations by Year