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Research Outputs 1995 2019

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Conference proceeding contribution
2017

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 contributionResearchpeer-review

2015

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. Canberra: Modelling & Simulation Society Australia & New Zealand, p. 952-958 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Annuities
State space
Mortality rate
Mortality
Pricing

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. Canberra, ACT: Modelling & Simulation Society Australia & New Zealand, p. 966-972 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Annuities
Mortality
Scenarios
Health
Stress testing

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. Canberra, ACT: Modelling & Simulation Society Australia & New Zealand, p. 959-965 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Variable annuities
Surrender option
Maturity
Optimal strategy
Fees
2013

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. S. & Boland, J. (eds.). Canberra, ACT: Modelling and Simulation Society of Australia and New Zealand, p. 1447-1453 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Optimal strategy
Global warming
Damage
Costs
Stopping rule