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
Georgy SofronovAssociate Professor, School of Mathematical and Physical Sciences, Macquarie University, SydneyVerified email at mq.edu.au
Sergey VladimirovUniversity of Sydney, JIHT Russian Academy of SciencesVerified email at sydney.edu.au
Stefan TrückMacquarie UniversityVerified email at mq.edu.au
Matteo MalavasiUniversity of New South WalesVerified email at unsw.edu.au
Tomoko MatsuiInstitute of Statistical MathematicsVerified email at ism.ac.jp
Rodrigo S. TarginoAssistant Professor, EMAp/FGVVerified email at fgv.br
Guillaume BagnarosaRennes School of BusinessVerified email at rennes-sb.com
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 DoucetGoogle DeepMindVerified email at google.com
Aleksandar ArandjelovićVienna University of Economics and BusinessVerified email at wu.ac.at

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	177	2006
Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk MG Cruz, GW Peters, PV Shevchenko John Wiley & Sons, 2015	170	2015
Modelling operational risk using Bayesian inference PV Shevchenko Springer, Berlin, 2011	167	2011
Vibrational modes in the dust-plasma crystal SV Vladimirov, PV Shevchenko, NF Cramer Physical Review E 56 (1), R74, 1997	166	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	142	2007
Calculation of aggregate loss distributions PV Shevchenko Journal of Operational Risk 5 (2), 3-40, 2010	101	2010
Machine learning techniques for mortality modeling P Deprez, PV Shevchenko, MV Wüthrich European Actuarial Journal 7, 337-352, 2017	100	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	95	2009
Implementing loss distribution approach for operational risk PV Shevchenko Applied Stochastic Models in Business and Industry 26 (3), 277-307, 2010	75	2010
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
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	72	2010
Advances in Heavy Tailed Risk Modelling: A Handbook of Operational Risk GW Peters, PV Shevchenko Wiley New York, 2015	69	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	66	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	62	2017
Equilibrium and oscillations of grains in the dust-plasma crystal SV Vladimirov, NF Cramer, PV Shevchenko Physical Review E 60 (6), 7369, 1999	59	1999
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	55	2017
Low-frequency modes in the dust–plasma crystal SV Vladimirov, PV Shevchenko, NF Cramer Physics of Plasmas 5 (1), 4-6, 1998	53	1998
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
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk? GW Peters, PV Shevchenko, B Hassani, A Chapelle Journal of Operational Risk 11 (3), 1-49, 2016	50	2016
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	50	2015

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