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Research Outputs 1995 2019

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Article
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 journalArticleResearchpeer-review

Cohort
Mortality
Modeling
Cohort effect
State space

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 journalArticleResearchpeer-review

Portfolio Selection
Standard deviation
Quantify
Uncertainty
Kullback-Leibler Divergence
2018

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 journalArticleResearchpeer-review

Open Access
File
Variable annuities
Pricing
Management fees
Guarantee
Fees

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 journalArticleResearchpeer-review

Currency
Factor Models
Forecasting
Heteroskedasticity
Risk Measures
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 journalArticleResearchpeer-review

Open Access
File
Mortality
Model
Expected Shortfall
Joint Modeling
Credit Risk

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 journalArticleResearchpeer-review

Open Access
File
Expected utility
Retirement
Policy change
Pensions
Income

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 journalArticleResearchpeer-review

Open Access
File
Mortality
State-space modeling
Stochastic volatility
Heteroscedasticity
Stochastic volatility model

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

Mortality
Machine Learning
Mortality Rate
Modeling
Stochastic Model

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 journalArticleResearchpeer-review

Open Access
Asset Allocation
Life Expectancy
Expected Utility
Maximum Likelihood Method
Stochastic Control

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 journalArticleResearchpeer-review

Open Access
File
Operational Risk
Stopping Time
Insurance
Exercise
Annual

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 journalArticleResearchpeer-review

Open Access
File
Stochastic models
Feature extraction
Model structures
Markov processes
Sampling

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 journalArticleResearchpeer-review

Barrier Options
Sequential Monte Carlo
Sequential Monte Carlo Methods
Valuation
Monte Carlo methods

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

Shevchenko, P. V. & Luo, X., 1 Sep 2017, In : Insurance: Mathematics and Economics. 76, p. 104-117 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Stochastic Interest Rates
Interest Rates
Valuation
Pricing
Transition Density
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 journalArticleResearchpeer-review

Open Access
File
Stochastic optimal control
Variable annuities
Pricing
Guarantee
Investors

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 journalArticleResearchpeer-review

Volatility
Hedging
Implied Volatility
Black-Scholes Model
Model

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 journalArticleResearchpeer-review

Operational risk
Risk capital
Basel Committee
Standardization
Systemic risk
2015

Fast numerical method for pricing of variable annuities with guaranteed minimum withdrawal benefit under optimal withdrawal strategy

Luo, X. & Shevchenko, P. V., 2015, In : International journal of financial engineering. 2, 3, p. 1550024-1-1550024-26 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Numerical methods
Variable annuities
Pricing
Finite difference method
Partial differential equations

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 journalArticleResearchpeer-review

Paint
Personnel
Industry
Statistical methods
Drying

Holder-extendible European option: corrections and extensions

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

Research output: Contribution to journalArticleResearchpeer-review

European Options
Dividend
Interest Rates
Geometric Brownian Motion
Volatility

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 journalArticleResearchpeer-review

Pricing
Finite difference
Finite difference method
Monte Carlo method
Foreign exchange

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 journalArticleResearchpeer-review

Sequential Monte Carlo
Conditional Expectation
Copula
Rare Events
Risk Measures

Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Luo, X. & Shevchenko, P. V., 1 May 2015, In : Insurance: Mathematics and Economics. 62, p. 5-15 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Stochastic Control
Valuation
Optimization
Optimal Stochastic Control
Financial Risk
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 journalArticleResearchpeer-review

Quadrature
Pricing
Interpolation
Exotic options
Cubic spline
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 journalArticleResearchpeer-review

Seasonality
Panel Data
Calibration
Filtering
Model

Loss distribution approach for operational risk capital modelling under Basel II: combining different data sources for risk estimation

Shevchenko, P. V. & Peters, G. W., 2013, In : Journal of Governance and Regulation. 2, 3, p. 33-57 25 p.

Research output: Contribution to journalArticleResearchpeer-review

requirements
industries
products

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 journalArticleResearchpeer-review

Markov chain Monte Carlo
Factors
Latent factors
Parameter uncertainty
Uncertainty

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 journalArticleResearchpeer-review

Risk capital
Approximation
Operational risk
Severity
Basel
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 journalArticleResearchpeer-review

Model Choice
Copula
Bayesian Model
Foreign Exchange Rates
Copula Models
2011

Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation

Peters, G. W., Shevchenko, P. V., Young, M. & Yip, W., Nov 2011, In : Insurance: Mathematics and Economics. 49, 3, p. 565-579 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Operational Risk
Annual
Model
Increment
Capital allocation

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 journalArticleResearchpeer-review

Tail
Truncation Error
End point
Numerical integration
Discretization Error

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 journalArticleResearchpeer-review

Directly proportional
Masking
Spray
Flash
Perimeter

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 journalArticleResearchpeer-review

Default Risk
Credit Risk
Monte Carlo Study
Markov Chain Monte Carlo
Recovery

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 journalArticleResearchpeer-review

Operational Risk
Insurance
Scenarios
Annual
Analytic Solution
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 journalArticleResearchpeer-review

Loss distribution
Operational risk
Risk capital
Numerical algorithms
Numerical methods

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 journalArticleResearchpeer-review

Bayesian Bootstrap
Bayesian Computation
Bootstrap
Distribution-free
Likelihood

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 journalArticleResearchpeer-review

Operational Risk
Insurance
Expert Judgment
Banking
Parameter Uncertainty

The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management

Luo, X. & Shevchenko, P. V., 2010, In : Quantitative Finance. 10, 9, p. 1039-1054 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Copula
Risk management
Tail dependence
Maximum likelihood estimator
Simulation
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 journalArticleResearchpeer-review

Compound Distribution
Conditional Value at Risk
Quantile
Numerical integration
Tail

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 journalArticleResearchpeer-review

Operational risk
Modeling
Sources of information
Methodology
Sampling

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 journalArticleResearchpeer-review

Modeling
Time-varying
Operational risk
Loss distribution
Parameter uncertainty

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 journalArticleResearchpeer-review

Claims reserving
Compound Poisson model
Model uncertainty
Prediction
Markov chain Monte Carlo
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 journalArticleResearchpeer-review

Operational risk
Basel II
Solvency
Expert opinion
Risk capital

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 journalArticleResearchpeer-review

Open Access
Risk capital
Loss distribution
Charge
Operational risk
Parameter uncertainty
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 journalArticleResearchpeer-review

Open Access
Parameter uncertainty
Operational risk
Naive model
Log normal distribution
Quantile

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 journalArticleResearchpeer-review

Open Access
Credibility theory
Toys
Quantification
Operational risk
Internal control system

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 journalArticleResearchpeer-review

Quantification
Expert opinion
Operational risk
Severity
Risk capital
2006

The structural modelling of operational risk via the Bayesian inference: combining loss data with expert opinions

Shevchenko, P. V. & Wüthrich, M. V., 2006, In : Journal of Operational Risk. 1, 3, p. 3-26 24 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
Expert opinion
Structural modeling
Operational risk
Bayesian inference
Quantile
2003

Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

Shevchenko, P. V., 2003, In : Journal of Computational Finance. 6, 3, p. 1-20 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Discrete Sampling
Pricing
Brownian Bridge
Sampling
Estimator
2000

Double-layer Heisenberg antiferromagnet at finite temperature: Brueckner theory and quantum Monte Carlo simulations

Shevchenko, P. V., Sandvik, A. W. & Sushkov, O. P., 2000, In : Physical Review B: Condensed Matter and Materials Physics. 61, 5, p. 3475-3487 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Magnetic susceptibility
specific heat
Specific heat
magnetic permeability
simulation