Athanasios A. Pantelous

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

  • Monash University - Department of Econometrics & Business Statistics

SCHOLARLY PAPERS

56

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91

Scholarly Papers (56)

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1.

Technical Analysis, Spread Trading and Data Snooping Control

International Journal of Forecasting, Volume 39, Issue 1, pp 178-191, January–March 2023, DOI: 10.1016/j.ijforecast.2021.10.002
Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 13 Jan 2023
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
University of Edinburgh Business School, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 1,123 (41,857)
Citation 3

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Technical Trading Rules; Spread Trading Predictability; False Discovery Rate; Bootstrap Test; Portfolio Performance

2.

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
University of Edinburgh Business School, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology (Caltech)
Downloads 804 (66,498)
Citation 4

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

3.

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, Istanbul Technical University - Department of Management Engineering and Monash University - Department of Econometrics & Business Statistics
Downloads 744 (73,719)

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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency

4.

Hidden Interactions in Financial Markets

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 116, Issue 22, p. 10646-10651, May 2019, DOI: 10.1073/pnas.1819449116
Number of pages: 33 Posted: 28 Jan 2018 Last Revised: 03 Aug 2020
Stavros K. Stavroglou, Athanasios A. Pantelous, H. Eugene Stanley and Konstantin Zuev
University of Edinburgh Business School, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology (Caltech)
Downloads 622 (92,656)
Citation 7

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financial markets; pattern causality; complex systems; sovereign CDS networks; pairs trading

5.

A Novel Causal Risk-Based Decision-Making Methodology: The Case of Coronavirus

Risk Analysis: An International Journal, Volume 41, Issue 5, pp. 814-830, May 2021 DOI: 10.1111/risa.13678
Number of pages: 30 Posted: 10 Aug 2020 Last Revised: 07 Jun 2021
Stavros K. Stavroglou, Bilal M. Ayyub, Vasileios Kallinterakis, Athanasios A. Pantelous and H. Eugene Stanley
University of Edinburgh Business School, University of Maryland - College Park, University of Liverpool - Management School (ULMS), Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies
Downloads 590 (99,094)
Citation 2

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Decision Making, Risk Quadruplet, Quantitative Analysis, Causality, Coronavirus, US County-level Data

6.

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

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
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 (Caltech)
Downloads 579 (101,545)

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

7.

Momentum and Reversal Strategies in Chinese Commodity Futures Markets

International Review of Financial Analysis, Volume 60, pp 177-196, October 2018, DOI: 10.1016/j.irfa.2018.09.012
Number of pages: 40 Posted: 29 Nov 2017 Last Revised: 23 Oct 2018
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool Univeristy, Istanbul Technical University - Department of Management Engineering and Monash University - Department of Econometrics & Business Statistics
Downloads 573 (102,885)
Citation 3

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Chinese commodity futures market, Momentum, Reversal, Single- and Double-sort strategies, Inter- and Intra-day frequencies

8.

Forecasting and Trading High Frequency Volatility on Large Indices

Quantitative Finance, Volume 18, Issue 5, pp. 737-748, 2018, DOI: 10.1080/14697688.2017.1414489
Number of pages: 21 Posted: 30 Sep 2016 Last Revised: 23 May 2018
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 526 (114,488)
Citation 1

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

9.

Long-Term Dynamic Asset Allocation Under Asymmetric Risk Preferences

European Journal of Operational Research, Volume 312, Issue 2, pp. 765-782, 16 January 2024, DOI 10.1016/j.ejor.2023.07.038
Number of pages: 55 Posted: 22 Oct 2018 Last Revised: 25 Oct 2023
Vasileios Kontosakos, Soosung Hwang, Vasileios Kallinterakis and Athanasios A. Pantelous
State Street Corporation, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 478 (128,512)
Citation 4

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Decision analysis, Asset Allocation, Asymmetric Risk Preferences, Parameter uncertainty, Simulation Study

10.

A causal analytics framework for policy decisions on environmental health risks

Number of pages: 64 Posted: 16 Aug 2023
Stavros K. Stavroglou, Athanasios A. Pantelous, Bilal M. Ayyub, James H. Lambert, Jim W. Hall and H. Eugene Stanley
University of Edinburgh Business School, Monash University - Department of Econometrics & Business Statistics, University of Maryland - College Park, University of Virginia, Environmental Change Institute and Boston University - Center for Polymer Studies
Downloads 427 (146,926)

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Causality, Air Pollution, Climate Change, Wind, Green policies

11.

Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households

Downloads 403 (157,019)

Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households

China Economic Review, Volume 83, 102095, February 2024, DOI: 10.1016/j.chieco.2023.102095
Number of pages: 47 Posted: 19 Feb 2021 Last Revised: 09 Jan 2024
Yuxin Xie, Ruohua Tang, Athanasios A. Pantelous and Xiaomeng Lu
Southwestern University of Finance and Economics, School of Finance, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Southwestern University of Finance and Economics (SWUFE)
Downloads 293 (220,621)

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Survey data, Narrow Framing, Chinese Households, Portfolio Diversification, Behavioral Economics

Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households

Number of pages: 48 Posted: 16 Jan 2023
Yuxin Xie, Ruohua Tang, Athanasios A. Pantelous and Xiaomeng Lu
Southwestern University of Finance and Economics, School of Finance, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Southwestern University of Finance and Economics (SWUFE)
Downloads 60 (780,111)

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Survey Data, Narrow Framing, Chinese Households, Portfolio Diversification, Behavioral Economics

Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households

Number of pages: 48 Posted: 14 Mar 2023
Yuxin Xie, Athanasios A. Pantelous, Ruohua Tang and Xiaomeng Lu
Southwestern University of Finance and Economics, School of Finance, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Southwestern University of Finance and Economics (SWUFE)
Downloads 50 (854,701)

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Survey Data, Narrow Framing, Chinese Households, behavioral economics, Portfolio Diversification

12.

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 (Caltech)
Downloads 395 (160,616)

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

13.

Performance of Technical Trading Rules: Evidence from the Crude Oil Market

The European Journal of Finance, Volume 25, Issue 17, pp. 1793-1815, September 2019, DOI: 10.1080/1351847X.2018.1552172 (Previously, it was entitled "Technical Trading, False Discoveries and Familywise Errors: The Case of Crude Oil")
Number of pages: 54 Posted: 31 Aug 2016 Last Revised: 24 Sep 2019
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
University of Edinburgh Business School, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 395 (160,616)
Citation 4

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

14.

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

Physica A: Statistical Mechanics and its Applications, Volume 497, pp. 41-51, May 2018, DOI: 10.1016/j.physa.2018.01.010
Number of pages: 29 Posted: 06 Sep 2017 Last Revised: 23 Oct 2018
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 (Caltech)
Downloads 352 (182,529)

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

15.

Unveiling Causal Interactions in Complex Systems

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 117, Issue 14, p. 7599-7605, March 2020, DOI: 10.1073/pnas.1918269117
Number of pages: 68 Posted: 12 Nov 2020
Stavros K. Stavroglou, Athanasios A. Pantelous, H. Eugene Stanley and Konstantin Zuev
University of Edinburgh Business School, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology (Caltech)
Downloads 317 (204,316)
Citation 4

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complex systems, causality, ecosystem, brain, CDS markets

16.

Market Segmentation Using High-dimensional Sparse Consumers Data

Expert Systems with Applications, Volume 145, 113136, 1 May 2020, DOI 10.1016/j.eswa.2019.113136
Number of pages: 48 Posted: 05 Mar 2019 Last Revised: 07 Jan 2020
Jian Zhou, Linli Zhai and Athanasios A. Pantelous
Shanghai University, School of Management, Shanghai University - School of Management and Monash University - Department of Econometrics & Business Statistics
Downloads 316 (205,021)
Citation 1

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Precision Marketing; RFM Theory; Sparse K-Means Algorithm; BCBimax Algorithm; Mobile Telecommunications Industry

17.

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, School of Finance, Sungkyunkwan University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 295 (220,687)
Citation 10

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

18.

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 292 (223,175)
Citation 1

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

19.

Cryptocurrencies: Dust in the Wind?

Physica A: Statistical Mechanics and its Applications, Volume 525, pp. 1063-1079, July 2019, DOI: 10.1016/j.physa.2019.03.123
Number of pages: 43 Posted: 22 Oct 2018 Last Revised: 07 Oct 2020
Min Luo, Vasileios Kontosakos, Athanasios A. Pantelous and Jian Zhou
Shanghai University, State Street Corporation, Monash University - Department of Econometrics & Business Statistics and Shanghai University, School of Management
Downloads 282 (231,386)

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Generalized Hyperbolic Distributions; Distribution Fitting; Cryptocurrency; Bitcoin; Foreign Exchange Market

20.

Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

European Journal of Operational Research, Volume 293, Issue 2, pp. 786-801, 1 September 2021, DOI 10.1016/j.ejor.2020.12.051
Number of pages: 111 Posted: 27 Nov 2019 Last Revised: 06 Jul 2022
Melvern Leung, Youwei Li, Athanasios A. Pantelous and Samuel Vigne
Monash University - Department of Econometrics & Business Statistics, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Trinity College (Dublin) - Trinity Business School
Downloads 252 (259,512)
Citation 2

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Decision analysis; Value-at-Risk; Backtesting; Bayesian framework; Longevity risk

21.

Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution

European Journal of Operational Research, Volume 290, Issue 1, pp. 313-330, 1 April 2021, DOI 10.1016/j.ejor.2020.07.044
Number of pages: 36 Posted: 01 Mar 2018 Last Revised: 19 Dec 2020
Vasileios Kontosakos, Keegan Mendonca, Athanasios A. Pantelous and Konstantin Zuev
State Street Corporation, California Institute of Technology (Caltech) - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology (Caltech)
Downloads 250 (261,506)
Citation 3

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Simulation; Barrier options pricing; Rare event; Path–dependent derivatives; Discrete monitoring

22.

patterncausality: Pattern Causality Algorithm in R

Number of pages: 22 Posted: 29 Oct 2024
Hui Wang, Stavros K. Stavroglou and Athanasios A. Pantelous
Monash University - Department of Econometrics & Business Statistics, University of Edinburgh Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 245 (266,816)
Citation 1

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23.

Catastrophe Bond Pricing In The Primary Market: The Issuer Effect And Pricing Factors

International Review of Financial Analysis, Volume 85, 102431, January 2023, DOI: 10.1016/j.irfa.2022.102431
Number of pages: 63 Posted: 08 Jun 2021 Last Revised: 13 Jan 2023
Marian Chatoro, Sovan Mitra, Athanasios A. Pantelous and Jia Shao
Coventry University, University of Westminster, Monash University - Department of Econometrics & Business Statistics and University of Birmingham
Downloads 237 (275,595)
Citation 4

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Catastrophe risk bonds; primary market; multilevel modelling; issuer effect; hedging

24.

Competitive Insurance Pricing Strategies for Multiple Lines of Business: A Game-Theoretic Approach

Number of pages: 46 Posted: 28 Mar 2022 Last Revised: 23 Jun 2024
Fotios Mourdoukoutas, Tim J. Boonen, Athanasios A. Pantelous and Greg Taylor
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash University - Department of Econometrics & Business Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 226 (288,670)
Citation 1

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Game theory, Open-and closed-loop equilibrium, Competitive markets, Multiple lines of business. JEL classification: G22, C61, C72

25.

Pricing and Risk Management of Financial and Credit Derivatives For Rare Event Modelling

Number of pages: 70 Posted: 08 Jun 2022 Last Revised: 26 Jan 2024
Ephraim Clark, Vasileios Kontosakos, Sovan Mitra, Athanasios A. Pantelous and Stavros K. Stavroglou
Middlesex University Business School, State Street Corporation, University of Westminster, Monash University - Department of Econometrics & Business Statistics and University of Edinburgh Business School
Downloads 205 (316,768)

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Simulation; Risk management; Rare events; Barrier options; Barrier option hedging; Credit Default Swaps.

26.

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 202 (321,138)
Citation 3

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

27.

Multi-population Mortality Projection: The Augmented Common Factor Model with Structural Breaks

International Journal of Forecasting, Volume 39, Issue 1, pp 450-469, January–March 2023, DOI: 10.1016/j.ijforecast.2021.12.002
Number of pages: 61 Posted: 23 Jun 2020 Last Revised: 13 Jan 2023
PENGJIE WANG, Athanasios A. Pantelous and Farshid Vahid
Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 189 (341,504)
Citation 3

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Multi-population mortality projection; Augmented Common Factor (ACF) model; Structural change; Bayesian statistics

28.

Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information: A Bayesian Game-theoretic Approach

Insurance: Mathematics and Economics, Volume 119, pp. 32-47. November 2024, DOI: 10.1016/j.insmatheco.2024.07.006
Number of pages: 51 Posted: 18 Aug 2023
Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 183 (351,816)
Citation 1

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Competitive Insurance Markets, Incomplete Information, Bayesian Nash Equilibrium, Combined Ratio. JEL classification: G22, C72, C73, C11

29.

Univariate and Multivariate Claims Reserving with Generalised Link Ratios

Insurance: Mathematics and Economics, Vol. 97, pp. 57-67, March 2021 DOI: 10.1016/j.insmatheco.2020.11.011
Number of pages: 35 Posted: 08 May 2019 Last Revised: 28 Jan 2021
Luis Portugal, Athanasios A. Pantelous and R. J. Verrall
ACTUARIAL Group, Monash University - Department of Econometrics & Business Statistics and City University London - The Business School
Downloads 172 (371,578)

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Stochastic Reserving, Multivariate Regression, Homoscedastic and Heteroscedastic Errors, Seemingly Unrelated Regression, Prediction Errors

30.

A comparative and conceptual intellectual study of environmental topic in Economic and Finance

International Review of Financial Analysis, Volume 91, 103023, January 2024, DOI: 10.1016/j.irfa.2023.103023
Number of pages: 44 Posted: 02 Dec 2022 Last Revised: 09 Jan 2024
Meilan Yan, Youwei Li, Athanasios A. Pantelous, Samuel Vigne and Dalu Zhang
Loughborough University, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and University of Salford - Salford Business School
Downloads 167 (381,331)

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Environmental Finance (EF), Environmental Social and Governance (ESG), Financial innovations, bibliometric analysis, ESG disclosure and investment

31.

A decision-making framework for supporting an equitable global vaccine distribution under humanitarian perspectives

Number of pages: 65 Posted: 19 Dec 2022 Last Revised: 17 Feb 2025
Jian Zhou, Junyang Cai, Athanasios A. Pantelous, Zhen Li and Musen Kingsley Li
Shanghai University, School of Management, Technion-Israel Institute of Technology, Monash University - Department of Econometrics & Business Statistics, Bahrain Polytechnic and Shanghai University - School of Management
Downloads 164 (387,367)

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Decision analysis, Vaccine nationalism, Data-driven equitable distribution of vaccines, Virus variants, Humanitarian perspectives

32.

The Impact of Parameter Uncertainty in Insurance Pricing and Reserve with the Temperature-Related Mortality Model

Journal of Forecasting, Volume 38, Issue 4, pp 327-345, July 2019, DOI: 10.1002/for.2558
Number of pages: 38 Posted: 18 Mar 2017 Last Revised: 04 Jul 2019
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 164 (387,367)
Citation 2

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

33.

Pricing Inefficiencies and Feedback Trading: Evidence From Country ETFs

International Review of Financial Analysis, Volume 70, 101498, July 2020, DOI: 10.1016/j.irfa.2020.101498
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 27 May 2020
Vasileios Kallinterakis, Fei Liu, Athanasios A. Pantelous and Jia Shao
University of Liverpool - Management School (ULMS), Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Birmingham
Downloads 161 (393,570)
Citation 1

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Feedback Trading, Exchange Traded Fund, Premium, Discount

34.

Extreme Price Co-Movement of Commodity Futures and Industrial Production Growth: An Empirical Evaluation

Energy Economics, Volume 108, 105915, April 2022, DOI 10.1016/j.eneco.2022.105915
Number of pages: 57 Posted: 30 Nov 2020 Last Revised: 06 Jul 2022
Xiaoqian Wen, Yuxin Xie and Athanasios A. Pantelous
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Southwestern University of Finance and Economics, School of Finance and Monash University - Department of Econometrics & Business Statistics
Downloads 153 (410,927)

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Extreme price co-movement; Commodity futures; Industrial production growth; GAS-Factor copula; Panel regressions

35.

Modeling Frost Losses: Application to Pricing Frost Insurances

North American Actuarial Journal, Volume 22, Issue 1, pp. 137-159, March 2018, DOI:10.1080/10920277.2017.1387571
Number of pages: 38 Posted: 10 May 2017 Last Revised: 20 Mar 2018
Hirbod Assa, Meng Wang and Athanasios A. Pantelous
University of Essex - Department of Mathematics, University of Liverpool - Institute of Financial and Actuarial Mathematics and Monash University - Department of Econometrics & Business Statistics
Downloads 152 (413,137)
Citation 1

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Frost Insurance, Risk Premiums, Stop-Loss Policy

36.

Time-Varying Loss Aversion of Mutual Fund Managers as a Response to Incentives

Number of pages: 59 Posted: 23 Sep 2022
Liyuan Liu, Athanasios A. Pantelous, Yuxin Xie and Lu Zheng
Tsinghua University, PBC School of Finance, Students, Monash University - Department of Econometrics & Business Statistics, Southwestern University of Finance and Economics, School of Finance and University of California, Irvine - Paul Merage School of Business
Downloads 144 (431,619)

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Time varying risk attitude; Loss aversion; Mutual fund; Portfolio management

37.

Was a Deterioration in ‘Connectedness’ a Leading Indicator of the European Sovereign Debt Crisis?

Journal of International Financial Markets, Institutions and Money, Volume 74, September 2021, 101300 DOI: 10.1016/j.intfin.2021.101300
Number of pages: 35 Posted: 11 May 2016 Last Revised: 23 Nov 2021
Philip Anthony Hamill, Youwei Li, Athanasios A. Pantelous, Samuel Vigne and James Waterworth
Ulster University at Jordanstown, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and Queen's University Belfast, Students
Downloads 141 (438,943)
Citation 7

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

38.

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 141 (438,943)
Citation 1

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

39.

Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach

International Review of Financial Analysis, Volume 79, 102002, January 2022, DOI: 10.1016/j.irfa.2021.102002
Number of pages: 60 Posted: 26 May 2020 Last Revised: 27 Dec 2021
Yanhua Chen, Youwei Li, Athanasios A. Pantelous and H. Eugene Stanley
Institute for Risk and Uncertainty, University of Liverpool, UK, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies
Downloads 125 (483,269)
Citation 1

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International Stock Markets; Cointegration; Error Correction Model; Complex Network Theory; Financial Crisis

40.

Novel Utility-Based Life Cycle Models to Optimise Income in Retirement

European Journal of Operational Research, Volume 299, Issue 1, pp. 346-361, 16 May 2022, DOI 10.1016/j.ejor.2021.08.048
Number of pages: 77 Posted: 19 Jun 2020 Last Revised: 18 Jan 2022
Bonsoo Koo, Athanasios A. Pantelous and Yunxiao(Chelle) Wang
Monash Business School, Monash University - Department of Econometrics & Business Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 123 (489,457)
Citation 3

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Utility theory; Decisions analysis; Life cycle models; Retirement income; Reverse mortgage

41.

Claims Reserving with a Stochastic Vector Projection

North American Actuarial Journal, Volume 22, Issue 1, pp. 22-39, March 2018, DOI 10.1080/10920277.2017.1353429
Number of pages: 30 Posted: 21 Aug 2016 Last Revised: 20 Mar 2018
Luis Portugal, Athanasios A. Pantelous and Hirbod Assa
ACTUARIAL Group, Monash University - Department of Econometrics & Business Statistics and University of Essex - Department of Mathematics
Downloads 121 (495,731)

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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

42.

Mortality Effects of Economic Fluctuations in the Selected Eurozone Countries

Journal of Forecasting, Volume 38, Issue 1, pp. 39-62, January 2019, DOI: 10.1002/for.2550
Number of pages: 52 Posted: 06 Jun 2017 Last Revised: 12 Feb 2019
Malgorzata Seklecka, Norazliani Lazam, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Universiti Teknologi MARA - Actuarial Science Department, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
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Longevity; Eurozone Countries; Economic Growth (GDP); Lee-Carter (LC) Model; O'Hare-Li (OL) Model; Forecasting

43.

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 J. Boonen, Athanasios A. Pantelous and Renchao Wu
University of Hong Kong, Monash University - Department of Econometrics & Business Statistics and University of Liverpool, Department of Mathematical Sciences
Downloads 114 (518,590)
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Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game

44.

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: 07 Oct 2020
Renchao Wu and Athanasios A. Pantelous
University of Liverpool, Department of Mathematical Sciences and Monash University - Department of Econometrics & Business Statistics
Downloads 110 (532,654)
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Insurance Market Competition, Non-life Insurance, Potential Game with Aggregation, Pure Nash Equilibrium

45.

Robust Analysis for Premium-Reserve Models in a Stochastic Nonlinear Discrete-Time Varying Framework

Journal of Computational and Applied Mathematics, Volume 368, 112592, April 2020, DOI 10.1016/j.cam.2019.112592
Number of pages: 42 Posted: 16 Aug 2018 Last Revised: 23 Dec 2019
Rong Li, Athanasios A. Pantelous and Lin Yang
Xi'an Jiaotong-Liverpool University (XJTLU), Monash University - Department of Econometrics & Business Statistics and Xi'an Jiaotong-Liverpool University (XJTLU)
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Premium-Reserve Process, Nonlinear Uncertainties, H∞-Control, Systems Stability, (One-Side) Lipschitz Conditions

46.

Pricing in a Competitive Stochastic Insurance Market

Insurance: Mathematics and Economics, Vol. 97, pp. 44-56, March 2021 DOI: 10.1016/j.insmatheco.2021.01.003
Number of pages: 41 Posted: 20 Oct 2020 Last Revised: 28 Jan 2021
Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
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Competitive markets, non-cooperative game theory, convex and concave demand functions, stochastic claims

47.

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

48.

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

49.

The Impact of Economic Growth in Mortality Modelling for Selected OECD Countries

Journal of Forecasting, Volume 39, Issue 3, pp. 533-550, April 2020 DOI: 10.1002/for.2640
Number of pages: 40 Posted: 15 Dec 2019 Last Revised: 19 Dec 2020
Lydia Dutton, Athanasios A. Pantelous and Malgorzata Seklecka
University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
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Economic Change (GDP); Longevity; Climate Change (Temperature); Mortality Modelling; Forecasting

50.

Sustainable Supply Chains: A Holistic Integration Approach

Number of pages: 40 Posted: 30 Nov 2023 Last Revised: 26 Mar 2024
Yujiao Jiang, Jian Zhou, Athanasios A. Pantelous and Zhen Li
Shanghai University - School of Management, Shanghai University, School of Management, Monash University - Department of Econometrics & Business Statistics and Bahrain Polytechnic
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Sustainability; Supply Chain; Quality Function Deployment (QFD); Maritime Industry

51.

A Machine Learning and Clustering-Based Methodology for the Identification of Lead Users and Their Needs from Online Communities

Number of pages: 40 Posted: 20 Dec 2022
Xinghua Fang, Jian Zhou, Athanasios A. Pantelous and Wei Lu
China Jiliang University, Shanghai University, School of Management, Monash University - Department of Econometrics & Business Statistics and ArteryFlow Technology Co Ltd
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Innovation Management, Lead users, Machine-learning method, Clustering technique, Online community

52.

Competitive insurance pricing in a duopoly

Number of pages: 30 Posted: 04 Nov 2024
Tim J. Boonen, Bonsoo Koo, Fotios Mourdoukoutas and Athanasios A. Pantelous
University of Hong Kong, Monash Business School, The University of Hong Kong - Department of Statistics and Actuarial Science and Monash University - Department of Econometrics & Business Statistics
Downloads 46 (867,987)
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Stackelberg equilibrium, Nash equilibrium, Insurance duopoly, Game theory

53.

Project Scheduling Problem With Fuzzy Activity Durations: A Novel Operational Law Based Solution Framework

European Journal of Operational Research, Volume 306, Issue 2, pp. 519-534, 16 April 2023, DOI 10.1016/j.ejor.2022.07.047
Number of pages: 52 Posted: 29 Jul 2022 Last Revised: 13 Jan 2023
Mingxuan Zhao, Jian Zhou, Ke Wang and Athanasios A. Pantelous
Tongji University, Shanghai University, School of Management, Shanghai University, School of Management and Monash University - Department of Econometrics & Business Statistics
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Project scheduling; Project management; Fuzzy programming; Operational law

54.

Online Supplementary Material for “A Note on Fuzzy Simulations for Expected Values of Functions of Fuzzy Numbers and Intervals”

Number of pages: 3 Posted: 20 Apr 2022
Yunwen Miao, Guang Wang, Jian Zhou, Athanasios A. Pantelous and Ke Wang
Nanjing University of Finance and Economics, Department of Marketing and Logistics Management, Shanghai University, School of Management, Shanghai University, School of Management, Monash University - Department of Econometrics & Business Statistics and Shanghai University, School of Management
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Expected value, fuzzy simulation, convergence

55.

A Comparative Intellectual and Conceptual Study of Environmental Topic in Economic and Finance

Number of pages: 43 Posted: 29 Jun 2023
Meilan Yan, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne and Dalu Zhang
Loughborough University, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Luiss Guido Carli University - Luiss Business School and University of Leicester
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Environmental Finance, ESG, Bibliometric analysis, ESG disclosure and investment

56.

A Decision Making Framework for Joint Replenishment and Delivery Scheduling Problems Under Mixed Uncertainty

Number of pages: 30 Posted: 20 Jun 2023 Last Revised: 25 Oct 2024
Guang Wang, Jian Zhou, Athanasios A. Pantelous, Yuanyuan Liu and Youwei Li
Shanghai University, School of Management, Shanghai University, School of Management, Monash University - Department of Econometrics & Business Statistics, Shandong University of Finance and Economics and Hull University Business School
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Supply chain resilience, joint replenishment, mixed uncertainty, chance-constrained programming, cross-entropy algorithm