Publications

Working papers

2018

Peters, G.W.; Shevchenko, P.V.; Cohen, R.D. (2018) Understanding Cyber Risk and Cyber Insurance

Peters, G.W.; Shevchenko, P.V.; Cohen, R.D.; Maurice D (2018) Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Fung, M.C.; Peters, G.W.; Shevchenko, P.V. (2018) Cohort effects in mortality modelling: a Bayesian state-space approach

Andreasson, J.G; Shevchenko, P.V. (2018) Optimal annuitisation, housing decisions and means-tested public pension in retirement under expected utility stochastic control framework

2017

Liu, F; Kalotay, E; Trueck, S (2017) Assessing Sovereign Default Risk: A Bottom-Up Approach

Han, L; Kordzakhia, N; Trueck, S (2017) Volatility Spillovers in Australian Electricity Markets

Okhrin, O; Ristig, A; Sheen, J; Trueck, S (2017) Quantifying effects from extreme events with applications to financial crises

Nazifi, F; Trüeck, S; Zhu, L (2017) Carbon Pass Through Rates on Electricity Spot Prices in Australia

Sun, J; Shevchenko, P.V. ; Fung, M C (2017) A note on the impact of management fees on the pricing of variable annuity guarantees

Andreasson, J.G; Shevchenko, P.V. (2017) Bias-corrected Least-Squares Monte Carlo for utility based optimal stochastic control problems

Ames, M; Bagnarosa, G; Peters, G.W.; Shevchenko, P.V. (2017) Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Deprez, P; Shevchenko, P.V; Wüthrich, M.V. (2017) Machine Learning Techniques for Mortality Modeling

Hirz, J; Schmock, U; Shevchenko, P.V. (2017) ACTUARIAL APPLICATIONS AND ESTIMATION OF EXTENDED CREDITRISK+

Shevchenko P.V.; Luo, X (2017) Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate

Andreasson, J.G; Shevchenko, P.V. (2017) Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in Retirement

Fung, M.C.; Peters, G.W.; Shevchenko, P.V. (2017) A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

2016

de Jong, P; Tickle, L; Xu, J (2016) A Transparent Parametrization of the Lee-Carter Model Based on "Needed Exposure"

Trueck, S; Wellmann, D (2016) Exchange Rates and Unobservable Fundamentals: A New Approach to Out-of-sample Forecasting

Maryniak, P; Trueck, S; Weron, R (2016) Carbon Pricing, Forward Risk Premiums and Pass-Through Rates in Australian Electricity Futures Markets

Truong, C; Trueck, S; Mathew, S (2016) Managing Risks from Climate Impacted Hazards - The Value of Investment Flexibility under Uncertainty

Truong, C; Trueck, S; Siu, TK (2016) A Bayesian Real Options Model for Adaptation to Catastrophic Risk under Climate Change Uncertainty

Aoude, S; De Mello, L; Trueck, S (2016) Electricity Futures Markets in Australia – An Analysis of Risk Premiums during the Delivery Period

Trueck, S; Yu, Y (2016) Investor Herding and Dispersing in the Renewable Energy Sector

Trueck, S; Weron, R (2016) Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period

2015

Okhrin, O; Ristig, A; Sheen, J; Trueck, S (2015) Conditional Systemic Risk with Penalized Copula

Trueck, S; Wellmann, D (2015) Factors of the Term Structure of Sovereign Yield Spreads

Vassallo, A; Fisher, L; Kingston, G (2015) Protecting Retirement Wealth: A Survey of Australian Products

Sadeghi, M (2015) The Systemic Benefits of Islamic Banking and Finance Practices: A Comparative Study

Mayer, K, Trueck, S (2015) Electricity Markets around the World

Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2015) Retirement Wealth Outcomes for Superannuation Portfolios: A Risk-Adjusted Analysis

Pastorekova, S, Sheen, J, Trueck, S, Truong, C, Wang, B (2015) Can a Real-Time Business Conditions Indicator Help to Predict Stock Returns?

Wellmann, D, Trueck, S (2015) Forecasting the term structure of interest rates in low yield environments: why is it so hard to beat the random walk?

Longden, T, Mathew, S, Trueck, S (2015) A matter of time: an analysis of decision making using estimates for the frequency and severity of bushfire risk

2014

Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2014) The Diversification Delta: A Different Perspective

Truong, C, Trueck, S (2014) It's not now or never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events

Keighley, T, Longden, T, Mathew, S, Trueck, S (2014) Quantifying catastrophic and climate impacted hazards based on local expert opinions

Sheen, J, Trueck, S, Truong, C, Wang, B (2014) Systemic Financial Risk Interference in a Global Setting

Milunovich, G (2014) Complete and Partial Identification of the A- and B-Models in the Context of Heteroskedastic SVARs.

Cummings, J, Durrani, K (2014) Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks.

Hollander, H, Trueck, S (2014) Modelling the Term Structure of Credit Default Swap Spreads

Sheen, J, Trueck, S, Wang, B (2014) Understanding a small open Economy Business Conditions Index

Handika, R., Trueck, S, Truong, C, Weron, R (2014) Modeling Price Spikes in Electricity Markets: The Impact of Load, Weather and Capacity, Macquarie University

Handika, R., Trueck, S (2014) The Dynamics of Risk Premiums in Australian Electricity Futures Markets, Macquarie University

Handika, R., Trueck, S (2014) Risk Premiums in Interconnected Australian Electricity Futures Markets, Macquarie University

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