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Research Outputs

2020

Which risk factors drive oil futures price curves?

Ames, M., Bagnarosa, G., Matsui, T., Peters, G. & Shevchenko, P. V., 17 Jan 2020, In : Energy Economics. 104676.

Research output: Contribution to journalArticle

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 journalArticle

On the parameter estimation in the Schwartz-Smith's two-factor model

Binkowski, K., He, P., Kordzakhia, N. & Shevchenko, P., 2019, Statistics and data science: Research School on Statistics and Data Science, RSSDS 2019 Melbourne, VIC, Australia, July 24–26, 2019 proceedings. Nguyen, H. (ed.). Singapore: Springer, Springer Nature, p. 226-237 12 p. (Communications in Computer and Information Science; vol. 1150).

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

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 journalArticle

1 Citation (Scopus)
2018

Ageing population risks

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

Research output: Book/ReportEdited Book/Anthology

Open Access
File
195 Downloads (Pure)

Special issue “ageing population risks”

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

Research output: Contribution to journalEditorial

Open Access
File
93 Downloads (Pure)

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 proceedingChapter

The Impact of management fees on the pricing of variable annuity guarantees

Sun, J., Shevchenko, P. V. & Fung, M. C., Sep 2018, In : Risks. 6, 3, 20 p., 103.

Research output: Contribution to journalArticle

Open Access
File

Understanding cyber-risk and cyber-insurance

Peters, G. W., Shevchenko, P. V. & Cohen, R. D., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Fairman, D. & Freund, J. (eds.). United Kingdom: Risk Books, p. 303-330 28 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades

Ames, M., Bagnarosa, G., Peters, G. W. & Shevchenko, P. V., Dec 2018, In : Journal of Forecasting. 37, 8, p. 805-831 27 p.

Research output: Contribution to journalArticle

2017

Actuarial applications and estimation of extended CreditRisk⁺

Hirz, J., Schmock, U. & Shevchenko, P. V., 2017, In : Risks. 5, 2, p. 1-29 29 p., 23.

Research output: Contribution to journalArticle

Open Access
File
21 Downloads (Pure)

Assessment of policy changes to means-tested age pension using the expected utility model: implication for decisions in retirement

Andreasson, J. & Shevchenko, P. V., 2017, In : Risks. 5, 3, p. 1-21 21 p., 47.

Research output: Contribution to journalArticle

Open Access
File
12 Downloads (Pure)

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

Fung, M. C., Peters, G. W. & Shevchenko, P. V., Sep 2017, In : Annals of Actuarial Science. 11, 2, p. 343-389 47 p.

Research output: Contribution to journalArticle

Open Access
File
12 Downloads (Pure)

Crunching mortality and life insurance portfolios with extended CreditRisk+

Hirz, J., Schmock, U. & Shevchenko, P., 2017, In : Risk. 2017, January, p. 98-103 6 p.

Research output: Contribution to journalArticle

Forecasting covariance for optimal carry trade portfolio allocations

Ames, M., Bagnarosa, G., Peters, G. W., Shevchenko, P. & Matsui, T., 16 Jun 2017, 2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017 - Proceedings. Institute of Electrical and Electronics Engineers (IEEE), p. 5910-5914 5 p. 7953290

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

Machine learning techniques for mortality modeling

Deprez, P., Shevchenko, P. V. & Wüthrich, M. V., 1 Dec 2017, In : European Actuarial Journal. 7, 2, p. 337-352 16 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)

Optimal consumption, investment and housing with means-tested public pension in retirement

Andréasson, J. G., Shevchenko, P. V. & Novikov, A., Jul 2017, In : Insurance: Mathematics and Economics. 75, p. 32-47 16 p.

Research output: Contribution to journalArticle

Open Access
4 Citations (Scopus)

Optimal exercise strategies for Operational Risk insurance via multiple stopping times

Targino, R. S., Peters, G. W., Sofronov, G. & Shevchenko, P. V., 2017, In : Methodology and Computing in Applied Probability. 19, 2, p. 487-518 32 p.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
9 Downloads (Pure)

Stochastic period and cohort effect state-space mortality models incorporating demographic factors via probabilistic robust principal components

Toczydlowska, D., Peters, G., Fung, M. C. & Shevchenko, P. V., 2017, In : Risks. 5, 3, p. 1-77 77 p., 42.

Research output: Contribution to journalArticle

Open Access
File

Valuation of barrier options using sequential Monte Carlo

Shevchenko, P. V. & del Moral, P., 1 Apr 2017, In : Journal of Computational Finance. 20, 4, p. 107-135 29 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)
3 Citations (Scopus)
2016

A Unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, P. & Luo, X., Sep 2016, In : Risks. 4, 3, p. 1-31 31 p., 22.

Research output: Contribution to journalArticle

Open Access
File
18 Downloads (Pure)

Historical backtesting of local volatility model using AUD/USD vanilla option

Ling, T. G. & Shevchenko, P. V., 1 Jan 2016, In : ANZIAM Journal. 57, 3, p. 319-338 20 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Peters, G. W., Shevchenko, P. V., Hassani, B. & Chapelle, A., 1 Sep 2016, In : Journal of Operational Risk. 11, 3, p. 1-49 49 p.

Research output: Contribution to journalArticle

17 Citations (Scopus)

Standardized Measurement Approach for Operational risk: Pros and Cons

Peters, G. W., Shevchenko, P. V., Hassani, B. & Chapelle, A., 4 Jun 2016, Basel, Switzerland: Bank for International Settlements. 18 p.

Research output: Book/ReportCommissioned report

2015

Advances in heavy tailed risk modeling: a handbook of operational risk

Peters, G. W. & Shevchenko, P. V., 2015, Hoboken, New Jersey: John Wiley & Sons. 627 p. (Wiley handbooks in financial engineering and econometrics)

Research output: Book/ReportBook

17 Citations (Scopus)

A State-space estimation of the Lee-Carter mortality model and implications for annuity pricing

Fung, M. C., Peters, G. W. & Shevchenko, P. V., 2015, MODSIM 2015: 21st International Congress on Modelling and Simulation : Proceedings. Weber, T., McPhee, M. & Anderssen, R. (eds.). Canberra: Modelling & Simulation Society Australia & New Zealand, p. 952-958 7 p. (Proceedings - 21st International Congress on Modelling and Simulation, MODSIM 2015).

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

3 Citations (Scopus)

Forecasting leading death causes in Australia using extended CreditRisk+

Shevchenko, P. V., Hirz, J. & Schmock, U., 2015, MODSIM2015: 21st International Congress on Modelling and Simulation : Proceedings. Weber, T., McPhee, M. & Anderssen, R. (eds.). Canberra, ACT: Modelling & Simulation Society Australia & New Zealand, p. 966-972 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

1 Citation (Scopus)

From 'funny time, funny money' to realistic labour times

Luo, X., Shevchenko, P. V. & Sayer, B., 1 Dec 2015, In : The Mathematical Scientist. 40, 2, p. 118-127 10 p.

Research output: Contribution to journalArticle

Fundamental aspects of operational risk and insurance analytics: a handbook of operational risk

Cruz, M. G., Peters, G. W. & Shevchenko, P. V., 2015, Hoboken, NJ: John Wiley & Sons. 899 p.

Research output: Book/ReportBook

45 Citations (Scopus)

Holder-extendible European option: corrections and extensions

Shevchenko, P. V., Apr 2015, In : ANZIAM Journal. 56, 4, p. 359-372 14 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Operational risk

Shevchenko, P. V., 2015, Investment risk management. Baker, H. K. & Filbeck, G. (eds.). New York, NY: Oxford University Press, p. 119-140 22 p. (Financial markets and investments series).

Research output: Chapter in Book/Report/Conference proceedingChapter

Pricing TARNs using a finite difference method

Luo, X. & Shevchenko, P. V., 1 Sep 2015, In : Journal of Derivatives. 23, 1, p. 62-72 11 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Targino, R. S., Peters, G. W. & Shevchenko, P. V., 1 Mar 2015, In : Insurance: Mathematics and Economics. 61, p. 206-226 21 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)
13 Citations (Scopus)

Variable Annuity with GMWB: surrender or not, that is the question

Luo, X. & Shevchenko, P. V., 2015, MODSIM2015: 21st International Congress on Modelling and Simulation : Proceedings. Weber, T., McPhee, M. & Anderssen, R. (eds.). Canberra, ACT: Modelling & Simulation Society Australia & New Zealand, p. 959-965 7 p. (Proceedings - 21st International Congress on Modelling and Simulation, MODSIM 2015).

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

6 Citations (Scopus)
2014

Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation

Luo, X. & Shevchenko, P. V., 2014, In : Journal of financial engineering. 1, 4, p. 1450033-1-1450033-31 31 p.

Research output: Contribution to journalArticle

2013

Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts

Peters, G. W., Briers, M., Shevchenko, P. & Doucet, A., Dec 2013, In : Methodology and Computing in Applied Probability. 15, 4, p. 841-874 34 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)
49 Citations (Scopus)

Markov Chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor

Luo, X. & Shevchenko, P. V., 1 Sep 2013, In : Journal of Credit Risk. 9, 3, p. 41-76 36 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

Understanding operational risk capital approximations: first and second orders

Peters, G. W., Targino, R. S. & Shevchenko, P. V., 2013, In : Journal of Governance and Regulation. 2, 3, p. 58-78 21 p.

Research output: Contribution to journalArticle

When to bite the bullet? - A study of optimal strategies for reducing global warming

Luo, X. & Shevchenko, P. V., 2013, MODSIM 2013: Proceedings of the 20th International Congress On Modelling And Simulation. Piantadosi, J., Anderssen, R. & Boland, J. (eds.). Canberra, ACT: Modelling and Simulation Society of Australia and New Zealand, p. 1447-1453 7 p. (Proceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013).

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

2012

Bayesian model choice of grouped t-copula

Luo, X. & Shevchenko, P. V., 2012, In : Methodology and Computing in Applied Probability. 14, 4, p. 1097-1119 23 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2011
14 Citations (Scopus)

A short tale of long tail integration

Luo, X. & Shevchenko, P. V., Apr 2011, In : Numerical Algorithms. 56, 4, p. 577-590 14 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)

A structured model for estimation of automotive paint labour times

Luo, X., Shevchenko, P. V., Sayer, B., Blackhall, W. & Coelho, C., 2011, In : ANZIAM Journal. 53, SUPPL, p. C422-C436 15 p.

Research output: Contribution to journalArticle

Dependent default and recovery: Markov Chain Monte Carlo study of downturn loss given default credit risk model

Shevchenko, P. V. & Luo, X., 2011, In : ANZIAM Journal. 53, SUPPL, p. C185-C202 18 p.

Research output: Contribution to journalArticle

Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?

Peters, G. W., Byrnes, A. D. & Shevchenko, P. V., Mar 2011, In : Insurance: Mathematics and Economics. 48, 2, p. 287-303 17 p.

Research output: Contribution to journalArticle

14 Citations (Scopus)

Modelling operational risk using Bayesian inference

Shevchenko, P. V., 2011, Berlin; Heidelberg: Springer, Springer Nature. 302 p.

Research output: Book/ReportBook

48 Citations (Scopus)