44 citations · 122 across the 13 of their papers we have counts for
17 papers
Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1
In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is ass…
Scenario-based actuarial climate risk assessment via calibration of the DICE model to the shared socioeconomic pathways
Daisuke Murakami, Pavel V. Shevchenko, Tomoko Matsui +2
Accounting for climate-related risks is an emerging problem for life insurers around the world. In this paper, we demonstrate how scenario trajectories for global temperature can b…
Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui +2
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number…
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar Arandjelović, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…
A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Pavel V. Shevchenko, Xiaolin Luo
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage…
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
Pavel V. Shevchenko, Xiaolin Luo
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the…
Variable Annuity with GMWB: surrender or not, that is the question
Xiaolin Luo, Pavel Shevchenko
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control proble…
Actuarial Applications and Estimation of Extended~CreditRisk
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
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 f…
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
Xiaolin Luo, Pavel V. Shevchenko
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under op…
Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
Xiaolin Luo, Pavel Shevchenko
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus…
Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Xiaolin Luo, Pavel V. Shevchenko
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the u…
Valuation of Barrier Options using Sequential Monte Carlo
Pavel V. Shevchenko, Pierre Del Moral
Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pri…
Optimal insurance purchase strategies via optimal multiple stopping times
Rodrigo S. Targino, Gareth W. Peters, Georgy Sofronov +1
In this paper we study a class of insurance products where the policy holder has the option to insure of its annual Operational Risk losses in a horizon of years. This invo…
When to Bite the Bullet? - A Study of Optimal Strategies for Reducing Global Warming
X. Luo, P. V. Shevchenko
This work is based on the framework proposed by Conrad (1997) to determine the optimal timing of an investment or policy to slow global warming. While Conrad formulated the problem…
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Gareth W. Peters, Aaron D. Byrnes, Pavel V. Shevchenko
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 2…
Implementing Loss Distribution Approach for Operational Risk
Pavel V. Shevchenko
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Appr…