Edit Profile (opens in new tab) Shevchenko, Pavel V. Compute Distance To: Compute Author ID: shevchenko.pavel-v Published as: Shevchenko, Pavel V.; Shevchenko, P. V.; Shevchenko, Pavel more...less Documents Indexed: 29 Publications since 1999, including 1 Book Co-Authors: 25 Co-Authors with 26 Joint Publications 346 Co-Co-Authors all top 5 Co-Authors 3 single-authored 8 Luo, Xiaolin 8 Peters, Gareth William 3 Wüthrich, Mario Valentin 2 Andréasson, Johan G. 2 Penev, Spiridon I. 2 Targino, Rodrigo S. 1 Ames, Matthew 1 Bagnarosa, Guillaume 1 Binkowski, Karol 1 Briers, Mark 1 Byrnes, Aaron D. 1 Deprez, Philippe 1 Doucet, Arnaud 1 Han, Junsheng 1 He, Peilun 1 Lichtenstern, Andreas 1 Ling, Timothy G. 1 Novikov, Aleksandr Aleksandrovich 1 Sayer, Brad 1 Sofronov, Georgy Yu. 1 Sushkov, O. P. 1 Trück, Stefan 1 Yip, Wendy 1 Young, Mark 1 Zagst, Rudi all top 5 Serials 7 Insurance Mathematics & Economics 3 Methodology and Computing in Applied Probability 3 The ANZIAM Journal 2 Quantitative Finance 2 European Actuarial Journal 1 Australian Journal of Physics 1 The Mathematical Scientist 1 Numerical Algorithms 1 European Journal of Operational Research 1 Applied Stochastic Models in Business and Industry 1 ASTIN Bulletin 1 Journal of Forecasting 1 Mathematics and Financial Economics 1 The Journal of Computational Finance 1 Dependence Modeling all top 5 Fields 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Statistics (62-XX) 5 Numerical analysis (65-XX) 3 Probability theory and stochastic processes (60-XX) 3 Operations research, mathematical programming (90-XX) 3 Systems theory; control (93-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications 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 1203.91114Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. 26 2009 Chain ladder method: Bayesian bootstrap versus classical bootstrap. Zbl 1231.91225Peters, 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 1318.91117Luo, Xiaolin; Shevchenko, Pavel V. 9 2015 The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management. Zbl 1210.91060Luo, Xiaolin; Shevchenko, Pavel V. 8 2010 Modelling operational risk using Bayesian inference. Zbl 1213.91011Shevchenko, Pavel V. 8 2011 Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. Zbl 1395.91503Shevchenko, Pavel V.; Luo, Xiaolin 8 2017 Machine learning techniques for mortality modeling. Zbl 1405.91254Deprez, 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 1218.91091Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. 5 2011 Implementing loss distribution approach for operational risk. Zbl 1226.91080Shevchenko, 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 1228.91046Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; Yip, Wendy 4 2011 Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. Zbl 1314.91241Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. 3 2015 Optimal consumption, investment and housing with means-tested public pension in retirement. Zbl 1394.91184Andréasson, Johan G.; Shevchenko, Pavel V.; Novikov, Alex 3 2017 Computing tails of compound distributions using direct numerical integration. Zbl 1183.91185Luo, Xiaolin; Shevchenko, Pavel V. 2 2009 A short tale of long tail integration. Zbl 1211.65031Luo, Xiaolin; Shevchenko, Pavel V. 2 2011 Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Zbl 1307.91179Peters, 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 1403.91323Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei 2 2019 Optimal exercise strategies for operational risk insurance via multiple stopping times. Zbl 1370.60081Targino, 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 1445.62041Binkowski, Karol; He, Peilun; Kordzakhia, Nino; Shevchenko, Pavel 1 2019 Bayesian model choice of grouped \(t\)-copula. Zbl 1293.90018Luo, Xiaolin; Shevchenko, Pavel V. 1 2012 Holder-extendible European option: corrections and extensions. Zbl 1320.91147Shevchenko, Pavel V. 1 2015 The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. Zbl 1403.91323Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei 2 2019 On the parameter estimation in the Schwartz-Smith’s two-factor model. Zbl 1445.62041Binkowski, Karol; He, Peilun; Kordzakhia, Nino; Shevchenko, Pavel 1 2019 Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. Zbl 1395.91503Shevchenko, Pavel V.; Luo, Xiaolin 8 2017 Machine learning techniques for mortality modeling. Zbl 1405.91254Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V. 7 2017 Optimal consumption, investment and housing with means-tested public pension in retirement. Zbl 1394.91184Andréasson, Johan G.; Shevchenko, Pavel V.; Novikov, Alex 3 2017 Optimal exercise strategies for operational risk insurance via multiple stopping times. Zbl 1370.60081Targino, 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 1318.91117Luo, Xiaolin; Shevchenko, Pavel V. 9 2015 Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. Zbl 1314.91241Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. 3 2015 Holder-extendible European option: corrections and extensions. Zbl 1320.91147Shevchenko, Pavel V. 1 2015 Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Zbl 1307.91179Peters, Gareth William; Briers, Mark; Shevchenko, Pavel; Doucet, Arnaud 2 2013 Bayesian model choice of grouped \(t\)-copula. Zbl 1293.90018Luo, Xiaolin; Shevchenko, Pavel V. 1 2012 Modelling operational risk using Bayesian inference. Zbl 1213.91011Shevchenko, Pavel V. 8 2011 Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses? Zbl 1218.91091Peters, 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 1228.91046Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; Yip, Wendy 4 2011 A short tale of long tail integration. Zbl 1211.65031Luo, Xiaolin; Shevchenko, Pavel V. 2 2011 Chain ladder method: Bayesian bootstrap versus classical bootstrap. Zbl 1231.91225Peters, 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 1210.91060Luo, Xiaolin; Shevchenko, Pavel V. 8 2010 Implementing loss distribution approach for operational risk. Zbl 1226.91080Shevchenko, Pavel V. 5 2010 Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. 26 2009 Computing tails of compound distributions using direct numerical integration. Zbl 1183.91185Luo, Xiaolin; Shevchenko, Pavel V. 2 2009 all cited Publications top 5 cited Publications 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 all top 5 Cited in 31 Serials 24 Insurance Mathematics & Economics 11 North American Actuarial Journal 10 ASTIN Bulletin 4 Quantitative Finance 3 Applied Mathematics and Computation 3 Journal of Multivariate Analysis 3 European Journal of Operational Research 3 Methodology and Computing in Applied Probability 3 Scandinavian Actuarial Journal 3 Statistics and Computing 2 Journal of Statistical Computation and Simulation 2 European Actuarial Journal 2 Dependence Modeling 1 Scandinavian Journal of Statistics 1 Statistica 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Journal of Global Optimization 1 Statistical Papers 1 Soft Computing 1 International Journal of Theoretical and Applied Finance 1 Applied Stochastic Models in Business and Industry 1 The ANZIAM Journal 1 Iranian Journal of Science and Technology. Transaction A: Science 1 Natural Computing 1 Computational Management Science 1 Mathematics and Financial Economics 1 AStA. Advances in Statistical Analysis 1 Statistics Surveys 1 Science China. Mathematics 1 Journal of Theoretical Biology all top 5 Cited in 12 Fields 68 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 53 Statistics (62-XX) 16 Probability theory and stochastic processes (60-XX) 7 Numerical analysis (65-XX) 4 Operations research, mathematical programming (90-XX) 3 Computer science (68-XX) 3 Biology and other natural sciences (92-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year