Pavel V. Shevchenko

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Xiaolin LuoCSIROVerified email at csiro.au
Oleg SushkovUniversity of New South WalesVerified email at phys.unsw.edu.au
Simon Man Chung FungCredit Model Analytics, Commonwealth Bank of AustraliaVerified email at cba.com.au
Sergey VladimirovUniversity of Sydney, JIHT Russian Academy of SciencesVerified email at sydney.edu.au
Georgy SofronovAssociate Professor, School of Mathematical and Physical Sciences, Macquarie University, SydneyVerified email at mq.edu.au
Stefan TrückMacquarie UniversityVerified email at mq.edu.au
Rodrigo S. TarginoAssistant Professor, EMAp/FGVVerified email at fgv.br
Tomoko MatsuiInstitute of Statistical MathematicsVerified email at ism.ac.jp
Guillaume BagnarosaRennes School of BusinessVerified email at rennes-sb.com
Matteo MalavasiUniversity of New South WalesVerified email at unsw.edu.au
Bertrand HassaniUniversité Paris 1 Pantheon-Sorbonne, University College LondonVerified email at quant.global
Uwe SchmockUniv.-Prof. Dr., Financial and Actuarial Mathematics, TU ViennaVerified email at fam.tuwien.ac.at
Ruben D CohenHowden Group HoldingsVerified email at howdengroup.com
Anders SandvikProfessor of Physics, Boston UniversityVerified email at buphy.bu.edu
NOVIKOV AlexanderUniversity of Technology SydneyVerified email at uts.edu.au
Spiridon PenevThe University of New South WalesVerified email at unsw.edu.au
Dorota ToczydłowskaUniversity of Technology SydneyVerified email at uts.edu.au
Mark BriersAlan Turing InstituteVerified email at turing.ac.uk
Arnaud DoucetProfessor of Statistics, University of Oxford & Research Scientist, Google DeepMindVerified email at stats.ox.ac.uk
Valeri N. KotovProfessor, Department of Physics, University of VermontVerified email at uvm.edu

Pavel V. Shevchenko

Professor of Actuarial Studies, co-director of the Centre for Risk Analytics, Macquarie University

Verified email at mq.edu.au - Homepage

financial risk financial mathematics


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The structural modeling of operational risk via Bayesian inference: Combining loss data with expert opinions PV Shevchenko, MV Wüthrich Journal of Operational Risk 1 (3), 3-26, 2006	174	2006
Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk MG Cruz, GW Peters, PV Shevchenko John Wiley & Sons, 2015	166	2015
Modelling operational risk using Bayesian inference PV Shevchenko Springer, Berlin, 2011	165	2011
Vibrational modes in the dust-plasma crystal SV Vladimirov, PV Shevchenko, NF Cramer Physical Review E 56 (1), R74, 1997	164	1997
The quantification of operational risk using internal data, relevant external data and expert opinions DD Lambrigger, PV Shevchenko, MV Wüthrich Journal of Operational Risk 2 (3), 3-27, 2007	139	2007
Calculation of aggregate loss distributions PV Shevchenko Journal of Operational Risk 5 (2), 3-40, 2010	96	2010
Machine learning techniques for mortality modeling P Deprez, PV Shevchenko, MV Wüthrich European Actuarial Journal 7, 337-352, 2017	94	2017
Model uncertainty in claims reserving within Tweedie's compound Poisson models GW Peters, PV Shevchenko, MV Wüthrich ASTIN Bulletin 39 (1), 1-33, 2009	89	2009
Double-layer Heisenberg antiferromagnet at finite temperature: Brueckner theory and quantum Monte Carlo simulations PV Shevchenko, AW Sandvik, OP Sushkov Physical Review B 61 (5), 3475, 2000	75	2000
Implementing loss distribution approach for operational risk PV Shevchenko Applied Stochastic Models in Business and Industry 26 (3), 277-307, 2010	72	2010
The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management X Luo, PV Shevchenko Quantitative Finance 10 (9), 1039-1054, 2010	71	2010
Advances in Heavy Tailed Risk Modelling: A Handbook of Operational Risk GW Peters, PV Shevchenko Wiley New York, 2015	70	2015
Dynamic operational risk: modeling dependence and combining different sources of information GW Peters, PV Shevchenko, MV Wüthrich Journal of Operational Risk 4 (2), 69-104, 2009	63	2009
Optimal consumption, investment and housing with means-tested public pension in retirement JG Andréasson, PV Shevchenko, A Novikov Insurance: Mathematics and Economics 75, 32-47, 2017	59	2017
Equilibrium and oscillations of grains in the dust-plasma crystal SV Vladimirov, NF Cramer, PV Shevchenko Physical Review E 60 (6), 7369, 1999	57	1999
Low-frequency modes in the dust–plasma crystal SV Vladimirov, PV Shevchenko, NF Cramer Physics of Plasmas 5 (1), 4-6, 1998	57	1998
A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting MC Fung, GW Peters, PV Shevchenko Annals of Actuarial Science 11 (2), 343-389, 2017	53	2017
A "toy" model for operational risk quantification using credibility theory H Bühlmann, PV Shevchenko, MV Wüthrich Journal of Operational Risk 2 (1), 3-19, 2007	52	2007
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization X Luo, PV Shevchenko Insurance: Mathematics and Economics 62, 5-15, 2015	49	2015
Addressing the impact of data truncation and parameter uncertainty on operational risk estimates X Luo, PV Shevchenko, JB Donnelly Journal of Operational Risk 2 (4), 3-26, 2007	49	2007

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