Petar Jevtic

Asst Professor
Faculty
TEMPE Campus
Mailcode
1804
Asst Professor
Faculty
TEMPE Campus
Mailcode
1804

Biography

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 works on the topics of health and property and casualty insurance, using predictive analytics tools and spatial modeling.

Education

Ph.D. Economics - Statistics and Applied Mathematics, Universit� degli Studi di Torino, Italy 2013

Research Interests

  • Modeling and Hedging of Longevity Risk, Insurance Mathematics, Pension Economics, Computational Finance and Insurance,  Mathematical Finance, Stochastic Processes, Marked Point Processes
  • Machine Learning and Data Mining in Insurance and Finance

Publications

  • Jevtic, Petar and Hurd, Thomas. "The joint mortality of couples in continuous time" (In Press: Insurance: Mathematics and Economics)
  • Jevtic, Petar, Marina Marena and Patrizia Semeraro. "A note on Marked Point Processes and multivariate subordination." (In Press: Statistics & Probability Letters)
  • Jevtic, Petar, and Luca Regis. "Assessing the solvency of insurance portfolios via a continuous-time cohort model." Insurance: Mathematics and Economics 61 (2015): 36-47.(In November 2014, this paper was listed on SSRN's Top Ten download list for: ERN: Other Econometric Modeling: Capital Markets - Risk (Topic))
  • Jevtic, Petar, and J. Michael Steele. "Euclidean Networks with a Backbone and a Limit Theorem for Minimum Spanning Caterpillars." Mathematics of Operations Research 40, no. 4 (2015): 992–1004.
  • Jevtic, Petar, Elisa Luciano, and Elena Vigna. "Mortality surface by means of continuous time cohort models." Insurance: Mathematics and Economics 53, no. 1 (2013): 122-133.

Courses

Fall 2019
Course Number Course Title
ACT 590 Reading and Conference
ACT 593 Applied Project
STP 792 Research
APM 792 Research
Summer 2019
Course Number Course Title
STP 792 Research
APM 792 Research
Spring 2019
Course Number Course Title
ACT 561 Data Analytics in Insurance II
STP 792 Research
APM 792 Research
Fall 2018
Course Number Course Title
ACT 560 Insurance Data Analytics I
STP 792 Research
APM 792 Research
Summer 2018
Course Number Course Title
STP 792 Research
APM 792 Research
Spring 2018
Course Number Course Title
ACT 310 Mathematics of Finance
ACT 435 Actuarial Business Forecasting
APM 792 Research