Petar Jevtic
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Mail code: 1804Campus: Tempe
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Petar Jevtic develops and uses tools from actuarial science and mathematical finance to effectively assess and manage risks in insurance and finance.
Throughout the course of a lifetime, we make an overwhelming number of financial decisions regarding loans, investments, health, savings, and pensions. In doing so, we interact with a variety of institutions, such as banks, pension funds, investment funds and insurance companies. Each of these decisions carries certain risks for both parties involved. For example, in retirement, we risk outliving our financial resources, and when health is concerned, we risk not allocating enough provision for various contingencies. The institutions, on the other hand, make contractual commitments to us when we purchase their products, but, for instance, pension providers do not know with certainty how long we will live, and health providers do not know with certainty which treatments, if any, we will require in the future. Actuarial Science and Mathematical Finance are two disciplines that arose precisely from the need to understand risks such as these. Firmly grounded in statistics and probability theory, they provide state-of-the-art tools used in risk management, both at the individual and institutional level.
Jevtic's research involves, in particular, modeling human mortality in a dynamic context, at the cohort level, the population level, and the multi-population level. Based on those advanced stochastic models, Jevtic develops new tools for mitigation of systemic mortality risk, both by natural hedging and by creating and pricing derivative products to transfer mortality risk to capital markets. He also works on various topic related to risk modeling, in particular cyber risk and climate risk, as well as classical topics of and property and casualty insurance, using predictive analytics tools and spatial modeling.
Ph.D. Economics - Statistics and Applied Mathematics, Università degli Studi di Torino, Italy 2013
- Methodological: Predictive Analytics, Stochastic processes and geometry (Lévy Processes, Marked Point Processes, Random Graph Theory, Spatial Point Processes)
- Domain: Cyber risk, Smart contract risk,Network Risk,Autonomous Systems, Longevity Risk, Pension Mathematics, Property&Casualty, Health Insurance, Mathematical Finance
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[15] Jevtic Petar and Lanchier Nicolas. "Percolation Framework For Loss Distribution Of Smart Contract Risks" (Accepted: Advances in Complex Systems, May 2022)
[14] Jevtic Petar and Regis Luca. "A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws" Mathematics 9.19 (2021)
[13] Jevtic Petar, Kwak Minsuk and Pirvu Traian. "Practical Partial Equilibrium Framework for Pricing of Mortality-Linked Instruments in Continuous Time" European Actuarial Journal (2021).
[12] Cupido Kyran, Jevtic Petar, and Paez Antonio. "Spatial Patterns of Mortality in the United States: A Spatial Filtering Approach" Insurance: Mathematics and Economics 95 (2020): 28-38.
[11] Cupido Kyran, Fotheringham A. Stewart and Jevtic Petar. "Local Modeling of U.S. Mortality Rates: A Multiscale Geographically Weighted Regression Approach", Population, Space and Place 27.1 (2021): e2379
[10] Jevtic Petar and Lanchier Nicolas. "Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology." Insurance: Mathematics and Economics 91 (2020): 209-223.
[9] Pocuca Nikola, Jevtic Petar, McNicholas Paul and Miljkovic Tatjana."Modeling Frequency and Severity of Claims with the Zero-Inflated Generalized Cluster-Weighted Models" Insurance: Mathematics and Economics 94 (2020): 79-93.
[8] Jevtic Petar, Lanchier Nicolas, and La Salle Axel. "First and second moments of the size distribution of bond percolation clusters on rings, paths and stars." Statistics & Probability Letters (2020): 108714.
[7] Jevtic Petar and Regis Luca. "A continuous-time stochastic model for the mortality surface of multiple populations." Insurance: Mathematics and Economics 88 (2019): 181- 195.
[6] Jevtic Petar, Marena Marina, and Semeraro Patrizia. "Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows" International Journal of Theoretical and Applied Finance Vol. 22, No. 02, 1850058 (2019)
[5] Jevtic Petar1 and Hurd R. Thomas. "The joint mortality of couples in continuous time", Insurance: Mathematics and Economics 75 (2017): 90-97.
[4] Jevtic Petar, Marena Marina, and Semeraro Patrizia. "A note on Marked Point Processes and multivariate subordination", Statistics & Probability Letters 122 (2017): 162-167.
[3] Jevtic Petar and Regis Luca. "Assessing the solvency of insurance portfolios via a continuous-time cohort model" Insurance: Mathematics and Economics 61 (2015): 36- 47.
[2] Jevtic Petar and Steele J. Michael. "Euclidean Networks with a Backbone and a Limit Theorem for Minimum Spanning Caterpillars" Mathematics of Operations Research 40(4) (2015): 992–1004.
[1] Jevtic Petar, Luciano Elisa, and Vigna Elena. "Mortality surface by means of continuous time cohort models" Insurance: Mathematics and Economics 53.1 (2013): 122-133.
Courses
2023 Summer
Course Number | Course Title |
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STP 792 | Research |
STP 792 | Research |
APM 792 | Research |
APM 792 | Research |
APM 795 | Continuing Registration |
MAT 495 | Undergraduate Research |
STP 792 | Research |
2023 Spring
Course Number | Course Title |
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MAT 493 | Honors Thesis |
APM 792 | Research |
APM 799 | Dissertation |
STP 792 | Research |
STP 799 | Dissertation |
ACT 370 | Software Tools Bus Analytics |
2022 Fall
Course Number | Course Title |
---|---|
MAT 492 | Honors Directed Study |
APM 792 | Research |
STP 792 | Research |
MAT 792 | Research |
STP 799 | Dissertation |
ACT 575 | Portfolio Theory and Risk Mgmt |
2022 Summer
Course Number | Course Title |
---|---|
STP 792 | Research |
STP 792 | Research |
APM 792 | Research |
APM 792 | Research |
MAT 495 | Undergraduate Research |
STP 792 | Research |
2022 Spring
Course Number | Course Title |
---|---|
MAT 493 | Honors Thesis |
APM 792 | Research |
STP 792 | Research |
MAT 275 | Modern Differential Equations |
STP 799 | Dissertation |
2021 Fall
Course Number | Course Title |
---|---|
MAT 492 | Honors Directed Study |
APM 792 | Research |
STP 792 | Research |
MAT 792 | Research |
STP 799 | Dissertation |
ACT 575 | Portfolio Theory and Risk Mgmt |
ACT 301 | Risk Mgmt and Insurance |
2021 Summer
Course Number | Course Title |
---|---|
STP 792 | Research |
STP 792 | Research |
APM 792 | Research |
APM 792 | Research |
ACT 593 | Applied Project |
STP 792 | Research |
2021 Spring
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
MAT 495 | Undergraduate Research |
STP 799 | Dissertation |
ACT 561 | Data Analytics in Insurance II |
ACT 301 | Risk Mgmt and Insurance |
ACT 593 | Applied Project |
2020 Fall
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
MAT 792 | Research |
STP 799 | Dissertation |
LIA 194 | Special Topics |
ACT 575 | Portfolio Theory and Risk Mgmt |
ACT 590 | Reading and Conference |
2020 Summer
Course Number | Course Title |
---|---|
STP 792 | Research |
STP 792 | Research |
APM 792 | Research |
APM 792 | Research |
STP 792 | Research |
2020 Spring
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
STP 799 | Dissertation |
ACT 561 | Data Analytics in Insurance II |
2019 Fall
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
ACT 593 | Applied Project |
ACT 590 | Reading and Conference |
2019 Summer
Course Number | Course Title |
---|---|
STP 792 | Research |
STP 792 | Research |
APM 792 | Research |
APM 792 | Research |
STP 792 | Research |
2019 Spring
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
ACT 561 | Data Analytics in Insurance II |
2018 Fall
Course Number | Course Title |
---|---|
APM 792 | Research |
STP 792 | Research |
ACT 560 | Insurance Data Analytics I |
2018 Summer
Course Number | Course Title |
---|---|
STP 792 | Research |
STP 792 | Research |
APM 792 | Research |