38 citations · 118 across the 15 of their papers we have counts for
4 papers · 1 filter
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existi…
Forecasting Leading Death Causes in Australia using Extended CreditRisk
Pavel V. Shevchenko, Jonas Hirz, Uwe Schmock
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk methodology which is very different from traditional time ser…
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Gareth W. Peters, Mario V. Wüthrich, Pavel V. Shevchenko
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to es…
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
P. V. Shevchenko
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard dis…