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Tsanakas, Andreas's
Scholarly Papers
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Aggregate Statistics
Total 3,556
Total Citations 59
1.
Optimal Capital Allocation Principles
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Dhaene, Jan Katholieke Universiteit Leuven - Department of Applied Economics
Tsanakas, Andreas City University London - Cass Business School
Valdez, Emiliano A. University of Connecticut
Vanduffel, Steven Vrije Universiteit Brussel (VUB)
Posted:
26 Jan 09
Last Revised:
24 Feb 12
815(12,755)
7
Dhaene, Jan Katholieke Universiteit Leuven - Department of Applied Economics
Tsanakas, Andreas City University London - Cass Business School
Valdez, Emiliano A. University of Connecticut
Vanduffel, Steven Vrije Universiteit Brussel (VUB)
2
7
Dhaene, Jan Katholieke Universiteit Leuven - Department of Applied Economics
Tsanakas, Andreas City University London - Cass Business School
Valdez, Emiliano A. University of Connecticut
Vanduffel, Steven Vrije Universiteit Brussel (VUB)
Posted:
26 Jan 09
Last Revised:
22 Dec 10
813
7
Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London
2.
Tsanakas, Andreas City University London - Cass Business School
Posted:
12 Aug 07
Last Revised:
28 Oct 07
452(29,066)
risk measures, economic capital, risk capital, premium principles, choice under risk, solvency, capital allocation, insurance pricing, return on capital
3.
Tsanakas, Andreas City University London - Cass Business School
Desli, Evangelia Aristotle University of Thessaloniki - Department of Economics
436(30,473)
2
Risk measures, Insurance Pricing, Choice under Risk, Risk Exchange, Good Deals
4.
Tsanakas, Andreas City University London - Cass Business School
Posted:
12 Aug 07
Last Revised:
28 Oct 07
249(59,393)
8
capital allocation, risk management, cooperative games, distorted probability, correlation order.
5.
Tsanakas, Andreas City University London - Cass Business School
Desli, Evangelia Aristotle University of Thessaloniki - Department of Economics
245(60,407)
12
Risk Measures, Premium Calculation Principles, Coherent Measures of Risk, Distortion Premium Principle, Exponential Premium Principle, Expected Utility, Dual Theory of Choice Under Risk, Generalised Expected Utility
6.
Tsanakas, Andreas City University London - Cass Business School
Barnett, Christopher Imperial College London
186(80,166)
10
cooperative games, Aumann-Shapley value, distortion premium principle, coherent risk measures, equilibrium
7.
Gerrard, Russell J. City University London - Sir John Cass Business School
Tsanakas, Andreas City University London - Cass Business School
Posted:
11 Oct 09
Last Revised:
25 Oct 11
182(81,819)
2
solvency, Value-at-Risk, insurance, parameter uncertainty, location-scale families
8.
Tsanakas, Andreas City University London - Cass Business School
Posted:
31 Oct 07
Last Revised:
13 Jul 08
172(86,337)
4
Convex measures of risk, capital allocation, Aumann-Shapley value, inf-convolution
9.
Tsanakas, Andreas City University London - Cass Business School
Smith, Andrew D. Deloitte Touche Tohmatsu
136(106,389)
Dependence, copula, normal mixtures, Kronecker product,
10.
Tsanakas, Andreas City University London - Cass Business School
Christofides, Nikos University of London - Imperial College of Science, Technology and Medicine
118(119,411)
5
11.
Tsanakas, Andreas City University London - Cass Business School
118(119,411)
5
Risk measures, Background risk, Capital allocation, Portfolio management, Elliptical distributions
12.
Asimit, Vali Alexandru City University London - Faculty of Actuarial Science
Badescu, Alex University of Calgary
Tsanakas, Andreas City University London - Cass Business School
Posted:
19 Jan 12
Last Revised:
28 Mar 13
109(126,985)
1
Cost of Capital, Expected Shortfall, Insurance Groups, Optimal Reinsurance, Value-at-Risk
13.
Tsanakas, Andreas City University London - Cass Business School
Wuthrich, Mario V. ETH Zurich, RiskLab, Department of Mathematics
Cerny, Ales Cass Business School
Posted:
20 Sep 12
Last Revised:
01 Apr 13
82(153,746)
Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II
14.
Landsman, Zinoviy University of Haifa, Department of Statistics
Tsanakas, Andreas City University London - Cass Business School
81(154,907)
2
Elliptical distributions, convex order, concordance order, dependence, risk management
15.
Tsanakas, Andreas City University London - Cass Business School
Bignozzi, Valeria City University London-Cass Business school
Posted:
11 May 11
Last Revised:
14 Mar 12
dynamic risk measures, sequential consistency, TVaR, Choquet risk measure, coherent entropic risk measure
16.
Landsman, Zinoviy University of Haifa, Department of Statistics
Tsanakas, Andreas City University London - Cass Business School
Posted:
29 Jun 11
Last Revised:
26 Jan 12
52(196,682)
1
reinsurance pricing, VAR, parameter uncertainty, bias, bootstrap, exponential families
17.
Tsanakas, Andreas City University London - Cass Business School
30(242,945)
Model error, Regulation, Solvency 2
18.
Bignozzi, Valeria City University London-Cass Business school
Tsanakas, Andreas City University London - Cass Business School
24(261,122)
Parameter uncertainty, TVaR/CTE, location-scale families, bootstrap, predictive distribution
19.
Wuthrich, Mario V. ETH Zurich, RiskLab, Department of Mathematics
Embrechts, Paul Swiss Federal Institute of Technology Zurich
Tsanakas, Andreas City University London - Cass Business School
Posted:
15 Aug 11
Last Revised:
05 Jul 12
claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation
