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Shevchenko, Pavel V.

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Author ID: shevchenko.pavel-v Recent zbMATH articles by "Shevchenko, Pavel V."
Published as: Shevchenko, Pavel V.; Shevchenko, P. V.; Shevchenko, Pavel
Documents Indexed: 29 Publications since 1999, including 1 Book
Co-Authors: 25 Co-Authors with 26 Joint Publications
346 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

20 Publications have been cited 110 times in 92 Documents Cited by Year
Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V.
26
2009
Chain ladder method: Bayesian bootstrap versus classical bootstrap. Zbl 1231.91225
Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V.
11
2010
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization. Zbl 1318.91117
Luo, Xiaolin; Shevchenko, Pavel V.
9
2015
The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management. Zbl 1210.91060
Luo, Xiaolin; Shevchenko, Pavel V.
8
2010
Modelling operational risk using Bayesian inference. Zbl 1213.91011
Shevchenko, Pavel V.
8
2011
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. Zbl 1395.91503
Shevchenko, Pavel V.; Luo, Xiaolin
8
2017
Machine learning techniques for mortality modeling. Zbl 1405.91254
Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V.
7
2017
Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses? Zbl 1218.91091
Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V.
5
2011
Implementing loss distribution approach for operational risk. Zbl 1226.91080
Shevchenko, Pavel V.
5
2010
Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation. Zbl 1228.91046
Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; Yip, Wendy
4
2011
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. Zbl 1314.91241
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V.
3
2015
Optimal consumption, investment and housing with means-tested public pension in retirement. Zbl 1394.91184
Andréasson, Johan G.; Shevchenko, Pavel V.; Novikov, Alex
3
2017
Computing tails of compound distributions using direct numerical integration. Zbl 1183.91185
Luo, Xiaolin; Shevchenko, Pavel V.
2
2009
A short tale of long tail integration. Zbl 1211.65031
Luo, Xiaolin; Shevchenko, Pavel V.
2
2011
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Zbl 1307.91179
Peters, Gareth William; Briers, Mark; Shevchenko, Pavel; Doucet, Arnaud
2
2013
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. Zbl 1403.91323
Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei
2
2019
Optimal exercise strategies for operational risk insurance via multiple stopping times. Zbl 1370.60081
Targino, Rodrigo S.; Peters, Gareth W.; Sofronov, Georgy; Shevchenko, Pavel V.
2
2017
On the parameter estimation in the Schwartz-Smith’s two-factor model. Zbl 1445.62041
Binkowski, Karol; He, Peilun; Kordzakhia, Nino; Shevchenko, Pavel
1
2019
Bayesian model choice of grouped \(t\)-copula. Zbl 1293.90018
Luo, Xiaolin; Shevchenko, Pavel V.
1
2012
Holder-extendible European option: corrections and extensions. Zbl 1320.91147
Shevchenko, Pavel V.
1
2015
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. Zbl 1403.91323
Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei
2
2019
On the parameter estimation in the Schwartz-Smith’s two-factor model. Zbl 1445.62041
Binkowski, Karol; He, Peilun; Kordzakhia, Nino; Shevchenko, Pavel
1
2019
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. Zbl 1395.91503
Shevchenko, Pavel V.; Luo, Xiaolin
8
2017
Machine learning techniques for mortality modeling. Zbl 1405.91254
Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V.
7
2017
Optimal consumption, investment and housing with means-tested public pension in retirement. Zbl 1394.91184
Andréasson, Johan G.; Shevchenko, Pavel V.; Novikov, Alex
3
2017
Optimal exercise strategies for operational risk insurance via multiple stopping times. Zbl 1370.60081
Targino, Rodrigo S.; Peters, Gareth W.; Sofronov, Georgy; Shevchenko, Pavel V.
2
2017
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization. Zbl 1318.91117
Luo, Xiaolin; Shevchenko, Pavel V.
9
2015
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. Zbl 1314.91241
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V.
3
2015
Holder-extendible European option: corrections and extensions. Zbl 1320.91147
Shevchenko, Pavel V.
1
2015
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Zbl 1307.91179
Peters, Gareth William; Briers, Mark; Shevchenko, Pavel; Doucet, Arnaud
2
2013
Bayesian model choice of grouped \(t\)-copula. Zbl 1293.90018
Luo, Xiaolin; Shevchenko, Pavel V.
1
2012
Modelling operational risk using Bayesian inference. Zbl 1213.91011
Shevchenko, Pavel V.
8
2011
Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses? Zbl 1218.91091
Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V.
5
2011
Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation. Zbl 1228.91046
Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; Yip, Wendy
4
2011
A short tale of long tail integration. Zbl 1211.65031
Luo, Xiaolin; Shevchenko, Pavel V.
2
2011
Chain ladder method: Bayesian bootstrap versus classical bootstrap. Zbl 1231.91225
Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V.
11
2010
The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management. Zbl 1210.91060
Luo, Xiaolin; Shevchenko, Pavel V.
8
2010
Implementing loss distribution approach for operational risk. Zbl 1226.91080
Shevchenko, Pavel V.
5
2010
Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V.
26
2009
Computing tails of compound distributions using direct numerical integration. Zbl 1183.91185
Luo, Xiaolin; Shevchenko, Pavel V.
2
2009
all top 5

Cited by 156 Authors

12 Shevchenko, Pavel V.
10 Peters, Gareth William
4 Wüthrich, Mario Valentin
3 Hartman, Brian M.
3 Sofronov, Georgy Yu.
3 Targino, Rodrigo S.
3 Taylor, Greg
2 Avanzi, Benjamin
2 Boratyńska, Agata
2 Chan, Jennifer So Kuen
2 Dean, Thomas A.
2 Dong, Alice X. D.
2 Ignatieva, Katja
2 Jasra, Ajay
2 Jung, Kwangmin
2 Luo, Xiaolin
2 Molent, Andrea
2 Shi, Peng
2 Singh, Sumeetpal S.
2 Tan, Ken Seng
2 Valdez, Emiliano A.
2 Vu, Phuong Anh
2 Wong, Bernard
2 Zhang, Yanwei
2 Ziveyi, Jonathan
1 Afuecheta, Emmanuel
1 Alai, Daniel H.
1 Amin, Zeinab H.
1 Andréasson, Johan G.
1 Apicella, Giovanna
1 Badescu, Andrei L.
1 Balakrishnan, Narayanaswamy
1 Banachewicz, Konrad
1 Basu, Sanjib
1 Baviera, Roberto
1 Behboodian, Javad
1 Bianchi, Giulia
1 Binkowski, Karol
1 Blake, David
1 Boumezoued, Alexandre
1 Byrnes, Aaron D.
1 Cairns, Andrew J. G.
1 Carrizosa, Emilio
1 Chan, Stephen Chi-fai
1 Chiu, Michael
1 Constantinou, Nick
1 Dacorogna, Michel M.
1 Denuit, Michel M.
1 Di Lorenzo, Emilia
1 Díaz Hernández, Adán
1 Dong, Bing
1 Dupin, Gilles
1 Elfassihi, Amal
1 Eling, Martin
1 Everitt, Richard Geoffrey
1 Fabozzi, Frank J.
1 Fan, Yanan
1 Fermanian, Jean-David
1 Fung, Tsz Chai
1 Furrer, Christian
1 Gan, Guojun
1 Gao, Guangyuan
1 Giacometti, Rosella
1 Goffard, Pierre-Olivier
1 Goudenège, Ludovic
1 Groendyke, Chris
1 Gudkov, Nikolay
1 Guillen, Montserrat
1 Gzyl, Henryk
1 Han, Junsheng
1 Hasenauer, Jan
1 Hashorva, Enkelejd
1 He, Peilun
1 Heberle, Jochen
1 Hou, Yanxi
1 Hua, Lei
1 Ibrahim, Siti Nur Iqmal
1 Jackson, Kenneth R.
1 Jankowski, Andrzej Wojciech
1 Ji, Liuyan
1 Joe, Harry
1 Kang, Boda
1 Kato, Takashi
1 Kiermayer, Mark
1 Koenig, Emmanuel
1 Kohn, Robert J.
1 Koo, Bonsoo
1 Kouritzin, Michael A.
1 Kreinin, Alexander Y.
1 Kwok, Yue-Kuen
1 Kypraios, Theodore
1 Lally, Nathan R.
1 Landsman, Zinoviy M.
1 Laub, Patrick J.
1 Le Moine, Pierre
1 Levantesi, Susanna
1 Li, Deyuan
1 Li, Han
1 Li, Jackie Ji
1 Lichtenstern, Andreas
...and 56 more Authors

Citations by Year