Research Seminar - Pavel Shevchenko

17/06/2026

We are pleased to announce the upcoming Research Seminar on June 17, 2026.

The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, which will be held on campus:

Pavel Shevchenko ( Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University, Australia)
Regression Monte Carlo for Solving Optimal Stochastic Control Problems

Wednesday, June 17, 2026, 5:15 PM, Building D4, Room D4.0.127

Abstract:
In this talk, I will review regression Monte Carlo methods (also known as Least-Squares Monte Carlo methods) for solving optimal stochastic control problems. I will demonstrate applications to the pricing of variable annuities with guarantees under optimal withdrawal strategies, finding optimal decisions for retirement planning, and solving climate-economy models to identify optimal carbon emission mitigation strategies.

Please note that currently there are no Zoom streams planned for the talks this semester.
For further information (such as related papers, linked software, etc.) and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar

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