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Research Outputs

Article

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
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21 Downloads (Pure)

Addressing impact of truncation and parameter uncertainty on operational risk estimates

Luo, X., Shevchenko, P. V. & Donnelly, J. B., 2007, In : Journal of Operational Risk. 2, 4, p. 3-26 24 p.

Research output: Contribution to journalArticle

Open Access
14 Citations (Scopus)

A new type of collective excitation in two condensate cuprates

Shevchenko, P. V. & Sushkov, O. P., Oct 1998, In : Superconductor Science and Technology. 11, 10, p. 1190-1192 3 p.

Research output: Contribution to journalArticle

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)

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
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13 Downloads (Pure)

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

A "toy" model for operational risk quantification using credibility theory

Bühlmann, H., Shevchenko, P. V. & Wüthrich, M. V., 2007, In : Journal of Operational Risk. 2, 1, p. 3-19

Research output: Contribution to journalArticle

Open Access

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
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13 Downloads (Pure)

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
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18 Downloads (Pure)

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

3 Citations (Scopus)
10 Citations (Scopus)

Calculation of aggregate loss distributions

Shevchenko, P. V., 2010, In : Journal of Operational Risk. 5, 2, p. 3-40 38 p.

Research output: Contribution to journalArticle

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)

Chain ladder method: Bayesian bootstrap versus classical bootstrap

Peters, G. W., Wüthrich, M. V. & Shevchenko, P. V., Aug 2010, In : Insurance: Mathematics and Economics. 47, 1, p. 36-51 16 p.

Research output: Contribution to journalArticle

20 Citations (Scopus)

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

Computing tails of compound distributions using direct numerical integration

Luo, X. & Shevchenko, P., 2009, In : Journal of Computational Finance. 13, 2, p. 73-111 39 p.

Research output: Contribution to journalArticle

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

Data combination under Basel II and Solvency 2: operational risk goes bayesian

Lambrigger, D. D., Shevchenko, P. V. & Wüthrich, M. V., 2008, In : BULLETIN FRANÇAIS D’ACTUARIAT. 8, 16, p. 4-13 10 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

60 Citations (Scopus)

Dynamic operational risk: modeling dependence and combining different sources of information

Peters, G., Shevchenko, P. & Wüthrich, M., 2009, In : Journal of Operational Risk. 4, 2, p. 69-104 36 p.

Research output: Contribution to journalArticle

Equilibrium and oscillations of grains in the dust-plasma crystal

Vladimirov, S. V., Cramer, N. F. & Shevchenko, P. V., Dec 1999, In : Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics. 60, 6 B, p. 7369-7373 5 p.

Research output: Contribution to journalArticle

51 Citations (Scopus)

Estimation of operational risk capital charge under parameter uncertainty

Shevchenko, P. V., 2008, In : Journal of Operational Risk. 3, 1, p. 51-63 14 p.

Research output: Contribution to journalArticle

Open Access

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

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

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)

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)

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)

Implementing loss distribution approach for operational risk

Shevchenko, P. V., May 2010, In : Applied Stochastic Models in Business and Industry. 26, 3, p. 277-307 31 p.

Research output: Contribution to journalArticle

21 Citations (Scopus)

Interlayer coupling in magnetic semiconductor multilayers

Shevchenko, P., Świerkowski, L. & Oitmaa, J., Jan 1998, In : Journal of Magnetism and Magnetic Materials. 177-181, PART 2, p. 1168-1169 2 p.

Research output: Contribution to journalArticle

15 Citations (Scopus)
50 Citations (Scopus)

Low-frequency modes in the dust-plasma crystal

Vladimirov, S. V., Shevchenko, P. V. & Cramer, N. F., Jan 1998, In : Physics of Plasmas. 5, 1, p. 4-9 6 p.

Research output: Contribution to journalArticle

42 Citations (Scopus)

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)

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

3 Citations (Scopus)

Modeling operational risk data reported above a time-varying threshold

Shevchenko, P. & Temnov, G., 2009, In : Journal of Operational Risk. 4, 2, p. 19-42 24 p.

Research output: Contribution to journalArticle

Model uncertainty in claims reserving within Tweedie's compound Poisson models

Peters, G. W., Shevchenko, P. V. & Wüthrich, M. V., 2009, In : ASTIN Bulletin. 39, 1, p. 1-33 33 p.

Research output: Contribution to journalArticle

34 Citations (Scopus)

Nonlinear field effects in quadrupole mass filters

Schulte, J., Shevchenko, P. V. & Radchik, A. V., 1999, In : Review of Scientific Instruments. 70, 9, p. 3566-3571 6 p.

Research output: Contribution to journalArticle

14 Citations (Scopus)

Nonlinear oscillations of a degenerate He3-He4 solution

Andreev, A. F., Bazalii, Y. B. & Shevchenko, P. V., 1996, In : Journal of Experimental and Theoretical Physics. 82, 5, p. 885-894 10 p.

Research output: Contribution to journalArticle

Nonlinear zero sound in normal Fermi liquid

Andreev, A. F. & Shevchenko, P. V., 1995, In : Journal of Experimental and Theoretical Physics. 80, 5, p. 885-889 5 p.

Research output: Contribution to journalArticle

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
5 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
2 Citations (Scopus)
10 Downloads (Pure)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

Lichtenstern, A., Shevchenko, P. V. & Zagst, R., 30 Jul 2020, In : Mathematics and Financial Economics.

Research output: Contribution to journalArticle

Phase oscillations between two superconducting condensates in cuprate superconductors

Shevchenko, P. V. & Sushkov, O. P., 1 Dec 1997, In : Physics Letters, Section A: General, Atomic and Solid State Physics. 236, 1-2, p. 137-142 6 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

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

8 Citations (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)

Spectrum of elementary and collective excitations in the dimerized S=1/2 Heisenberg chain with frustration

Shevchenko, P. V., Kotov, V. N. & Sushkov, O. P., 1 Aug 1999, In : Physical Review B: Condensed Matter and Materials Physics. 60, 5, p. 3305-3315 11 p.

Research output: Contribution to journalArticle

23 Citations (Scopus)