Pavel V. Shevchenko

Available identifiers

zbMath Open shevchenko.pavel-vMaRDI QIDQ654837

List of research outcomes

Publication	Date of Publication	Type
Importance sampling for option pricing with feedforward neural networks	2025-01-09	Paper
Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension	2024-12-05	Paper
Multi-factor polynomial diffusion models and inter-temporal futures dynamics	2024-10-31	Paper
On autoregressive measurement errors in a two-factor model	2024-10-31	Paper
Life cycle insurance, bequest motives and annuity loads	2023-10-09	Paper
Cyber risk frequency, severity and insurance viability	2022-09-14	Paper
A bias-corrected least-squares Monte Carlo for solving multi-period utility models	2022-07-27	Paper
Myopic robust index tracking with Bregman divergence	2022-04-05	Paper
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences	2021-05-05	Paper
Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades	2019-05-28	Paper
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion	2018-11-19	Paper
Dependent default and recovery: Markov chain Monte Carlo study of downturn Loss Given Default credit risk model	2018-05-08	Paper
Machine learning techniques for mortality modeling	2018-01-12	Paper
HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS	2017-10-17	Paper
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate	2017-09-19	Paper
Optimal exercise strategies for operational risk insurance via multiple stopping times	2017-08-14	Paper
Optimal consumption, investment and housing with means-tested public pension in retirement	2017-07-17	Paper
https://portal.mardi4nfdi.de/entity/Q5744533	2016-02-18	Paper
HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS	2015-08-10	Paper
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization	2015-05-26	Paper
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models	2015-05-26	Paper
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts	2015-01-28	Paper
Bayesian model choice of grouped \(t\)-copula	2013-01-11	Paper
Chain ladder method: Bayesian bootstrap versus classical bootstrap	2012-02-10	Paper
Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation	2011-12-21	Paper
Implementing loss distribution approach for operational risk	2011-11-26	Paper
Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?	2011-08-01	Paper
The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management	2011-04-29	Paper
A short tale of long tail integration	2011-04-08	Paper
Model uncertainty in claims reserving within Tweedie's compound Poisson models	2011-01-20	Paper
Modelling operational risk using Bayesian inference.	2010-10-14	Paper
Computing tails of compound distributions using direct numerical integration	2010-02-05	Paper
Spin-wave Gap Critical Index for the Quantum Two-layer Heisenberg Antiferromagnet at T = 0	2003-06-04	Paper

Research outcomes over time

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