×
Compute Distance To:
Author ID: ignatieva.katja Recent zbMATH articles by "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

Publications by Year

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 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
17
2014
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
11
2016
Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215
Ignatieva, 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 1420.91130
Gudkov, 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 1348.91293
Ignatieva, Katja; Landsman, Zinoviy
7
2015
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, 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 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
6
2018
Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510
Ignatieva, Katja; Landsman, Zinoviy
3
2019
Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524
Ignatieva, Katja; Trück, Stefan
2
2016
A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198
Baldeaux, 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 1420.91130
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan
8
2019
Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510
Ignatieva, 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 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
6
2018
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
11
2016
Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524
Ignatieva, Katja; Trück, Stefan
2
2016
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. Zbl 1348.91293
Ignatieva, Katja; Landsman, Zinoviy
7
2015
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
17
2014
A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard
1
2014
Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215
Ignatieva, Katja; Platen, Eckhard
8
2012
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
6
2010
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

Citations by Year