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Research Outputs

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Conference proceeding contribution
2019

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

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 contribution

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. 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)

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)
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. & 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