Innovative risk analytics solutions
We are a cross-disciplinary research team collaborating with academia and industry on risk analytics solutions.
The Lab was founded in 2016 by Professor Pavel Shevchenko. It offers risk analytics solutions across several domains, including:
- demography
- economics
- energy
- environmental finance
- finance
- insurance
- superannuation.
Our objectives
We aim to:
- develop and apply innovative risk analytics solutions via fundamental research and industry linked projects
- facilitate knowledge exchange between academia, industry and policymakers
- strengthen and promote the connection between fundamental research and industry practice.
Key research areas
- Claims reserving in insurance
- Climate risk
- Credit risk
- Cyber risk
- Energy and commodity markets
- Financial derivatives
- Market risk
- Mortality modelling
- Operational risk
- Portfolio optimisation
- Retirement income products.
Mortality modelling
The Risk Analytics Lab’s project ‘Crunching mortality using stochastic models’ is a research collaboration.
Team:
- Philippe Deprez
- Man Chung Fung
- J Hirz
- Gareth W Peters
- Uwe Schmock
- Professor Pavel Shevchenko
- Dorota Toczydlowska
- Mario V Wüthrich.
Decisions in retirement
This project develops pricing of retirement income products such as variable annuity guarantees, and studies optimal decisions in retirements such as optimal allocation into risky assets, annuity and housing.
Team:
- Johan Andréasson
- Xiaolin Luo
- Alex Novikov
- Professor Pavel Shevchenko
- Jin Sun.
Pricing financial derivatiates
The Risk Analytics Lab’s project on pricing financial derivatives is a collaboration.
Team:
- Xiaolin Luo
- Pierre Del Moral
- Professor Pavel Shevchenko.
Climate change mitigation
Optimising climate change mitigation costs using optimal stochastic control framework.
Team:
- Dr Matthew Ames
- Professor Tomoko Matsui
- Dr Daisuke Murakami
- Professor Pavel Shevchenko.
Cyber risk
We are researching understanding of cyber risk and cyber insurance.
Team:
- Ruben Cohen
- Diane Murice
- Professor Gareth Peters
- Professor Pavel Shevchenko.
Modelling commodities
The project on modelling commodity futures prices is run by a team of collaborators.
Team:
- Dr Matthew Ames
- Dr Guillaume Bagnarosa
- Dr Karol Binkowski
- Dr Nino Kordzakhia
- Professor Tomoko Matsui
- Professor Gareth Peters
- Professor Pavel Shevchenko.
Portfolio optimisation
Team:
- Dr Matthew Ames
- Dr Guillaume Bagnarosa
- Professor Tomoko Matsui
- Spiridon Penev
- Professor Gareth Peters
- Professor Pavel Shevchenko
- Wei Wu.
Lab Director: Professor Pavel Shevchenko
Members:
Research Associates/Postdoctoral Fellows:
- Dr Xiaolin Luo, 2017-2018
- Dr Johan Andreasson, 2017-2018
- Dr Wei Wu, UNSW, 2016-2019
- Dr Simon Fung, CSIRO, 2016-2017
Affiliated members:
- Professor Gareth Peters, University of California, Santa Barbara
- Dr Robert Bursill, Owner and Director at Vector Risk Pty Ltd
- Professor Youri Kabanov, University of Franche-Comté (Besançon)
- Professor Pierre Del Moral, INRIA Bordeaux
- Associate Professor Artem Prokhorov, University of Sydney Business School
- Dr Alex Sava, Director, Aeris Environmental Ltd
Visitors:
- Professor Gareth Peters (University of California, Santa Barbara, 2025)
- Professor Uwe Schmock (Vienna University of Technology, 2023)
- Professor Jean-Pierre Fouque (University of California Santa Barbara, 2019)
- Andreas Lichtenstern (Munich TU), February-July 2018
- Professor Youri Kabanov (University of Franche-Comté), November 2017
- Dr Man Chung Fung (CSIRO), September 2016 - September 2017
- Dr Jonas Hirz (Vienna TU), December 2016
PhD students:
- Kevin Nixon, Macquarie University, 2025
- Aleksandar Arandjelovic, Vienna TU and Macquarie University, 2021-2025
- Peilun He, Macquarie University, 2020-25
- Jun Han, Macquarie University, 2021-2024
- Nikolay Bondarenko, Macquarie University and Moscow State University, 2019-2021
- Johan Andreasson, UTS, 2014-2017
- Jin Sun, UTS, 2016-2019
MRes students:
- Aidan Van Klaveren, Macquarie University, 2025
- Kevin Nixon, Macquarie University, 2024
- Sophie Howard (Bachelor Honours), Macquarie University, 2023
- Jun Han, Macquarie University, 2020
- Peilun He, Macquarie University, 2019
- Jie Zhu, Macquarie University, 2017
- Denny Wan, Macquarie University, 2018