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Pavel V. Shevchenko

Identifiers

  • name variant Pavel V. Shevchenko 0.60 · backfill

Papers (43)

  1. Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees q-fin.PR · 2026 · author #3
  2. State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing q-fin.ST · 2024 · author #4
  3. Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach q-fin.PR · 2019 · author #4
  4. A note on the impact of management fees on the pricing of variable annuity guarantees q-fin.PR · 2017 · author #2
  5. Machine Learning Techniques for Mortality Modeling stat.AP · 2017 · author #2
  6. Cohort effects in mortality modelling: a Bayesian state-space approach q-fin.ST · 2017 · author #3
  7. The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement q-fin.GN · 2016 · author #2
  8. Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk? q-fin.RM · 2016 · author #2
  9. Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement q-fin.EC · 2016 · author #2
  10. A unified pricing of variable annuity guarantees under the optimal stochastic control framework q-fin.PR · 2016 · author #1
  11. Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate q-fin.PR · 2016 · author #1
  12. Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+ q-fin.RM · 2016 · author #3
  13. Valuation of capital protection options q-fin.PR · 2015 · author #2
  14. A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing q-fin.CP · 2015 · author #3
  15. Forecasting Leading Death Causes in Australia using Extended CreditRisk$+$ q-fin.CP · 2015 · author #1
  16. Actuarial Applications and Estimation of Extended~CreditRisk$^+$ q-fin.RM · 2015 · author #3
  17. Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization q-fin.CP · 2014 · author #2
  18. Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models stat.CO · 2014 · author #3
  19. Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation q-fin.CP · 2014 · author #2
  20. Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options q-fin.PR · 2014 · author #2
  21. Optimal insurance purchase strategies via optimal multiple stopping times q-fin.RM · 2013 · author #4
  22. Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation q-fin.RM · 2013 · author #1
  23. Understanding Operational Risk Capital Approximations: First and Second Orders q-fin.RM · 2013 · author #3
  24. Dependent default and recovery: MCMC study of downturn LGD credit risk model q-fin.RM · 2011 · author #1
  25. Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts q-fin.CP · 2011 · author #3
  26. Bayesian Model Choice of Grouped t-copula q-fin.CP · 2011 · author #2
  27. Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor q-fin.RM · 2010 · author #2
  28. Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses? q-fin.RM · 2010 · author #3
  29. Holder-extendible European option: corrections and extensions q-fin.PR · 2010 · author #1
  30. Calculation of aggregate loss distributions q-fin.CP · 2010 · author #1
  31. A Short Tale of Long Tail Integration math.NA · 2010 · author #2
  32. Chain ladder method: Bayesian bootstrap versus classical bootstrap q-fin.CP · 2010 · author #3
  33. Implied Correlation for Pricing multi-FX options q-fin.PR · 2009 · author #1
  34. Modeling operational risk data reported above a time-varying threshold q-fin.RM · 2009 · author #1
  35. Dynamic operational risk: modeling dependence and combining different sources of information q-fin.RM · 2009 · author #2
  36. Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates q-fin.RM · 2009 · author #2
  37. Implementing Loss Distribution Approach for Operational Risk q-fin.RM · 2009 · author #1
  38. A "Toy" Model for Operational Risk Quantification using Credibility Theory q-fin.RM · 2009 · author #2
  39. Estimation of Operational Risk Capital Charge under Parameter Uncertainty q-fin.RM · 2009 · author #1
  40. Model uncertainty in claims reserving within Tweedie's compound Poisson models q-fin.RM · 2009 · author #2
  41. The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions q-fin.RM · 2009 · author #2
  42. Computing Tails of Compound Distributions Using Direct Numerical Integration q-fin.CP · 2009 · author #2
  43. The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management math.PR · 2007 · author #2

Mentions

  • 1611.08330 #2 · arxiv_oai · confidence 0.70 Pavel V. Shevchenko
  • 1606.08984 #2 · arxiv_oai · confidence 0.70 Pavel V. Shevchenko
  • 1508.00668 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1508.00322 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1507.07162 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1008.1108 #1 · arxiv_oai · confidence 0.70 Pavel V. Shevchenko
  • 1005.1705 #2 · arxiv_oai · confidence 0.70 Pavel V. Shevchenko
  • 1505.04757 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1411.5453 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1410.1101 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1408.6938 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1406.2133 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1312.0424 #4 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1306.1882 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 2605.27182 #3 · arxiv_oai · confidence 0.70 Pavel V. Shevchenko
  • 1303.2910 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1112.5766 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1105.5850 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1103.0606 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1011.2827 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1010.4406 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1010.0090 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1008.1108 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1005.1705 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 1004.2548 #3 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.4822 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.4075 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.4074 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.2910 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.1805 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.1772 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.1771 #1 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.1483 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.1361 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0904.0830 #2 · backfill · confidence 0.70 Pavel V. Shevchenko
  • 0710.3959 #2 · backfill · confidence 0.70 Pavel V. Shevchenko

Frequent Coauthors