Pavel V. Shevchenko

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Xiaolin LuoCSIRO確認したメールアドレス: csiro.au
Oleg SushkovUniversity of New South Wales確認したメールアドレス: phys.unsw.edu.au
Simon Man Chung FungCredit Model Analytics, Commonwealth Bank of Australia確認したメールアドレス: cba.com.au
Georgy SofronovAssociate Professor, School of Mathematical and Physical Sciences, Macquarie University, Sydney確認したメールアドレス: mq.edu.au
Sergey VladimirovUniversity of Sydney, JIHT Russian Academy of Sciences確認したメールアドレス: sydney.edu.au
Stefan TrückMacquarie University確認したメールアドレス: mq.edu.au
Matteo MalavasiUniversity of New South Wales確認したメールアドレス: unsw.edu.au
Tomoko MatsuiInstitute of Statistical Mathematics確認したメールアドレス: ism.ac.jp
Rodrigo S. TarginoAssistant Professor, EMAp/FGV確認したメールアドレス: fgv.br
Guillaume BagnarosaRennes School of Business確認したメールアドレス: rennes-sb.com
Bertrand HassaniUniversité Paris 1 Pantheon-Sorbonne, University College London確認したメールアドレス: quant.global
Uwe SchmockUniv.-Prof. Dr., Financial and Actuarial Mathematics, TU Vienna確認したメールアドレス: fam.tuwien.ac.at
Ruben D CohenHowden Group Holdings確認したメールアドレス: howdengroup.com
Anders SandvikProfessor of Physics, Boston University確認したメールアドレス: buphy.bu.edu
NOVIKOV AlexanderUniversity of Technology Sydney確認したメールアドレス: uts.edu.au
Spiridon PenevThe University of New South Wales確認したメールアドレス: unsw.edu.au
Dorota ToczydłowskaUniversity of Technology Sydney確認したメールアドレス: uts.edu.au
Mark BriersAlan Turing Institute確認したメールアドレス: turing.ac.uk
Arnaud DoucetGoogle DeepMind確認したメールアドレス: google.com
Aleksandar ArandjelovićVienna University of Economics and Business確認したメールアドレス: wu.ac.at

フォロー

Pavel V. Shevchenko

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

確認したメールアドレス: mq.edu.au - ホームページ

financial risk financial mathematics


タイトル引用回数順公開年順タイトル順	引用先引用先	年
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	172	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	102	2010
Machine learning techniques for mortality modeling P Deprez, PV Shevchenko, MV Wüthrich European Actuarial Journal 7, 337-352, 2017	101	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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