Peer-reviewed publications

  • Andréasson JG, Shevchenko PV. “Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement”. Risks. 2017; 5(3): 47.
  • Andréasson, Shevchenko, and Novikov. "Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement." Insurance Mathematics and Economics 75 (2017): 32-47.
  • Bao C, Zhu, Z, Langrene, N and Lee, G 2015, ‘Multi-period dynamic portfolio optimization through least squares learning, IAENG Transactions on Engineering Sciences, World Scientific Publishing, pp. 29–42, ISBN 978-981-4667-35-7
  • Bianchi, R, Drew, M, Walk, A and Wiafe, O. “Retirement Adequacy of Indigenous Australians: A Baseline Study.” Economic Papers: A Journal of Applied Economics and Policy 35, no. 4 (2016): 359-74. 
  • Chen, D, Dempsey, M and Lajbcygier, P 2015, ‘Is fundamental indexation able to time the market? Evidence from the DJIA & the Russell 1000’, Journal of International Financial Market, Institutions and Money, vol. 37, pp. 162–77.
  • Cobb-Clark, DA, Kassenboehmer, SC and Sinning, M 2016, ‘Locus  of control and savings’, Journal of Banking and Finance, vol. 73, December,  pp.  113–130.
  • Do, V, Faff, R, Lajbcygier, P, Veeraraghavan, M and Tupitsyn, M 2016, ‘Factors affecting CTA birth and fund flow’, Australian Journal of Management, vol. 41, May, pp. 324–52.
  • Drew, M, Stoltz, P, Walk, A and West, J 2014, ‘Retirement adequacy through higher contributions: Is this the only way?’, The Journal of Retirement, vol. 1, no. 4, pp. 1–18.
  • Drew, M, Walk, A and West, J 2016, ‘Withdrawal capacity in the face of expected and unexpected health and aged-care expenses during retirement’, The Journal of Retirement, vol. 3, no. 3, pp. 77–94.
  • Drew, M, Stoltz, P, Walk, A and West, J 2014, ‘Retirement adequacy through higher contributions: Is this the only way?’, The Journal of Retirement, vol. 1, no. 4, pp. 1–18.
  • Duong, Huu Nhan, Paul Lajbcygier, and Van Hoang Vu. “The Information Content of Special Orders.” Pacific-Basin Finance Journal 45 (2017): 68-81.
  • Feng, J and Gerrans, P 2016, ‘Patterns of voluntary contributions to superannuation: A longitudinal analysis’, JASSA, The Finsia Journal of Applied Finance, iss. 2, pp. 63−71.
  • Frijters, P, Johnston, D, Shields, M and Kompal, S 2015, A lifecycle perspective of stock market performance and wellbeing, Journal of Economic Behavior and Organization, vol. 112.
  • Fung, M. C., Peters, G. W., & Shevchenko, P. V. 2015. 'A State-space estimation of the Lee-Carter mortality model and implications for annuity pricing'. In MODSIM 2015: 21st International Congress on Modelling and Simulation : Proceedings (pp. 952-958).
  • Fung, M., Peters, G., & Shevchenko, P. "A Unified Approach to Mortality Modelling Using State-space Framework: Characterisation, Identification, Estimation and Forecasting." Annals of Actuarial Science 11, no. 2 (2017): 343-89.
  • Gerrans, Moulang, Feng, and Strydom. “Individual and Peer Effects in Retirement Savings Investment Choices.” Pacific-Basin Finance Journal 47 (2018): 150-65.
  • Gerrans, P, Strydom, M, Moulang, C and Feng, J 2016, ‘Investment strategy on retirement savings: An analysis of the experience of fund members’, JASSA, The Finsia Journal of Applied Finance, iss. 2, pp. 54−62.
  • Giesecke, J, Dixon, P and Rimmer, M 2016, ‘Modelling the macroeconomic effects of an increase in superannuation contributions, JASSA, The Finsia Journal of Applied Finance, iss. 2, pp.  72–82.
  • Hirz J, Schmock U, Shevchenko PV. “Actuarial Applications and Estimation of Extended CreditRisk+”. Risks. 2017; 5(2): 23.
  • Johnston, D, Kassenboehmer, SC and Shields, M 2016 (forthcoming), ‘Financial decision-making in the household: Exploring the importance of survey respondent, health, cognitive ability and personality, Journal of Economic Behavior and Organization.
  • Lajbcygier, P and Sojka, J 2015, ‘The viability of alternative indexation when including all costs’, International Review of Financial Analysis, vol. 38, pp.  109–41.
  • Luo, X and Shevchenko, PV 2015, ‘Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization’, Insurance: Mathematics and Economics, vol. 62, pp. 5–15.
  • Pham, M. C., Duong, H. N., and Lajbcygier, P. “A Comparison of the Forecasting Ability of Immediate Price Impact Models.” Journal of Forecasting. 2017; 36(8): 898-918.
  • Ralston, D and Feng, J 2017, ‘Towards a self‑funded retirement: will superannuation substitute for the age pension?’, Australian Tax Forum, vol. 32, pp. 607-628
  • Shevchenko, Pavel, and Xiaolin Luo. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework." Risks 4, no. 3 (2016): 22.
  • Shevchenko, P. V. and Luo X. "Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate." Insurance Mathematics and Economics 76 (2017): 104-17.
  • Sneddon, T, Reeson, A, Zhu, Z, Stephenson, A, Hobman, E and Toscas, P 2016, ‘Superannuation drawdown behaviour’, JASSA, The Finsia Journal of Applied Finance, iss. 2, pp. 42−53.
  • Sneddon, T, Zhu, Z and O’Hare, C 2015, ‘Modelling Retirement Outcomes: a Stochastic Approach Using Australia as a Case Study’, CSIRO E-Publish: EP15094.
  • Taylor, P and Earl, C 2015, ‘The social construction of retirement and evolving policy discourse of working longer’, Journal of Social Policy, vol. 45, no. 2, pp. 251−68.
  • Tupitsyn, M and Lajbcygier, P 2013, ‘Hedge funds: Replication and nonlinearities, in Alternative Investments: Balancing opportunity and Risk, eds H Kent Baker and G Filbeck, Wiley, pp. 541–66.
  • Verikios, G, Dixon, P, Rimmer, M and Harris, A 2015, ‘Improving health in an advanced economy: An economywide analysis for Australia’, Economic Modelling, vol. 46, p. 250–61.
  • Whiteside, N, ‘Regulating markets: The governance of funded pensions in Australia and the UK’, submitted to Journal of Social Policy, 2016.
  • Whiteside, N 2014, ‘Privatisation and after: Time, complexity and governance in the world of funded pensions’, Transfer 20, vol. 1, pp. 67–79.
  • Zhu, Z and Sneddon, T 2014, ‘The impact on superannuation fund balances from the new compulsory superannuation rate’, CSIRO Digital Flagship, CSIRO e-Publish: EP147667. Zhu, Z and Sneddon, T 2015, How much superannuation is needed to have a comfortable or modest retirement, CSIRO Data61, CSIRO e-Publish: EP158090.