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Managing operational risk : methodology and prospects

Temnov, Grigory - In: Mathematical control theory and finance, (pp. 397-417). 2008

Persistent link: https://www.econbiz.de/10003755898

New ways of modeling loan-to-income distributions and their evolution in time : a probability copula approach

Gerth, Florian; Temnov, Grigory - In: International review of economics & finance : IREF 71 (2021), pp. 217-236

Persistent link: https://www.econbiz.de/10012627775

Modelling operational risk using Bayesian inference

Shevchenko, Pavel V. - 2011

Persistent link: https://www.econbiz.de/10008823567

Calculation of aggregate loss distributions

Shevchenko, Pavel V. - In: The journal of operational risk 5 (2010/11) 2, pp. 3-40

Persistent link: https://www.econbiz.de/10003996356

Computing tails of compound distributions using direct numerical integration

Luo, Xiaolin; Shevchenko, Pavel V. - In: The journal of computational finance 13 (2009/10) 2, pp. 73-111

Persistent link: https://www.econbiz.de/10003949897

Chain ladder method : Bayesian bootstrap versus classical bootstrap

Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V. - In: Insurance 47 (2010) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10003985384

Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

Persistent link: https://www.econbiz.de/10011643397

Impact of insurance for operational risk : is it worthwhile to insure or be insured for severe losses?

Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. - In: Insurance 48 (2011) 2, pp. 287-303

Persistent link: https://www.econbiz.de/10008989317

Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance 49 (2011) 3, pp. 565-579

Persistent link: https://www.econbiz.de/10009404668