Concepedia

Katja Ignatieva

KI

22

Publications

499

Citations

15

H-Index

2009

Active since

Affiliations

UNSW Sydney(Current)

Australian Institute of Business

Macquarie University

Carmel (Israel)

Auckland University of Technology

Katja Ignatieva is an author at UNSW Sydney specializing in finance, business, and economics.

Top concepts

FinanceBusinessEconomicsAsset PricingManagementEngineeringEconomic AnalysisStatisticsRisk ManagementVolatility Modeling

Publications per year

2009–2021

22

Publications

22

Modeling spot price dependence in Australian electricity markets with applications to risk management

Katja Ignatieva, Stefan Trück · Computers & Operations Research · 2015 · 77 citations

Power Market, Economics, Engineering +10

Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

Man Chung Fung, Katja Ignatieva, Michael Sherris · Insurance Mathematics and Economics · 2014 · 52 citations

Health Policy, Financial Risk Management, Risk Management +8

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Katja Ignatieva, Zinoviy Landsman · Insurance Mathematics and Economics · 2015 · 28 citations

Engineering, Risk Management, Rare Event Estimation +9

Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

Katja Ignatieva, Andrew Song, Jonathan Ziveyi · Insurance Mathematics and Economics · 2016 · 28 citations

Minimum Benefits, Economics, Dynamic Economics +13

Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market

José Da Fonseca, Katja Ignatieva · Journal of Banking & Finance · 2018 · 28 citations

Affine Jump-diffusion Models, Economics, Asset Pricing +9

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