Pavel V. Shevchenko

发表

Standardized Measurement Approach for Operational Risk: Pros and Cons

Bertrand K. Hassani, Gareth W. Peters, Pavel V. Shevchenko, 2016 .

Loss Distribution Approach

Pavel V. Shevchenko, P. Shevchenko, 2011 .

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Pavel V. Shevchenko, Xiaolin Luo, 2016 .

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

Pavel V. Shevchenko, Xiaolin Luo, 2014 .

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

Wei Wu, Spiridon I. Penev, Pavel V. Shevchenko, 2018, Eur. J. Oper. Res..

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

Gareth W. Peters, Pavel V. Shevchenko, Ruben D. Cohen, 2018 .

Combining Different Data Sources

Gareth W. Peters, Pavel V. Shevchenko, Marcelo G. Cruz, 2015 .

Cryocooled Wideband Digital Channelizing RF Receiver Based on Low-Pass ADC

Igor V. Vernik, Oleg A. Mukhanov, Deepnarayan Gupta, 2007 .

MCMC estimation of default and recovery dependent via the latent systematic factor

Pavel V. Shevchenko, Xiaolin Luo, 2010 .

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

Pavel V. Shevchenko, Xiaolin Luo, Brad Sayer, 2012 .

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

Gareth W. Peters, Pavel V. Shevchenko, G. Peters, 2013, 1306.1882.

Modelling Operational Risk Using Bayesian Inference

Pavel V. Shevchenko, P. Shevchenko, 2011 .

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

Arnaud Doucet, Mark Briers, Gareth W. Peters, 2011, 1105.5850.

Bayesian Approach for LDA

Pavel V. Shevchenko, P. Shevchenko, 2011 .

Actuarial Applications and Estimation of Extended~CreditRisk$^+$

Pavel V. Shevchenko, Uwe Schmock, Jonas Hirz, 2015, 1505.04757.

Modelling Large Losses

Pavel V. Shevchenko, P. Shevchenko, 2011 .

Flexible Parametric Severity Models

Gareth W. Peters, Pavel V. Shevchenko, Marcelo G. Cruz, 2015 .

A structured model for estimation of automotive paint labour times

Pavel V. Shevchenko, B. Sayer, Xiaolin Luo, 2012 .

Examples of LDA Dependence Models

Gareth W. Peters, Pavel V. Shevchenko, Marcelo G. Cruz, 2015 .

Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t

Gareth W. Peters, Pavel V. Shevchenko, Dorota Toczydlowska, 2020, 2009.11499.

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

Gareth W. Peters, Pavel V. Shevchenko, Man Chung Fung, 2016, Annals of Actuarial Science.

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

Gareth W. Peters, Pavel V. Shevchenko, Marcelo G. Cruz, 2015 .

OpRisk in Perspective

Gareth W. Peters, Pavel V. Shevchenko, Marcelo G. Cruz, 2015 .

Machine learning techniques for mortality modeling

Pavel V. Shevchenko, Philippe Deprez, Mario V. Wüthrich, 2017 .

Calculation of Compound Distribution

Pavel V. Shevchenko, P. Shevchenko, 2011 .

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

Gareth W. Peters, Pavel V. Shevchenko, 2015 .

A short tale of long tail integration

Pavel V. Shevchenko, Xiaolin Luo, 2010, Numerical Algorithms.

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

Gareth W. Peters, Pavel V. Shevchenko, Man Chung Fung, 2017 .

A bias-corrected Least-Squares Monte Carlo for solving multi-period utility models

Pavel V. Shevchenko, Johan G. Andréasson, P. Shevchenko, 2021, European Actuarial Journal.

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

Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich, 2009, ASTIN Bulletin.

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

Gareth W. Peters, Pavel V. Shevchenko, Rodrigo S. Targino, 2015 .

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

Gareth W. Peters, Pavel V. Shevchenko, Mark Young, 2011 .

Calculation of aggregate loss distributions

Pavel V. Shevchenko, P. Shevchenko, 2010, 1008.1108.

Computing Tails of Compound Distributions Using Direct Numerical Integration

Pavel V. Shevchenko, Xiaolin Luo, P. Shevchenko, 2009 .

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

Pavel V. Shevchenko, Xiaolin Luo, 2007 .

Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates

Pavel V. Shevchenko, Xiaolin Luo, P. Shevchenko, 2007 .

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

Pavel V. Shevchenko, Xiaolin Luo, P. Shevchenko, 2014, 1411.5453.

DATA COMBINATION UNDER BASEL II AND SOLVENCY 2: OPERATIONAL RISK GOES BAYESIAN

Pavel V. Shevchenko, Mario V. Wüthrich, Dominik D. Lambrigger, 2008 .