Projects per year
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 80 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
- Director, Risk Analytics Lab (since 2016) www.mq.edu.au/research/risk-lab
- Co-Director, Centre for Financial Risk (since 2017) www.mq.edu.au/research/centre-for-risk-analytics
Research Areas :
- risk management
- financial and insurance mathematics
- integrated climate-economy models
- operational risk, credit risk, portfolio asset allocation
- pricing financial derivatives
- mortality modelling and retirement income products
- claims reserving, modelling commodities and FX markets
- modelling extreme events, dependence modelling, state-space models
- Monte Carlo methods, optimal stochastic control, machine learning
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Collaborations and top research areas from the last five years
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Optimal decision making for risk mitigation of natural hazards using real options
Shevchenko, P. (Primary Chief Investigator), Prakash, M. (Chief Investigator), Trueck, S. (Chief Investigator) & Truong, C. (Chief Investigator)
1/11/17 → …
Project: Research
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Data analysis – an enhanced toolkit for Actuaries
Lee, M. (Other) & Shevchenko, P. (Other)
1/03/21 → 17/05/21
Project: Other
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Quantification of cyber risk and its driving risk factors: Optus-Macquarie Cybersecurity Hub
Shevchenko, P. (Primary Chief Investigator), Trueck, S. (Primary Chief Investigator), Jang, J. (Chief Investigator), Sofronov, G. (Chief Investigator), Malavasi, M. (Research Assistant) & Peters, G. (Chief Investigator)
1/06/20 → 1/06/21
Project: Research
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MQCSH: Macquarie University Cyber Security Hub
Kaafar, D. (Primary Chief Investigator), Selvadurai, N. (Primary Chief Investigator), Wiggins, M. (Primary Chief Investigator), Sheedy, E. (Primary Chief Investigator), Asghar, H. (Chief Investigator), Ikram, M. (Chief Investigator), Shevchenko, P. (Chief Investigator), Berkovsky, S. (Chief Investigator), Bayl-Smith, P. (Chief Investigator), Zhang, X. (Chief Investigator), Yang, J. (Chief Investigator), Modabber-Moghadam, S. (Coordinating Investigator) & Goldbarsht, D. (Project Leader)
2/12/16 → 30/06/23
Project: Research
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Research on Urban Intelligence
Shevchenko, P. (Primary Chief Investigator), Minami, K. (Chief Investigator), Ames, M. (Chief Investigator), Yamagata, Y. (Chief Investigator), Murakami, D. (Chief Investigator), Taniguchi, M. (Chief Investigator), Kasuga, F. (Chief Investigator), Peters, G. (Chief Investigator) & Bagnarosa, G. (Chief Investigator)
1/10/16 → 31/03/17
Project: Research
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Cyber risk taxonomies: statistical analysis of cybersecurity risk classifications
Malavasi, M., Peters, G. W., Trück, S., Shevchenko, P. V., Jang, J. & Sofronov, G., Jan 2026, In: Insurance: Mathematics and Economics. 126, p. 1-16 16 p., 103167.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Fair pricing and reserving of variable annuities with guarantees under the benchmark approach
Fergusson, K., Sun, J., Platen, E. & Shevchenko, P. V., 6 Sept 2025, (E-pub ahead of print) In: Scandinavian Actuarial Journal. 34 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Importance sampling for option pricing with feedforward neural networks
Arandjelović, A., Rheinländer, T. & Shevchenko, P. V., Jan 2025, In: Finance and Stochastics. 29, 1, p. 97-141 45 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile14 Downloads (Pure) -
Parsimonious feature extraction methods: extending robust probabilistic projections with generalized Skew-t
Toczydlowska, D., Peters, G. W. & Shevchenko, P. V., Nov 2025, In: Journal of the Franklin Institute.Research output: Contribution to journal › Article › peer-review
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PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures
He, P., Kordzakhia, N., Peters, G. W. & Shevchenko, P. V., 3 Oct 2025, In: Journal of Open Research Software. 13, 1, p. 1-11 11 p., 21.Research output: Contribution to journal › Article › peer-review
Open AccessFile6 Downloads (Pure)
Prizes
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Go for Growth Award from CSIRO Mathematical and Information Sciences
Shevchenko, P. (Recipient), 2007
Prize
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Activities
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Entropy (Journal)
Matsui, T. (Editor), Shevchenko, P. (Editor), Peters, G. (Editor) & Septier, F. (Editor)
2023 → …Activity: Peer-review and editorial of research outputs › Editorial work
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Entropy (Journal)
Matsui, T. (Editor), Shevchenko, P. (Editor), Peters, G. W. (Editor) & Septier, F. (Editor)
2023Activity: Peer-review and editorial of research outputs › Editorial work
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Financial Risk Day 2021
Sheen, J. (Organiser), Shevchenko, P. (Organiser) & Trueck, S. (Organiser)
30 Apr 2021Activity: Participating in or organising an event › Organising a conference, workshop or event series
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Optimal Annuitisation, Housing, Consumption, and Investment in Retirement under Expected Utility Stochastic Control Framework
Shevchenko, P. (Speaker)
4 Dec 2020Activity: Talk or presentation › Invited talk
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The Institute of Statistical Mathematics (External organisation)
Shevchenko, P. (Member)
2020 → 2021Activity: Membership › Membership of board