Pavel V. Shevchenko

Macquarie University - Department of Actuarial Studies and Business Analytics

SCHOLARLY PAPERS

70

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111

CROSSREF CITATIONS

157

Scholarly Papers (70)

1.
Downloads 914 ( 31,942)
Citation 4

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko and Ruben Cohen
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and Independent
Downloads 612 (54,188)
Citation 5

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Fi nancial technology (FinTech), risk management, cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, information technology risk, business disruption

Understanding Cyber Risk and Cyber Insurance

Number of pages: 30 Posted: 07 Nov 2017 Last Revised: 05 Mar 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 302 (125,086)
Citation 2

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cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, Information Technology risk, business disruption

2.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 778 (39,831)
Citation 2

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3.

Machine Learning Techniques for Mortality Modeling

Number of pages: 16 Posted: 23 Feb 2017
Philippe Deprez, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zürich - Department of Mathematics, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 479 (74,402)
Citation 6

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mortality modeling, cause-of-death mortality, machine learning, boosting, regression

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 254 (149,776)
Citation 1

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Cyber Risk, Cyber Crime, Operational Risk, Cyber Insurance, Kernel K-Means, Clustering, Cyber Empirical Studies

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 94 (341,598)
Citation 9

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cyber risk, cyber crime, operational risk, cyber insurance, machine learning, k-means clustering method

5.

The t Copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management

Quantitative Finance, Vol. 10, No. 9, pp. 1039-1054, 2010
Number of pages: 31 Posted: 15 Jan 2009 Last Revised: 31 Oct 2010
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 310 (122,278)
Citation 1

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grouped t copula, tail dependence, risk management

6.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
ResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 294 (129,395)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

7.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
ResilientML, ESC Rennes School of Business, Independent, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 282 (135,194)
Citation 1

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Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure

8.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
ResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 248 (153,956)
Citation 1

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

9.

The Structural Modelling of Operational Risk Via Bayesian Inference: Combining Loss Data with Expert Opinions

The Journal of Operational Risk 1(3), pp. 3-26, 2006
Number of pages: 26 Posted: 24 Nov 2014
Pavel V. Shevchenko and Mario V. Wuthrich
Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 244 (156,328)
Citation 3

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operational risk, loss distribution approach, Bayesian inference, Basel II Advanced Measurement Approaches, compound process, quantitative risk management

10.

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

The Journal of Operational Risk 2(3), pp.3-27, 2007.
Number of pages: 30 Posted: 24 Nov 2014
Dominik Lambrigger, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zürich, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 239 (159,546)
Citation 1

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Operational Risk, Basel II, Loss Distribution Approach, Bayesian inference, Advanced Measurement Approach, Quantitative Risk Management, generalized inverse Gaussian distribution

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 199 (189,549)
Citation 8

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Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
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operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

12.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 173 (214,568)
Citation 2

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 44 Posted: 31 Jan 2017 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 108 (311,202)
Citation 5

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mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 44 Posted: 17 Apr 2018 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 56 (458,142)

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mortality modelling, cohort features, state-space model, Bayesian inference, Markov chain Monte Carlo

14.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko and Gareth Peters
Macquarie University - Department of Actuarial Studies and Business Analytics and University of California Santa Barbara
Downloads 160 (229,303)
Citation 2

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operational risk; loss distribution approach; Basel II

15.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 149 (243,363)

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dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

A bias-corrected Least-Squares Monte Carlo for solving multi-period utility models

Number of pages: 34 Posted: 14 Jun 2017 Last Revised: 03 Jun 2021
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 84 (366,835)

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Dynamic Programming, Stochastic Control, Optimal Policy, Lifecycle Modelling

Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 30 Posted: 20 Jun 2018 Last Revised: 23 Dec 2018
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 32 (573,265)
Citation 3

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Dynamic programming, Least-Squares Monte Carlo, control randomisation, stochastic control, lifecycle modelling

17.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance 2015
Number of pages: 30 Posted: 24 Nov 2014 Last Revised: 25 Jul 2015
Pavel V. Shevchenko and Pierre Del Moral
Macquarie University - Department of Actuarial Studies and Business Analytics and INRIA Bordeaux-Sud Ouest
Downloads 114 (297,843)
Citation 3

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Sequential Monte Carlo, particle methods, Feynman-Kac representation, barrier options, Monte Carlo, option pricing

18.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
School of Mathematical and Physical Sciences, University of Technology Sydney, University of California Santa Barbara, Commonwealth Bank of Australia and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 111 (303,498)
Citation 1

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Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

19.

Optimal Life-Cycle Consumption and Investment Decisions Under Age-Dependent Risk Preferences

A. Lichtenstern, P.V.Shevchenko, R. Zagst (2020). Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics. DOI 10.1007/s11579-020-00276-9.
Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 31 Jul 2020
Andreas Lichtenstern, Pavel V. Shevchenko and Rudi Zagst
Technische Universität München (TUM) - Chair of Mathematical Finance, Macquarie University - Department of Actuarial Studies and Business Analytics and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 106 (313,352)

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optimal life-cycle consumption and investment, time-varying risk aversion, HARA utility function, martingale method

20.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 103 (319,493)
Citation 6

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mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 67 (417,976)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University of California Santa Barbara, University College London - Department of Statistical Science and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 35 (555,892)
Citation 5

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Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

22.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 99 (327,863)
Citation 8

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Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

23.

Fast and Simple Method for Pricing Exotic Options Using Gauss-Hermite Quadrature on a Cubic Spline Interpolation

Journal of Financial Engineering, Vol. 1, No. 4 (31 pages), 2014. DOI: 10.1142/S2345768614500330
Number of pages: 32 Posted: 01 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 94 (338,972)
Citation 3

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exotic options, Gauss-Hermite quadrature, cubic spline, finite difference method, American option, Bermudan option, target accumulation redemption note

24.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015 Last Revised: 01 May 2017
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 87 (355,753)

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stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

25.

A 'Toy' Model for Operational Risk Quantification Using Credibility Theory

The Journal of Operational Risk 2(1), pp. 3-19, 2007
Number of pages: 18 Posted: 24 Nov 2014
Hans BuŸhlmann, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathmatics, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 86 (358,271)

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quantitative risk management, operational risk, loss distribution approach, credibility theory, combining different data sources, Basel II Advanced Measurement Approaches

26.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth Peters, Mario V. Wuthrich and Pavel V. Shevchenko
University of California Santa Barbara, RiskLab, ETH Zurich and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 85 (360,859)
Citation 1

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claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

27.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters, Georgy Sofronov and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbara, Macquarie University - Department of Statistics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 81 (371,348)

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Multiple stopping rules, Operational risk, Insurance

28.

Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling

The Journal of Computational Finance 6(3), pp.1-20, 2003.
Number of pages: 20 Posted: 23 Nov 2014
Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 75 (388,224)

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Monte Carlo simulation, extreme values, Brownian Bridge, multi-asset barrier option, multi-variate joint distribution, Fréchet bounds

29.

Quantification of Cyber Risk – Risk Categories and Business Sectors

Number of pages: 23 Posted: 11 Jun 2021 Last Revised: 29 Jun 2021
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, Macquarie Business School, Macquarie University - Department of Applied Finance and Actuarial Studies, University of California Santa Barbara, Macquarie University - Department of Statistics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 71 (400,181)

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30.

Optimal annuitisation, housing and reverse mortgage in retirement in the presence of means-tested public pension

Number of pages: 36 Posted: 14 Jun 2017 Last Revised: 19 May 2021
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 69 (406,375)
Citation 1

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

31.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth Peters, Aaron Byrnes and Pavel V. Shevchenko
University of California Santa Barbara, University of New South Wales (UNSW) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 68 (409,554)
Citation 4

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Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

32.

Implementing Loss Distribution Approach for Operational Risk

Applied Stochastic Models in Business and Industry 26(3), pp. 277-307, 2010
Number of pages: 38 Posted: 22 Jan 2009 Last Revised: 04 Nov 2014
Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 62 (429,484)

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operational risk, loss distribution approach, Bayesian inference, dependence modeling, Basel II

33.

Optimal Consumption, Investment and Housing with Means-Tested Public Pension in Retirement

Number of pages: 28 Posted: 28 Jun 2016 Last Revised: 06 May 2018
Johan Andreasson, Pavel V. Shevchenko and Alex Novikov
University of Technology Sydney (UTS), Macquarie University - Department of Actuarial Studies and Business Analytics and University of Technology Sydney (UTS)
Downloads 59 (440,088)
Citation 5

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Dynamic programming, Stochastic control, Optimal policy, Retirement, Means-tested age pension, Defined contribution pension

34.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Stochastic Interest Rate

Number of pages: 32 Posted: 11 Feb 2016 Last Revised: 15 Jan 2017
Pavel V. Shevchenko and Xiaolin Luo
Macquarie University - Department of Actuarial Studies and Business Analytics and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 58 (443,726)
Citation 3

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Variable Annuity, Stochastic Interest Rate, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, products for retirees

35.

Pricing TARN Using a Finite Difference Method

Journal of Derivatives, Vol. 23, No. 1, pages 62-72, 2015
Number of pages: 17 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 55 (454,814)
Citation 1

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Target Accumulation Redemption Note, option pricing, finite difference, Monte Carlo

36.

Markov Chain Monte Carlo Estimation of Default and Recovery: Dependent via the Latent Systematic Factor

Journal of Credit Risk 9(3), pp. 41-76, 2013
Number of pages: 39 Posted: 01 Nov 2014 Last Revised: 04 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 53 (462,272)
Citation 1

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parameter uncertainty, probability of default, loss given default, economic capital, Markov chain Monte Carlo, Bayesian inference, credit risk

37.

Infection Rate Models for COVID-19: Model Risk and Public Health News Sentiment Exposure Adjustments.

Number of pages: 34 Posted: 14 Apr 2021
Ioannis Chalkiadakis, Hongxuan Yan, Gareth Peters and Pavel V. Shevchenko
Heriot-Watt University - Department of Computer Science, The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 52 (466,174)

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COVID-19, GLARMA, growth models, model risk, natural language processing, sentiment analysis

38.

A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Number of pages: 23 Posted: 13 May 2017
Jin Sun, Pavel V. Shevchenko and Simon Man Chung Fung
University of Technology Sydney (UTS), Macquarie University - Department of Actuarial Studies and Business Analytics and Commonwealth Bank of Australia
Downloads 48 (482,361)
Citation 1

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Variable Annuity Guarantees, Guaranteed Minimum Withdrawal Benefits, Management Fees, Stochastic Optimal Control, PDE, Finite Difference

39.

Variable Annuity with GMWB: Surrender Or Not, That Is the Question

Number of pages: 7 Posted: 26 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 44 (499,853)
Citation 4

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Variable annuity, optimal stochastic control, optimal stopping time, bang-bang control, Guaranteed Minimum Withdrawal Benefit, surrender option, Gauss-Hermite quadrature, cubic spline

40.

Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Optimal Withdrawal Strategy

International Journal of Financial Engineering 2(3), [26 pages], 2015, DOI: 10.1142/S2424786315500243
Number of pages: 24 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 43 (504,320)
Citation 4

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Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Gauss-Hermite Quadrature, Cubic Spline

41.

Crunching Mortality and Life Insurance Portfolios with Extended CreditRisk

Number of pages: 19 Posted: 19 Jan 2016 Last Revised: 20 Dec 2016
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 42 (508,829)
Citation 1

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Stochastic mortality, mortality trends, cohort effects, extended CreditRisk, Markov chain Monte Carlo, regularisation via prior distribution, risk aggregation, annuity portfolios, partial internal model, underwriting risk module

42.

From 'Funny Time, Funny Money' to Realistic Labour Times

Applied Probability Trust: The Mathematical Scientist 40 (2), 2015
Number of pages: 13 Posted: 22 Sep 2014 Last Revised: 06 Dec 2015
Xiaolin Luo, Pavel V. Shevchenko and Brad Sayer
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Macquarie University - Department of Actuarial Studies and Business Analytics and Insurance Australia Group
Downloads 41 (513,512)

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motor vehicle insurance, smash repair, paint labour time, New Times and Rates (NTAR) system, linear regression

43.

Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in Retirement

Number of pages: 21 Posted: 05 Jun 2017 Last Revised: 15 Sep 2017
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 40 (518,228)
Citation 2

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

44.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Insurance: Mathematics and Economics, Vol. 62 (2015), pp. 5-15
Number of pages: 31 Posted: 21 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 38 (527,947)
Citation 6

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Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Guaranteed Minimum Death Benefit, Mortality Risk

45.

Historical Backtesting of Local Volatility Model Using AUD/USD Vanilla Options

Number of pages: 23 Posted: 07 Dec 2015
Timothy Ling and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 37 (532,777)

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local volatility model, backtesting, model validation, foreign exchange options, implied volatility

46.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Gareth Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 36 (537,908)

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Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

47.

Optimal Annuitisation, Housing Decisions and Means-Tested Public Pension in Retirement Under Expected Utility Stochastic Control Framework

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 30 Posted: 21 May 2018 Last Revised: 23 Dec 2018
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 35 (543,101)
Citation 3

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Dynamic programming, stochastic control, optimal policy, retirement, means-tested age pension, defined contribution pension

48.

A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework

P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
Number of pages: 37 Posted: 03 May 2016 Last Revised: 02 May 2017
Pavel V. Shevchenko and Xiaolin Luo
Macquarie University - Department of Actuarial Studies and Business Analytics and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 31 (564,651)
Citation 3

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variable annuity, guaranteed living and death benefits, guaranteed minimum accumulation benefit, optimal stochastic control, direct integration method

49.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 18 Posted: 16 Jan 2019
ResilientML, ESC Rennes School of Business, Independent, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 30 (570,397)

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

50.

Forecasting Leading Death Causes in Australia Using Extended CreditRisk+

Number of pages: 7 Posted: 27 Jul 2015
Pavel V. Shevchenko, Jonas Hirz and Uwe Schmock
Macquarie University - Department of Actuarial Studies and Business Analytics, Boston Consulting Group and TU Wien
Downloads 24 (608,185)
Citation 4

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Extended CreditRisk, stochastic mortality model, life tables, annuity portfolios, life insurance portfolios, longevity risk, risk management, estimation of extended CreditRisk, Markov chain

51.

The 2015-2017 Policy Changes to the Means-Tests of Australian Age Pension: Implication to Decisions in Retirement

Number of pages: 18 Posted: 28 Nov 2016
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 20 (635,758)

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

52.

Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t

Number of pages: 39 Posted: 12 Nov 2020
Dorota Toczydlowska, Gareth Peters and Pavel V. Shevchenko
School of Mathematical and Physical Sciences, University of Technology Sydney, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 18 (650,090)

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Probabilistic PCA; Feature Extraction; EM Algorithm; Robust Orthogonal Projections; Asymmetric T-Copulas; Skew T-Copula; Grouped T-Copula; Missing Data; Tail Dependence; Dependence Modelling; Cryptocurrencies

53.

Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach

Number of pages: 22 Posted: 13 Jun 2019
Jin Sun, Kevin Fergusson, Eckhard Platen and Pavel V. Shevchenko
University of Technology Sydney (UTS), University of Melbourne - Centre for Actuarial Studies, University of Technology, Sydney (UTS) - Finance Discipline Group and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 16 (664,402)

Abstract:

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variable annuity guarantee, stochastic optimal control, stochastic reserve, benchmark approach

54.

Bayesian Model Choice of Grouped T-Copula

Methodology and Computing in Applied Probability 14(4), pp. 1097-1119, 2012, DOI 10.1007/s11009-011-9220-4
Number of pages: 37 Posted: 29 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 16 (664,402)
Citation 1

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grouped t¡copula, dependence modeling, Bayesian model choice, Markov chain Monte Carlo, foreign exchange

55.

Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market

Number of pages: 24 Posted: 25 Mar 2019
Jin Sun, Ryle Perera and Pavel V. Shevchenko
University of Technology Sydney (UTS), Macquarie University and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 13 (687,154)

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optimal stochastic control, durable goods, jump-diffusion market, insurance, optimal impulse control, intervention value, stopping time iteration

56.

The Impact of Model Risk on Dynamic Portfolio Selection Under Multi-Period Mean-Standard-Deviation Criterion

European Journal of Operational Research (2018), doi: 10.1016/j.ejor.2018.08.026
Number of pages: 33 Posted: 13 Oct 2018
Spiridon Penev, Pavel V. Shevchenko and Wei Wu
University of New South Wales (UNSW) - School of Mathematics, Macquarie University - Department of Actuarial Studies and Business Analytics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 13 (687,154)

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Uncertainty Modelling, Robust Portfolio Allocation, Multivariate Statistics, Pseudo Dynamic Programming, Mean-Standard-Deviation, Kullback-Leibler Divergence

57.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 13 (687,154)
Citation 7

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stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

58.

On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model

Binkowski K., He P., Kordzakhia N., Shevchenko P. (2019) On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model. In: Nguyen H. (eds) Statistics and Data Science. RSSDS 2019. Communications in Computer and Information Science, vol 1150. Springer, Singapore. https://doi.org/10.1007/978-9
Number of pages: 14 Posted: 02 Sep 2021
Karol Binkowski, Peilun He, Nino Kordzakhia and Pavel V. Shevchenko
Macquarie University, Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 6 (742,175)

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Kalman Filter, parameter estimation, partially observed linear system

59.

Myopic Robust Index Tracking with Bregman Divergence

Quantitative Finance 2021, https://doi.org/10.1080/14697688.2021.1950918
Number of pages: 26 Posted: 27 Aug 2021
Spiridon Penev, Pavel V. Shevchenko and Wei Wu
University of New South Wales (UNSW) - School of Mathematics, Macquarie University - Department of Actuarial Studies and Business Analytics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 6 (750,015)

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60.

Организация и технологии антикризисного социального управления (Organization and Techniques of Crisis Management)

Number of pages: 285 Posted: 16 Jun 2020
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Institute of Public Administration and Management, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), affiliation not provided to SSRN, Russian Presidential Academy of National Economy and Public Administration, affiliation not provided to SSRN, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and Macquarie University - Department of Actuarial Studies and Business Analytics
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АНТИКРИСНОЕ СОЦИАЛЬНОЕ УПРАВЛЕНИЕ, CRISIS SOCIAL MANAGEMENT, СОЦИАЛЬНОЕ УПРАВЛЕНИЕ, SOCIAL MANAGEMENT, ДИАГНОСТИКА КРИЗИСНЫХ ПРОЦЕССОВ, DIAGNOSIS OF THE CRISIS PROCESSES, ИНФОРМАЦИОННЫЕ МЕХАНИЗМЫ УПРАВЛЕНИЯ, INFORMATION MECHANISMS OF MANAGEMENT, СОЦИАЛЬНОЕ ПАРТНЕРСТВО, SOCIAL PARTNERSHIP,

61.

On Modelling of Crude Oil Futures in a Bivariate State-Space Framework

He P., Binkowski K., Kordzakhia N., Shevchenko P. (2020) On Modelling of Crude Oil Futures in a Bivariate State-Space Framework. In: M. Corazza et al. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, https://doi.org/10.1007/978-3-030-78965-7_40
Number of pages: 6 Posted: 04 Aug 2021
Peilun He, Karol Binkowski, Nino Kordzakhia and Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, Macquarie University and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 4 (757,751)

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Kalman Filter, Kalman Smoother, state-space model, crude oil futures

62.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 04 Oct 2016
Pavel V. Shevchenko and Pierre Del Moral
Macquarie University - Department of Actuarial Studies and Business Analytics and Centre de Recherche Inria Bordeaux
Downloads 2 (775,309)
Citation 9
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monte carlo, option pricing, barrier options

63.

(Anti-Crisis Social Strategies) Антикризисные Социальные Стратегии

(2004) Moscow: Prospect) DOI 10.18411/Vasilenko-2-15.
Posted: 27 Apr 2020
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Institute of Public Administration and Management, affiliation not provided to SSRN, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Macquarie University - Department of Actuarial Studies and Business Analytics, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and affiliation not provided to SSRN

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Crisis, АНТИКРИЗИСНОЕ УПРАВЛЕНИЕ, Crisis Management, СТРАТЕГИЯ, Strategy, ТАКТИКА, Tactics, СОЦИАЛЬНО-ЭКОНОМИЧЕКАЯ СТРАТЕГИЯ, Socio-economic Strategy, ИНФОРМАЦИОННАЯ СТРАТЕГИЯ, Information Strategy, ЭКОЛОГИЧЕСКАЯ СТРАТЕГИЯ, Environmental Strategy, ДЕМОГРАФИЧЕСКАЯ СТРАТЕГИЯ, Demographic Strategy

64.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth Peters and Pavel V. Shevchenko
University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

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operational risk, insurance, heavy tailed risk modelling

65.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo Cruz, Gareth Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

Abstract:

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operational risk, insurance, risk modelling

66.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Gareth Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
University of California Santa Barbara, QinetiQ Ltd, Macquarie University - Department of Actuarial Studies and Business Analytics and University of Cambridge - Department of Engineering

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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

67.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich

Abstract:

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Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

68.

Modelling Operational Risk Using Bayesian Inference

Springer, Berlin, 2011
Posted: 07 Sep 2011 Last Revised: 29 Nov 2014
Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics

Abstract:

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Operational risk, Quantitative risk management, Bayesian inference, Loss distribution approach, Markov chain Monte Carlo

69.

Estimation of Operational Risk Capital Charge under Parameter Uncertainty

The Journal of Operational Risk, Vol. 3, No. 1, pp. 51-63, Spring 2008
Posted: 15 Jan 2009
Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics

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quantitative risk management, operational risk, loss distribution approach, Bayesian inference, parameter uncertainty, Basel II

70.

Addressing Impact of Truncation and Parameter Uncertainty on Operational Risk Estimates

The Journal of Operational Risk, Vol. 2, No. 4, pp. 3-26, 2007
Posted: 15 Jan 2009 Last Revised: 04 Nov 2014
Xiaolin Luo, Pavel V. Shevchenko and John Donnelly
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Macquarie University - Department of Actuarial Studies and Business Analytics and affiliation not provided to SSRN

Abstract:

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operational risk, truncated data, Poisson-Lognormal compound distribution, loss distribution approach