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Ignatieva, Katja

Co-Author Distance
Author ID: ignatieva.katja Recent zbMATH articles by "Ignatieva, Katja"
Published as: Ignatieva, Katja
External Links: ORCID
Documents Indexed: 16 Publications since 2010
Co-Authors: 12 Co-Authors with 15 Joint Publications
177 Co-Co-Authors
all top 5

Co-Authors

1 single-authored
5 Platen, Eckhard
3 Landsman, Zinoviy M.
3 Ziveyi, Jonathan
2 Alexeev, Vitali
2 Baldeaux, Jan
2 Fung, Man Chung
2 Song, Andrew H.
1 Gudkov, Nikolay
1 Liyanage, Thusitha
1 Rendek, Renata
1 Sherris, Michael
1 Trück, Stefan
all top 5

Serials

5 Insurance Mathematics & Economics
4 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

15 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
10 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

12 Publications have been cited 121 times in 89 Documents Cited by ▼ Year ▼
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
25
2016
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
23
2014
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
14
2015
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
13
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
10
2018
Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215
Ignatieva, Katja; Platen, Eckhard
9
2012
Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510
Ignatieva, Katja; Landsman, Zinoviy
8
2019
Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524
Ignatieva, Katja; Trück, Stefan
6
2016
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
6
2010
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. Zbl 1475.91403
Ignatieva, Katja; Landsman, Zinoviy
4
2021
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index. Zbl 1420.62080
Ignatieva, Katja; Platen, Eckhard; Rendek, Renata
2
2011
A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard
1
2014
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. Zbl 1475.91403
Ignatieva, Katja; Landsman, Zinoviy
4
2021
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
13
2019
Conditional tail risk measures for the skewed generalised hyperbolic family. Zbl 1411.91510
Ignatieva, Katja; Landsman, Zinoviy
8
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
10
2018
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
25
2016
Modeling spot price dependence in Australian electricity markets with applications to risk management. Zbl 1349.62524
Ignatieva, Katja; Trück, Stefan
6
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
14
2015
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
23
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
9
2012
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index. Zbl 1420.62080
Ignatieva, Katja; Platen, Eckhard; Rendek, Renata
2
2011
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
6
2010
all cited Publications top 5 cited Publications
all top 5

Cited by 156 Authors

9 Ignatieva, Katja
8 Ziveyi, Jonathan
4 Feng, Runhuan
4 Landsman, Zinoviy M.
4 Zhang, Zhimin
3 Bacinello, Anna Rita
3 Eini, Esmat Jamshidi
3 Khaloozadeh, Hamid
3 Kwak, Minsuk
3 Yin, Chuancun
3 Zhong, Wei
3 Zhu, Dan
2 Alonso-García, Jennifer
2 Balakrishnan, Narayanaswamy
2 Baldeaux, Jan
2 Ballotta, Laura
2 Barigou, Karim
2 Eberlein, Ernst W.
2 Fung, Man Chung
2 Gugushvili, Shota
2 Kang, Boda
2 Klein, Nadja
2 Kwok, Yue-Kuen
2 Li, Jinzhu
2 Mamon, Rogemar S.
2 Moenig, Thorsten
2 Molent, Andrea
2 Platen, Eckhard
2 Schauer, Moritz
2 Schmidt, Thorsten
2 Sherris, Michael
2 Song, Andrew H.
2 Spreij, Peter
2 van der Meulen, Frank Henri
2 Xiong, Heng
2 Ye, Xuguo
2 Zeineddine, Raghid
2 Zhao, Yanyong
2 Zoccolan, Ivan
2 Zuo, Baishuai
1 Aguilar, Jean-Philippe
1 Ai, Meiqiao
1 Albano, Giuseppina
1 Alexeev, Vitali
1 Amiri, Mehdi
1 Bauer, Alexander Max
1 Benth, Fred Espen
1 Bernard, Carole
1 Biagini, Francesca
1 Blake, David
1 Cairns, Andrew J. G.
1 Chan, Jennifer So Kuen
1 Chen, Ze
1 Choi, Jungmin
1 Christensen, Troels Sønderby
1 Coolen-Maturi, Tahani
1 Coolen, Frank P. A.
1 Cui, Zhenyu
1 Czado, Claudia
1 Dai, Tian-Shyr
1 Dang, Duy Minh
1 Darijani, Maryam
1 De Rosa, Clemente
1 Delong, Łukasz
1 Dong, Bing
1 Eftekharian, Abbas
1 Fontana, Claudio
1 Gajek, Lesław
1 Gan, Guojun
1 Giorno, Virginia
1 Godin, Frédéric
1 Goudenège, Ludovic
1 Groll, Andreas
1 Gudkov, Nikolay
1 Günther, Sascha
1 Hainaut, Donatien
1 Han, Xiangyu
1 Hieber, Peter
1 Huang, Yao Tung
1 Huang, Yiming
1 Huang, Zhenzhen
1 Jafari, Aliakbar Joneidi
1 Jamalizadeh, Ahad
1 Jeon, Junkee
1 Jevtić, Petar
1 Jiang, Chunfu
1 Jing, Xiaochen
1 Kim, Joseph Hyun Tae
1 Kim, Soyeun
1 Kirkby, Justin Lars
1 Klein, Thomas
1 Kutzker, Tim
1 Lai, Van Son
1 Leung, Melvern
1 Li, Hong
1 Linders, Daniël
1 Liu, Kai
1 Liu, Liang-Chih
1 Liu, Shengda
1 Liyanage, Thusitha
...and 56 more Authors
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Cited in 36 Serials

29 Insurance Mathematics & Economics
6 Scandinavian Actuarial Journal
5 Quantitative Finance
5 North American Actuarial Journal
4 Journal of Computational and Applied Mathematics
3 ASTIN Bulletin
2 Computers & Operations Research
2 Communications in Statistics. Theory and Methods
2 Studies in Nonlinear Dynamics and Econometrics
2 Methodology and Computing in Applied Probability
2 Statistical Methods and Applications
2 Journal of Statistical Theory and Practice
2 European Actuarial Journal
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Mathematical Biosciences
1 Scandinavian Journal of Statistics
1 Applied Mathematics and Computation
1 Journal of Multivariate Analysis
1 Stochastic Analysis and Applications
1 Numerical Methods for Partial Differential Equations
1 Communications in Statistics. Simulation and Computation
1 Journal of Statistical Computation and Simulation
1 Mathematical Methods of Statistics
1 Applied Mathematical Finance
1 Journal of Nonparametric Statistics
1 Mathematical Problems in Engineering
1 Journal of Applied Statistics
1 Communications in Nonlinear Science and Numerical Simulation
1 Probability in the Engineering and Informational Sciences
1 Brazilian Journal of Probability and Statistics
1 Decisions in Economics and Finance
1 Computational Management Science
1 SIAM Journal on Financial Mathematics
1 Journal of Business and Economic Statistics
1 Japanese Journal of Statistics and Data Science
all top 5

Cited in 12 Fields

69 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
33 Statistics (62-XX)
22 Probability theory and stochastic processes (60-XX)
7 Numerical analysis (65-XX)
4 Calculus of variations and optimal control; optimization (49-XX)
2 Partial differential equations (35-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Biology and other natural sciences (92-XX)
1 General and overarching topics; collections (00-XX)
1 Combinatorics (05-XX)
1 Ordinary differential equations (34-XX)
1 Operations research, mathematical programming (90-XX)

Citations by Year