Yuriy Krvavych
Some selected papers on Actuarial and Financial Mathematics

(see also the list of my publications on AMS MathSciNet )

1. 2009. Stephen Britt and Yuriy Krvavych, Reinsurance credit risk modelling: DFA approach. Working paper, Group Actuarial and Capital Planning, Insurance Australia Group (IAG), Sydney, Australia (to be presented at ASTIN Colloquium 2009 in Helsinki, Finland, PDF)
2. 2006. Yuriy Krvavych and Michael Sherris, Enhancing insurer value through reinsurance optimization. Insurance: Mathematics and Economics, Volume 38, Issue 3, Pages 495-517 .(PDF)
3. 2004. Ji-Wook Jang and Yuriy Krvavych, Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. Insurance: Mathematics and Economics, Volume 35, Issue 1, Pages 97-111 (PDF)
4. 2003. Ji-Wook Jang and Yuriy Krvavych, Shot noise process and pricing of extreme insurance claims in an economic environment. Working paper, Actuarial Studies, UNSW, Sydney, Australia (PDF)
5. 2002. Krvavych Yu. Stock Price Modelling by Long-Memory Processes: Overview of the Fractional Brownian Motion Approach. Was presented at the 2^nd Actuarial Studies Research @UNSW Symposium, Sydney, Australia, 19 November 2002 ?(PDF)
6. 2001. Krvavych Yu. Stochastic integrals and stochastic differential equations (SDE) containing fractional Brownian motion (fBm) and their applications in Finance. Candidate of Science (PhD) Thesis in Probability and Statistics (with application to finance)? (PDF, in Ukrainian).
7. 2001. Krvavych, Yu.: On existence of insurer's optimal excess of loss reinsurance strategy. Published in the Proceedings of 32^nd ASTIN Colloquium of the IAA, Washington D.C., 8-12 July 2001. (PDF)
8. 2001. Krvavych, Yu.: On the stock price model defined by the fractional Brownian semilinear stochastic differential equation: measure transformation and equilibrium of stock market. Published in the Proceedings of 11^th AFIR Colloquium of the IAA, Toronto, 5-8 September 2001. (PDF)
9. 2001. Krvavych Yu., Mishura, Yu.: The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator. Theory of Random Process, vol. 6(22), №1-2. (PDF)
10. 2001. Krvavych, Yu., Mishura, Yu.: Differentiability of fractional integrals with kernels that defined by fractional Brownian motion. The Ukrainian Mathematical Journal, v.53, №1, pp. 30-40. (PDF, in Ukrainian), (PDF in English, translated by Kluwer).
11. 2001. Krvavych, Yu., Mishura, Yu: Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equation. Mathematical finance (Konstanz, 2000), 230--238, Trends Math., Birkh䵳er, Basel. (PDF)
12. 2000. Krvavych, Yu., Mergel V.: Large Loss Distributions: probabilistic properties, EVT tools, maximum entropy characterization. 31^st ASTIN Proceedings, Porto Cervo, Sardinia, September 17-21,2000. (PDF)
13. 2000. Krvavych, Yu., Mishura, Yu.: The presence and absence of arbitrage conditions in the (B,S)-market which defined by fractional Brownian motion. Bulletin of the T. Shevchenko National University of Kiev, №4, pp. 9 - 16. It was presented at the First Bachelier Finance Society Congress in Paris, June 2000 (PDF)
14. 1999. Krvavych, Yu., Mishura, Yu. : The upper and lower maximal estimations for moments of Wiener integrals with respect to fractional Brownian motions. Theory and Math. Statistics Journal, vol. 61, pp. 72-83. (PDF, in Ukrainian)
15. 1999. Krvavych, Yu. Large Loss Distributions: some EVT tools. (Postgraduate Diploma Work in Actuarial Science, the Institute of Actuaries, UK.) (Post Script)
16. 1998. Krvavych, Yu, Kovtun, I.: The insurance tariffs calculation for small object with heightened danger. Financial Services Journal (Finansovye Uslugi, Kiev - Ukraine), №5-6 (In Russian). ?(PDF)