Pavel V. Shevchenko

Macquarie University

Professor

North Ryde

Sydney, New South Wales 2109

Australia

http://www.businessandeconomics.mq.edu.au/contact_the_faculty/all_fbe_staff/pavel_shevchenko

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

62

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109

Scholarly Papers (62)

1.
Downloads 515 ( 52,611)
Citation 3

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko and Ruben Cohen
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and Independent
Downloads 264 (113,450)
Citation 1

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Fi nancial technology (FinTech), risk management, cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, information technology risk, business disruption

Understanding Cyber Risk and Cyber Insurance

Number of pages: 30 Posted: 07 Nov 2017 Last Revised: 05 Mar 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 251 (119,643)
Citation 3

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cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, Information Technology risk, business disruption

2.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 509 (53,428)
Citation 2

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3.

Machine Learning Techniques for Mortality Modeling

Number of pages: 16 Posted: 23 Feb 2017
Philippe Deprez, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathematics, Macquarie University and RiskLab, ETH Zurich
Downloads 375 (77,377)
Citation 2

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mortality modeling, cause-of-death mortality, machine learning, boosting, regression

4.

The t Copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management

Quantitative Finance, Vol. 10, No. 9, pp. 1039-1054, 2010
Number of pages: 31 Posted: 15 Jan 2009 Last Revised: 31 Oct 2010
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 295 (101,324)
Citation 8

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grouped t copula, tail dependence, risk management

5.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 245 (123,143)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

6.

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

The Journal of Operational Risk 2(3), pp.3-27, 2007.
Number of pages: 30 Posted: 24 Nov 2014
Dominik Lambrigger, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich, Macquarie University and RiskLab, ETH Zurich
Downloads 227 (132,885)
Citation 19

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Operational Risk, Basel II, Loss Distribution Approach, Bayesian inference, Advanced Measurement Approach, Quantitative Risk Management, generalized inverse Gaussian distribution

7.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 199 (150,485)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

8.

The Structural Modelling of Operational Risk Via Bayesian Inference: Combining Loss Data with Expert Opinions

The Journal of Operational Risk 1(3), pp. 3-26, 2006
Number of pages: 26 Posted: 24 Nov 2014
Pavel V. Shevchenko and Mario V. Wuthrich
Macquarie University and RiskLab, ETH Zurich
Downloads 199 (151,238)
Citation 21

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operational risk, loss distribution approach, Bayesian inference, Basel II Advanced Measurement Approaches, compound process, quantitative risk management

9.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 45 Posted: 20 Sep 2016 Last Revised: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 191 (156,363)

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 116 (237,148)

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Cyber Risk, Cyber Crime, Operational Risk, Cyber Insurance, Kernel K-Means, Clustering, Cyber Empirical Studies

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 64 (345,246)
Citation 8

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cyber risk, cyber crime, operational risk, cyber insurance, machine learning, k-means clustering method

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 157 (186,049)
Citation 16

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Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
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operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

12.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 133 (212,663)
Citation 2

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 41 Posted: 31 Jan 2017 Last Revised: 24 Mar 2017
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 74 (318,634)
Citation 4

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mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 45 Posted: 17 Apr 2018
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 29 (478,535)

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mortality modelling, cohort features, state-space model, Bayesian inference, Markov chain Monte Carlo

14.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich
Downloads 102 (258,316)
Citation 10

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dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

15.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance 2015
Number of pages: 30 Posted: 24 Nov 2014 Last Revised: 25 Jul 2015
Pavel V. Shevchenko and Pierre Del Moral
Macquarie University and INRIA Bordeaux-Sud Ouest
Downloads 97 (267,049)
Citation 1

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Sequential Monte Carlo, particle methods, Feynman-Kac representation, barrier options, Monte Carlo, option pricing

16.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
The Department of Statistical Science, University College London, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Commonwealth Bank of Australia and Macquarie University
Downloads 86 (288,325)
Citation 2

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Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

17.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko and Gareth Peters
Macquarie University and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 80 (301,170)
Citation 1

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operational risk; loss distribution approach; Basel II

18.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015 Last Revised: 01 May 2017
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University
Downloads 80 (301,170)
Citation 5

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stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

19.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 79 (303,443)
Citation 5

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mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

20.

A 'Toy' Model for Operational Risk Quantification Using Credibility Theory

The Journal of Operational Risk 2(1), pp. 3-19, 2007
Number of pages: 18 Posted: 24 Nov 2014
Hans BuŸhlmann, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathmatics, Macquarie University and RiskLab, ETH Zurich
Downloads 77 (308,068)

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quantitative risk management, operational risk, loss distribution approach, credibility theory, combining different data sources, Basel II Advanced Measurement Approaches

21.

Fast and Simple Method for Pricing Exotic Options Using Gauss-Hermite Quadrature on a Cubic Spline Interpolation

Journal of Financial Engineering, Vol. 1, No. 4 (31 pages), 2014. DOI: 10.1142/S2345768614500330
Number of pages: 32 Posted: 01 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 72 (320,094)
Citation 5

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exotic options, Gauss-Hermite quadrature, cubic spline, finite difference method, American option, Bermudan option, target accumulation redemption note

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University
Downloads 48 (396,955)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Department of Statistical Science and Macquarie University
Downloads 24 (507,344)
Citation 7

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Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

23.

Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling

The Journal of Computational Finance 6(3), pp.1-20, 2003.
Number of pages: 20 Posted: 23 Nov 2014
Pavel V. Shevchenko
Macquarie University
Downloads 65 (338,169)
Citation 5

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Monte Carlo simulation, extreme values, Brownian Bridge, multi-asset barrier option, multi-variate joint distribution, Fréchet bounds

24.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 62 (346,363)
Citation 6

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Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

25.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters, Georgy Sofronov and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University - Department of Statistics and Macquarie University
Downloads 56 (364,067)

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Multiple stopping rules, Operational risk, Insurance

Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems

Number of pages: 32 Posted: 14 Jun 2017 Last Revised: 09 Apr 2019
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 37 (440,533)

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Dynamic Programming, Stochastic Control, Optimal Policy, Lifecycle Modelling

Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 30 Posted: 20 Jun 2018 Last Revised: 23 Dec 2018
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 16 (558,069)
Citation 4

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Dynamic programming, Least-Squares Monte Carlo, control randomisation, stochastic control, lifecycle modelling

27.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Stochastic Interest Rate

Number of pages: 32 Posted: 11 Feb 2016 Last Revised: 15 Jan 2017
Pavel V. Shevchenko and Xiaolin Luo
Macquarie University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 53 (373,451)
Citation 4

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Variable Annuity, Stochastic Interest Rate, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, products for retirees

28.

Optimal Consumption and Investment Decisions under Time-Varying Preferences

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 51 Posted: 21 Nov 2018
Andreas Lichtenstern, Pavel V. Shevchenko and Rudi Zagst
Technische Universität München (TUM) - Chair of Mathematical Finance, Macquarie University and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 51 (379,953)
Citation 1

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optimal life-cycle consumption and investment, time-varying risk aversion, HARA utility function, martingale method

29.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth Peters, Mario V. Wuthrich and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, RiskLab, ETH Zurich and Macquarie University
Downloads 51 (379,953)
Citation 5

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claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

30.

Optimal Consumption, Investment and Housing with Means-Tested Public Pension in Retirement

Number of pages: 28 Posted: 28 Jun 2016 Last Revised: 06 May 2018
Johan Andreasson, Pavel V. Shevchenko and Alex Novikov
University of Technology Sydney (UTS), Macquarie University and University of Technology Sydney (UTS)
Downloads 51 (379,953)
Citation 4

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Dynamic programming, Stochastic control, Optimal policy, Retirement, Means-tested age pension, Defined contribution pension

31.

Markov Chain Monte Carlo Estimation of Default and Recovery: Dependent via the Latent Systematic Factor

Journal of Credit Risk 9(3), pp. 41-76, 2013
Number of pages: 39 Posted: 01 Nov 2014 Last Revised: 04 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 46 (396,956)

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parameter uncertainty, probability of default, loss given default, economic capital, Markov chain Monte Carlo, Bayesian inference, credit risk

32.

Pricing TARN Using a Finite Difference Method

Journal of Derivatives, Vol. 23, No. 1, pages 62-72, 2015
Number of pages: 17 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 46 (396,956)
Citation 1

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Target Accumulation Redemption Note, option pricing, finite difference, Monte Carlo

33.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth Peters, Aaron Byrnes and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) and Macquarie University
Downloads 44 (404,038)
Citation 10

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Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

34.

A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Number of pages: 23 Posted: 13 May 2017
Jin Sun, Pavel V. Shevchenko and Simon Man Chung Fung
University of Technology Sydney (UTS), Macquarie University and Commonwealth Bank of Australia
Downloads 41 (415,049)

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Variable Annuity Guarantees, Guaranteed Minimum Withdrawal Benefits, Management Fees, Stochastic Optimal Control, PDE, Finite Difference

35.

Implementing Loss Distribution Approach for Operational Risk

Applied Stochastic Models in Business and Industry 26(3), pp. 277-307, 2010
Number of pages: 38 Posted: 22 Jan 2009 Last Revised: 04 Nov 2014
Pavel V. Shevchenko
Macquarie University
Downloads 39 (422,750)
Citation 12

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operational risk, loss distribution approach, Bayesian inference, dependence modeling, Basel II

36.

Crunching Mortality and Life Insurance Portfolios with Extended CreditRisk

Number of pages: 19 Posted: 19 Jan 2016 Last Revised: 20 Dec 2016
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University
Downloads 38 (426,887)

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Stochastic mortality, mortality trends, cohort effects, extended CreditRisk, Markov chain Monte Carlo, regularisation via prior distribution, risk aggregation, annuity portfolios, partial internal model, underwriting risk module

37.

From 'Funny Time, Funny Money' to Realistic Labour Times

Applied Probability Trust: The Mathematical Scientist 40 (2), 2015
Number of pages: 13 Posted: 22 Sep 2014 Last Revised: 06 Dec 2015
Xiaolin Luo, Pavel V. Shevchenko and Brad Sayer
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Macquarie University and Insurance Australia Group
Downloads 38 (426,887)

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motor vehicle insurance, smash repair, paint labour time, New Times and Rates (NTAR) system, linear regression

38.

Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Optimal Withdrawal Strategy

International Journal of Financial Engineering 2(3), [26 pages], 2015, DOI: 10.1142/S2424786315500243
Number of pages: 24 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 36 (434,946)
Citation 6

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Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Gauss-Hermite Quadrature, Cubic Spline

39.

Variable Annuity with GMWB: Surrender Or Not, That Is the Question

Number of pages: 7 Posted: 26 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 32 (451,863)
Citation 3

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Variable annuity, optimal stochastic control, optimal stopping time, bang-bang control, Guaranteed Minimum Withdrawal Benefit, surrender option, Gauss-Hermite quadrature, cubic spline

40.

Optimal Annuitisation, Housing Decisions and Means-tested Public Pension in Retirement under Expected Utility Stochastic Control Framework

Number of pages: 33 Posted: 14 Jun 2017 Last Revised: 09 Apr 2019
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 28 (470,926)
Citation 2

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

41.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Gareth Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 28 (470,926)
Citation 10

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Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

42.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Insurance: Mathematics and Economics, Vol. 62 (2015), pp. 5-15
Number of pages: 31 Posted: 21 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 26 (481,278)
Citation 9

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Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Guaranteed Minimum Death Benefit, Mortality Risk

43.

Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in Retirement

Number of pages: 21 Posted: 05 Jun 2017 Last Revised: 15 Sep 2017
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 25 (486,742)
Citation 2

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

44.

Historical Backtesting of Local Volatility Model Using AUD/USD Vanilla Options

Number of pages: 23 Posted: 07 Dec 2015
Timothy Ling and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 25 (486,742)

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local volatility model, backtesting, model validation, foreign exchange options, implied volatility

45.

A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework

P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
Number of pages: 37 Posted: 03 May 2016 Last Revised: 02 May 2017
Pavel V. Shevchenko and Xiaolin Luo
Macquarie University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 24 (492,214)
Citation 5

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variable annuity, guaranteed living and death benefits, guaranteed minimum accumulation benefit, optimal stochastic control, direct integration method

46.

Optimal Annuitisation, Housing Decisions and Means-Tested Public Pension in Retirement Under Expected Utility Stochastic Control Framework

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 30 Posted: 21 May 2018 Last Revised: 23 Dec 2018
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 23 (497,723)
Citation 1

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Dynamic programming, stochastic control, optimal policy, retirement, means-tested age pension, defined contribution pension

47.

Forecasting Leading Death Causes in Australia Using Extended CreditRisk+

Number of pages: 7 Posted: 27 Jul 2015
Pavel V. Shevchenko, Jonas Hirz and Uwe Schmock
Macquarie University, Boston Consulting Group and TU Wien
Downloads 20 (514,815)
Citation 5

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Extended CreditRisk, stochastic mortality model, life tables, annuity portfolios, life insurance portfolios, longevity risk, risk management, estimation of extended CreditRisk, Markov chain

48.

The 2015-2017 Policy Changes to the Means-Tests of Australian Age Pension: Implication to Decisions in Retirement

Number of pages: 18 Posted: 28 Nov 2016
Johan Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Macquarie University
Downloads 14 (549,780)

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Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

49.

Bayesian Model Choice of Grouped T-Copula

Methodology and Computing in Applied Probability 14(4), pp. 1097-1119, 2012, DOI 10.1007/s11009-011-9220-4
Number of pages: 37 Posted: 29 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Macquarie University
Downloads 13 (555,697)

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grouped t¡copula, dependence modeling, Bayesian model choice, Markov chain Monte Carlo, foreign exchange

50.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 21 Posted: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 11 (567,912)

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

51.

The Impact of Model Risk on Dynamic Portfolio Selection Under Multi-Period Mean-Standard-Deviation Criterion

European Journal of Operational Research (2018), doi: 10.1016/j.ejor.2018.08.026
Number of pages: 33 Posted: 13 Oct 2018
Spiridon Penev, Pavel V. Shevchenko and Wei Wu
University of New South Wales (UNSW) - School of Mathematics, Macquarie University and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 10 (574,046)
Citation 1

Abstract:

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Uncertainty Modelling, Robust Portfolio Allocation, Multivariate Statistics, Pseudo Dynamic Programming, Mean-Standard-Deviation, Kullback-Leibler Divergence

52.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
Boston Consulting Group, TU Wien and Macquarie University
Downloads 9 (580,223)
Citation 6

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stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

53.

Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market

Number of pages: 24 Posted: 25 Mar 2019
Jin Sun, Ryle Perera and Pavel V. Shevchenko
University of Technology Sydney (UTS), Macquarie University and Macquarie University
Downloads 4 (612,577)

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optimal stochastic control, durable goods, jump-diffusion market, insurance, optimal impulse control, intervention value, stopping time iteration

54.

Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach

Number of pages: 22 Posted: 13 Jun 2019
Jin Sun, Kevin Fergusson, Eckhard Platen and Pavel V. Shevchenko
University of Technology Sydney (UTS), University of Melbourne - Centre for Actuarial Studies, University of Technology, Sydney (UTS) - Finance Discipline Group and Macquarie University
Downloads 3 (620,475)

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variable annuity guarantee, stochastic optimal control, stochastic reserve, benchmark approach

55.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 04 Oct 2016
Pavel V. Shevchenko and Pierre Del Moral
Macquarie University and Centre de Recherche Inria Bordeaux
Downloads 1 (643,078)
Citation 31
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monte carlo, option pricing, barrier options

56.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth Peters and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University

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operational risk, insurance, heavy tailed risk modelling

57.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo Cruz, Gareth Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University

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operational risk, insurance, risk modelling

58.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Gareth Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, QinetiQ Ltd, Macquarie University and University of Cambridge - Department of Engineering

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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

59.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich

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Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

60.

Modelling Operational Risk Using Bayesian Inference

Springer, Berlin, 2011
Posted: 07 Sep 2011 Last Revised: 29 Nov 2014
Pavel V. Shevchenko
Macquarie University

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Operational risk, Quantitative risk management, Bayesian inference, Loss distribution approach, Markov chain Monte Carlo

61.

Estimation of Operational Risk Capital Charge under Parameter Uncertainty

The Journal of Operational Risk, Vol. 3, No. 1, pp. 51-63, Spring 2008
Posted: 15 Jan 2009
Pavel V. Shevchenko
Macquarie University

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quantitative risk management, operational risk, loss distribution approach, Bayesian inference, parameter uncertainty, Basel II

62.

Addressing Impact of Truncation and Parameter Uncertainty on Operational Risk Estimates

The Journal of Operational Risk, Vol. 2, No. 4, pp. 3-26, 2007
Posted: 15 Jan 2009 Last Revised: 04 Nov 2014
Xiaolin Luo, Pavel V. Shevchenko and John Donnelly
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Macquarie University and affiliation not provided to SSRN

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operational risk, truncated data, Poisson-Lognormal compound distribution, loss distribution approach