Athanasios A. Pantelous

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

22

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Scholarly Papers (22)

1.

Optimal Premium Pricing Policy in a Competitive Insurance Market Environment

Annals of Actuarial Science, Volume 7, Issue 2, pp. 175-191, September 2013, DOI: 10.1017/S1748499512000152
Number of pages: 27 Posted: 16 Sep 2011 Last Revised: 18 Jul 2016
Athanasios A. Pantelous and Eudokia Passalidou
Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 151 (144,978)

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Optimal Premium Strategies, Competitive Markets, Volume of Business, Break-Even Premium Rate, Greek Automobile Insurance Industry

2.

On the Robust Stability of Pricing Models for Non-Life Insurance Products

European Actuarial Journal, Volume 3, Issue 2, 2013 pp 535-550, DOI: 10.1007/s13385-013-0074-8
Number of pages: 21 Posted: 04 Sep 2011 Last Revised: 29 Jul 2016
Athanasios A. Pantelous and Athanasios Papageorgiou
Monash University - Department of Econometrics & Business Statistics and City University London
Downloads 50 (291,047)

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Non-Life Insurance, Pricing Process, Robust Stability, LMI Techniques

3.

The Nature of Causality and its Dark Aspect

Number of pages: 35 Posted: 28 Jan 2018
Stavros K. Stavroglou, Athanasios A. Pantelous and Konstantin Zuev
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 0 (12,537)

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Causality, Complex Systems, Interconnected Dynamical Systems

4.

Momentum and Reversal Strategies in Chinese Commodity Futures Markets

Number of pages: 58 Posted: 29 Nov 2017
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (318,106)

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Chinese Commodity Futures Market, Momentum, Reversal, Single- and Double-Sort Strategies, Inter- and Intra-day Frequencies

5.

Time Series Analysis of S&P 500 Index: A Horizontal Visibility Graph Approach

Number of pages: 29 Posted: 06 Sep 2017
Michail Vamvakaris, Athanasios A. Pantelous and Konstantin Zuev
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 0 (349,926)

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S&P500 index, high frequency data, horizontal visibility graph, chaos theory, irreversibility, financial crises

6.

Non-Cooperative Dynamic Games for General Insurance Markets

Insurance: Mathematics and Economics, Vol. 78, pp. 123-135, January 2018 DOI: 10.1016/j.insmatheco.2017.12.001
Number of pages: 40 Posted: 02 Aug 2017 Last Revised: 18 Jan 2018
Tim Boonen, Athanasios A. Pantelous and Renchao Wu
University of Amsterdam, Monash University - Department of Econometrics & Business Statistics and University of Liverpool, Department of Mathematical Sciences
Downloads 0 (415,209)

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Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game

7.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

Number of pages: 41 Posted: 14 Jul 2017
Yanhua Chen, Rosario N. Mantegna, Athanasios A. Pantelous and Konstantin Zuev
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 0 (181,616)

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Correlation; Cointegration; ECM-based long-run Granger causality; Crises; Exchange Rates; Uncertainty

8.

Mortality Effects of Economic Fluctuations in the Selected Eurozone Countries

Number of pages: 51 Posted: 06 Jun 2017 Last Revised: 27 Aug 2017
Malgorzata Seklecka, Norazliani Lazam, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (394,732)

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Longevity; Eurozone Countries; Economic Growth (GDP); Lee-Carter (LC) Model; O'Hare-Li (OL) Model; Forecasting

9.

Modeling Frost Losses: Application to Pricing Frost Insurances

North American Actuarial Journal, Forthcoming, DOI:10.1080/10920277.2017.1387571
Number of pages: 38 Posted: 10 May 2017 Last Revised: 12 Nov 2017
Hirbod Assa, Meng Wang and Athanasios A. Pantelous
University of Liverpool, University of Liverpool - Institute of Financial and Actuarial Mathematics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (448,846)

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Frost Insurance, Risk Premiums, Stop-Loss Policy

10.

Insurance Pricing and Reserving with the Temperature-Related Mortality Model

Number of pages: 45 Posted: 18 Mar 2017 Last Revised: 19 Mar 2017
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (343,834)

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Actuarial Pricing, Reserve, Model Risk, Uncertainty, Forecasting Methodologies, Temperature-Related Mortality Model

11.

Causality Networks of Financial Assets

Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
Number of pages: 73 Posted: 22 Dec 2016 Last Revised: 20 Jul 2017
Stavros K. Stavroglou, Athanasios A. Pantelous, Kimmo Soramaki and Konstantin Zuev
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology
Downloads 0 (68,148)

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Causality, Efficient Market Hypothesis, Network Theory, Bonds, Oil

12.

Credibilistic Risk Aversion

Quantitative Finance, Volume 17, Issue 7, pp. 1135-1145, 2017, DOI: 10.1080/14697688.2016.1264617
Number of pages: 20 Posted: 18 Nov 2016 Last Revised: 11 Jun 2017
Yuanyuan Liu, Jian Zhou and Athanasios A. Pantelous
Shanghai University, School of Management, Shanghai University, School of Management and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (372,756)

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Risk Aversion, LR Fuzzy Interval, Credibility Theory, Credibilistic Risk Premium

13.

Investors' Behavior on S&P 500 Index during Periods of Market Crashes: A Visibility Graph Approach

Handbook of Investors' Behavior during Financial Crises, Chapter 22, pp. 401-417, 2017, DOI: 10.1016/B978-0-12-811252-6.00022-0
Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 30 Aug 2017
Michail Vamvakaris, Athanasios A. Pantelous and Konstantin Zuev
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 0 (195,160)

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High Frequency Data, S&P 500, Hurst Exponent, Irreversibility, Visibility Graph Method

14.

On the Impact of Country ETFs' Premiums and Discounts over Feedback Trading

Number of pages: 36 Posted: 08 Nov 2016
Vasileios Kallinterakis, Fei Liu and Athanasios A. Pantelous
University of Liverpool - Management School (ULMS), Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (376,340)

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Feedback Trading, Exchange Traded Fund, Premium, Discount

15.

Forecasting and Trading High Frequency Volatility on Large Indices

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 30 Sep 2016 Last Revised: 12 Nov 2017
Fei Liu, Athanasios A. Pantelous and Hans-Jorg von Mettenheim
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and Institut für Wirtschaftsinformatik
Downloads 0 (142,212)

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Forecasting, Realized Volatility, High-Frequency Data, HAR-RV-J, RNN, Hybrid Model, Trading efficiency

16.

Optimal Strategies for a Nonlinear Premium-Reserve Model in a Competitive Insurance Market

Annals of Actuarial Science, Volume 11, Issue 1, March 2017, pp. 1-19. DOI: 10.1017/S1748499516000129
Number of pages: 19 Posted: 18 Sep 2016 Last Revised: 19 Mar 2017
Athanasios A. Pantelous and Eudokia Passalidou
Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 0 (475,360)

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Nonlinear Premium-Reserve Pricing Model, Stochastic Optimal Control, Quadratic Performance Criterion, Competitive Insurance Markets, Actuarial Risk

17.

Potential Games with Aggregation in Non-Cooperative General Insurance Markets

ASTIN Bulletin, Volume 47, Issue 1, pp. 269-302, January 2017, DOI:10.1017/asb.2016.31
Number of pages: 29 Posted: 18 Sep 2016 Last Revised: 19 Mar 2017
Renchao Wu and Athanasios A. Pantelous
University of Liverpool, Department of Mathematical Sciences and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (365,969)

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Insurance Market Competition, Non-life Insurance, Potential Game with Aggregation, Pure Nash Equilibrium

18.

Technical Trading, False Discoveries and Familywise Errors: The Case of Crude Oil

Number of pages: 43 Posted: 31 Aug 2016 Last Revised: 21 Dec 2017
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
University of St Andrews School of Economics and Finance, University of Liverpool, Management School (ULMS), Students, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 0 (120,220)

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Crude Oil; Technical Trading; Data Snooping; Transaction Costs; Persistence; Market Efficiency

19.

Pairs Trading with Commodity Futures: Evidence from the Chinese Market

China Finance Review International, Volume 7, Issue 3, pp. 274-294, July 2017, DOI: 10.1108/CFRI-09-2016-0109
Number of pages: 35 Posted: 22 Aug 2016 Last Revised: 27 Aug 2017
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (78,261)

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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency

20.

Claims Reserving with a Stochastic Vector Projection

North American Actuarial Journal, Forthcoming, DOI 10.1080/10920277.2017.1353429
Number of pages: 30 Posted: 21 Aug 2016 Last Revised: 12 Nov 2017
Luis Portugal, Athanasios A. Pantelous and Hirbod Assa
Department of Mathematical Sciences, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Liverpool
Downloads 0 (359,269)

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Stochastic Reserving, Chain-Ladder Distribution-Free, Vector Projection, Best Estimate, Risk Margin, Link Ratios, Loss Development Factors, Homoscedastic and Heteroscedastic Errors, Prediction Errors

21.

Mortality Effects of Temperature Changes in the United Kingdom

Journal of Forecasting, Volume 36, Issue 7, pp. 824-841, November 2017, DOI: 10.1002/for.2473
Number of pages: 38 Posted: 18 Jul 2016 Last Revised: 12 Nov 2017
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (346,825)

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Longevity; United Kingdom Population; Climate Change (Temperature); Lee-Carter Model; Forecasting

22.

Loss Aversion around the World: Empirical Evidence from Pension Funds

Journal of Banking and Finance, Volume 88, pp. 52-62, 2018, DOI 10.1016/j.jbankfin.2017.11.007
Number of pages: 48 Posted: 02 Apr 2016 Last Revised: 04 Dec 2017
Yuxin Xie, Soosung Hwang and Athanasios A. Pantelous
Southwestern University of Finance and Economics, The School of Securities and Futures, Sungkyunkwan University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (187,022)

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Loss Aversion; Cultural factors; Reference-Dependent Utility; Pension Funds