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Personal profile

Biography

Prof Pavel Shevchenko is a world renowned expert in the area of quantitative risk. He is a Professor in the Department of Actuarial Studies and Business Analytics at Macquarie University. Prior to joining Macquarie University in August 2016, he worked at CSIRO Australia (1999-2016) holding the position of a Senior Principal Research Scientist (2012-2016). Since 1999, Prof Shevchenko has worked in the area of financial risk, leading research and industry commercial projects on: modelling of operational and credit risks; longevity and mortality, retirement products; option pricing; insurance; modelling commodities and foreign exchange; and the development of relevant numerical methods and software. He received a MSc from the Moscow Institute of Physics and Technology in 1994 and a PhD from the University of New South Wales in 1999. He is currently associate editor of international journals (RISKS and Journal of Operational Risk) and member of the Retirement Incomes Working Group in the Institute of Actuaries of Australia. Prof Shevchenko has published extensively in academic journals, consulted for major financial institutions, and is a frequent presenter at industry and academic conferences.His publication records include one research monograph, two co-authored research monographs, over 60 journal papers, and over 80 technical reports.

GoogleScholar profile: http://scholar.google.com.au/citations?user=fizvQI4AAAAJ&hl=en&oi=ao

In Macquarie University, Prof Shevchenko is also

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Operational Risk Mathematics
Valuation Mathematics
Insurance Mathematics
Model Mathematics
Sequential Monte Carlo Mathematics
Modeling Mathematics
Pricing Mathematics
Operational risk Business & Economics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2016 2017

Frontiers in inference about risk

Shevchenko, P. & Penev, S.

23/08/16 → …

Project: Research

Research on Urban Intelligence

Shevchenko, P., Minami, K., Ames, M., Yamagata, Y., Murakami, D., Taniguchi, M., Kasuga, F., Peters, G. & Bagnarosa, G.

1/10/1631/03/17

Project: Research

Research Outputs 1995 2019

Cohort effects in mortality modelling: a Bayesian state-space approach

Fung, M. C., Peters, G. W. & Shevchenko, P. V., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 109-144 36 p.

Research output: Contribution to journalArticleResearchpeer-review

Cohort
Mortality
Modeling
Cohort effect
State space

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion

Penev, S., Shevchenko, P. V. & Wu, W., 1 Mar 2019, In : European Journal of Operational Research. 273, 2, p. 772-784 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Portfolio Selection
Standard deviation
Quantify
Uncertainty
Kullback-Leibler Divergence

Ageing population risks

Shevchenko, P. (ed.), 2018, Basel: Multidisciplinary Digital Publishing Institute (MDPI). 224 p.

Research output: Book/ReportEdited Book/AnthologyResearchpeer-review

Open Access
File
open access
edition

Special issue “ageing population risks”

Shevchenko, P. V., 1 Mar 2018, In : Risks. 6, 1, 2 p., 16.

Research output: Contribution to journalEditorialResearch

Open Access
File

Statistical machine learning analysis of cyber risk data: event case studies

Peters, G. W., Shevchenko, P. V., Cohen, R. D. & Maurice, D. R., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Fairman, D. & Freund, J. (eds.). United Kingdom: Risk Books, p. 75-99 25 p.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Machine learning
Insurance risk
Event risk
Taxonomy
Statistical methods

Activities 2010 2019

Financial Risk Day 2019

P. Shevchenko (Organiser)
2019

Activity: Participating in or organising an eventOrganising a conference, workshop, ...

Gareth Peters

P. Shevchenko (Host)
2019

Activity: Hosting a visitorHosting an academic visitor

Australasian Commodity Markets Conference (1st : 2017)

P. Shevchenko (Organiser)
2019

Activity: Participating in or organising an eventOrganising a conference, workshop, ...