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Research Outputs

2010

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

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

19 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)

Operational risk: combining internal data, external data and expert opinions

Shevchenko, P. V. & Wüthrich, M. V., 2010, Rethinking risk measurement and reporting: volume II : examples and applications from finance. Böcker, K. (ed.). London: Risk Books, Vol. 2. p. 401-437 37 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

20 Citations (Scopus)
2009

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

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

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

33 Citations (Scopus)
2008

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

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
2007

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

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

The quantification of operational risk using internal data, relevant external data and expert opinions

Lambrigger, D. D., Shevchenko, P. V. & Wüthrich, M. V., 2007, In : Journal of Operational Risk. 2, 3, p. 3-27 25 p.

Research output: Contribution to journalArticle

2006
Open Access
2003
2000
58 Citations (Scopus)
1999
10 Citations (Scopus)

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)

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)

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)

Spin-wave gap critical index for the quantum two-layer heisenberg antiferromagnet at T = 0

Shevchenko, P. V. & Sushkov, O. P., 1999, In : Australian Journal of Physics. 52, 5, p. 837-844 8 p.

Research output: Contribution to journalArticle

1998

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

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)

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)

The bulk Josephson response of the d - g-wave cuprate superconductors

Kuchiev, M. Y., Shevchenko, P. V. & Sushkov, O. P., 1 Jun 1998, In : Physica C: Superconductivity and its Applications. 301, 3-4, p. 255-261 7 p.

Research output: Contribution to journalArticle

The role of g-wave pairing and Josephson tunneling in high-Tc cuprate superconductors

Shevchenko, P. V. & Sushkov, O. P., 1 Feb 1998, In : Physica C: Superconductivity and its Applications. 295, 3-4, p. 292-303 12 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)
1997

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)

Vibrational modes in the dust-plasma crystal

Vladimirov, S. V., Shevchenko, P. V. & Cramer, N. F., 1997, In : Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics. 56, 1 SUPPL. A

Research output: Contribution to journalArticle

112 Citations (Scopus)
1996

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

1995

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