Andreas Tsanakas

Bayes Business School (formerly Cass), City, University of London

Professor of Risk Management

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • Bayes Business School (formerly Cass), City, University of London

SCHOLARLY PAPERS

43

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116

Scholarly Papers (43)

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1.

Optimal Capital Allocation Principles

The final version of this article appeared as: Dhaene J., Tsanakas, A. , Valdez, E. A. , Vanduffel, S. (2012), 'Optimal Capital Allocation Principles', Journal of Risk and Insurance, 79(1), p.1-28.
Number of pages: 23 Posted: 26 Jan 2009 Last Revised: 03 Jan 2014
Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez and Steven Vanduffel
Katholieke Universiteit Leuven, Bayes Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,358 (31,165)
Citation 9

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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London

2.

Risk Measures and Economic Capital for (Re)Insurers

The final version of this article appeared as: Tsanakas Andreas (2008), 'Risk measures and economic capital for (re)insurers' in B. Everitt and E. Melnick (ed.), Encyclopedia of Quantitative Risk Assessment (by invitation), Wiley.
Number of pages: 25 Posted: 12 Aug 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London
Downloads 572 (101,377)

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risk measures, economic capital, risk capital, premium principles, choice under risk, solvency, capital allocation, insurance pricing, return on capital

3.

Sensitivity Analysis Using Risk Measures

Forthcoming, Risk Analysis: An International Journal.
Number of pages: 38 Posted: 24 Nov 2013 Last Revised: 16 Jun 2015
Andreas Tsanakas and Pietro Millossovich
Bayes Business School (formerly Cass), City, University of London and The Business School (formerly Cass)
Downloads 501 (119,380)
Citation 13

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Sensitivity analysis, risk measures, uncertainty analysis, risk aggregation, parameter uncertainty, dependence

4.

What is fair? Proxy discrimination vs. demographic disparities in insurance pricing

Number of pages: 37 Posted: 14 May 2023 Last Revised: 05 Jul 2024
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
Stockholm University, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 500 (119,665)
Citation 7

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discrimination, indirect discrimination, proxy discrimination, fairness, protected attributes, discrimination-free, unawareness, group fairness, demographic parity, statistical parity, independence axiom, equalized odds, separation axiom, predictive parity, sufficiency axiom, input pre-process

5.

Model Uncertainty in Risk Capital Measurement

Journal of Risk, Forthcoming
Number of pages: 21 Posted: 03 Oct 2013 Last Revised: 12 May 2015
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Bayes Business School (formerly Cass), City, University of London
Downloads 491 (122,235)
Citation 3

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Model uncertainty, Model error, Historical simulation, Worst-case approach, Bayesian model averaging, Value-at-Risk.

6.

Dynamic Capital Allocation With Distortion Risk Measures

The final version of this article appeared as: Tsanakas A. (2004), ''Dynamic risk capital allocation with distortion measures'', Insurance: Mathematics and Economics, 35(2), p.223-243.
Number of pages: 44 Posted: 12 Aug 2007 Last Revised: 09 Jun 2014
Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London
Downloads 426 (144,769)
Citation 3

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capital allocation, risk management, cooperative games, distorted probability, correlation order.

7.

Risk Measures and Theories of Choice

The final version of this article appeared as: Tsanakas A., E. Desli (2003), ''Risk measures and theories of choice'', British Actuarial Journal, 9(4), p.959-991.
Number of pages: 40 Posted: 13 Aug 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas and Evangelia Desli
Bayes Business School (formerly Cass), City, University of London and Aristotle University of Thessaloniki - School of Economics
Downloads 410 (151,403)
Citation 5

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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

8.

A Discussion of Discrimination and Fairness in Insurance Pricing

Number of pages: 14 Posted: 18 Sep 2022
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
Stockholm University, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 405 (153,536)

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discrimination, indirect discrimination, proxy discrimination, fairness, protected information, discrimination-free, unawareness, group fairness, statistical parity, independence axiom, equalized odds, separation axiom, predictive parity, sufficiency axiom

9.

A Multi-Task Network Approach for Calculating Discrimination-Free Insurance Prices

Number of pages: 33 Posted: 19 Jul 2022 Last Revised: 02 Nov 2022
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
Stockholm University, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 392 (159,219)
Citation 8

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indirect discrimination, proxy discrimination, discrimination-free insurance pricing, unawareness price, best-estimate price, protected information, discriminatory covariates, fairness, incomplete information, multi-task learning, multioutput network

10.

Failure Probability Under Parameter Uncertainty

The final version of this article appeared as: Gerrard R. J., Tsanakas, A. (2011), 'Failure probability under parameter uncertainty,' Risk Analysis: An International Journal, Vol. 31, No. 4, pp.727-744
Number of pages: 35 Posted: 11 Oct 2009 Last Revised: 03 Jan 2014
Russell J. Gerrard and Andreas Tsanakas
City University London - The Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 391 (159,674)

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solvency, Value-at-Risk, insurance, parameter uncertainty, location-scale families

11.

Risk Capital Allocation and Cooperative Pricing of Insurance Liabilities

The final version of this article appeared as: Tsanakas A., C. Barnett (2003), ''Risk capital allocation and cooperative pricing of insurance liabilities'', Insurance: Mathematics and Economics, 33(2), p.239-254.
Number of pages: 33 Posted: 12 Aug 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas and Christopher Barnett
Bayes Business School (formerly Cass), City, University of London and Imperial College London
Downloads 385 (162,472)
Citation 3

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cooperative games, Aumann-Shapley value, distortion premium principle, coherent risk measures, equilibrium

12.

Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis

Number of pages: 25 Posted: 10 Feb 2020
Silvana M. Pesenti, Alberto Bettini, Pietro Millossovich and Andreas Tsanakas
University of Toronto, affiliation not provided to SSRN, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 379 (165,352)
Citation 1

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Sensitivity analysis, risk measures, stress testing, sensitivity measures, Kullback-Leibler divergence

13.

How Superadditive Can a Risk Measure Be?

Forthcoming in SIAM Journal on Financial Mathematics (SIFIN)
Number of pages: 32 Posted: 01 Jan 2014 Last Revised: 04 Jun 2015
Ruodu Wang, Valeria Bignozzi and Andreas Tsanakas
University of Waterloo - Department of Statistics and Actuarial Science, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Bayes Business School (formerly Cass), City, University of London
Downloads 352 (179,347)
Citation 5

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distortion risk measures; shortfall risk measures; expectiles; model uncertainty; risk aggregation; superadditivity; coherence

14.

Parameter Uncertainty and Residual Estimation Risk

This is a preprint of an article accepted for publication in the Journal of Risk and Insurance, (c) 2004 the American Risk and Insurance Association.
Number of pages: 40 Posted: 10 Oct 2012 Last Revised: 10 Oct 2014
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Bayes Business School (formerly Cass), City, University of London
Downloads 339 (186,919)
Citation 1

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Parameter uncertainty, model uncertainty, bootstrap, predictive distribution, location-scale families, risk measures, solvency

15.

To Split or Not to Split: Capital Allocation with Convex Risk Measures

The final version of this article appeared as: Tsanakas A (2009), 'To split or not to split: capital allocation with convex risk measures', Insurance: Mathematics and Economics, 44(2), p.268-277.
Number of pages: 28 Posted: 31 Oct 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London
Downloads 301 (212,228)
Citation 15

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Convex measures of risk, capital allocation, Aumann-Shapley value, inf-convolution

16.

Market Value Margin via Mean-Variance Hedging

The final version of this article has appeared as: Tsanakas A., Wüthrich, M., Cerny, A. (2013), 'Market value margin via mean-variance hedging', ASTIN Bulletin, 43(3), p.301-322.
Number of pages: 21 Posted: 20 Sep 2012 Last Revised: 03 Jan 2014
Andreas Tsanakas, Mario V. Wuthrich and Aleš Černý
Bayes Business School (formerly Cass), City, University of London, RiskLab, ETH Zurich and Bayes Business School, City St George's, University of London
Downloads 293 (218,255)
Citation 5

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Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II

17.

A Theory of Multivariate Stress Testing

Number of pages: 45 Posted: 23 Nov 2021 Last Revised: 07 Jun 2023
Pietro Millossovich, Andreas Tsanakas and Ruodu Wang
The Business School (formerly Cass), Bayes Business School (formerly Cass), City, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 292 (219,096)
Citation 2

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Stress testing, sensitivity analysis, dependence, change of measure, risk measure, probability distortion, systemic risk.

18.

Optimal Risk Transfers in Insurance Groups

The final version of this article has appeared as: Asimit A. V., Badescu, A. M., Tsanakas, A. (2013), 'Optimal Risk Transfers in Insurance Groups', European Actuarial Journal, 3(1), p.159-190
Number of pages: 29 Posted: 19 Jan 2012 Last Revised: 03 Jan 2014
Alexandru Vali Asimit, Alexandru Badescu and Andreas Tsanakas
City University London - The Business School, University of Calgary and Bayes Business School (formerly Cass), City, University of London
Downloads 285 (224,727)
Citation 4

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Cost of Capital, Expected Shortfall, Insurance Groups, Optimal Reinsurance, Value-at-Risk

19.

Risk Exchange With Distorted Probabilities

The final version of this article appeared as: Tsanakas A., N. Christofides (2006), ''Risk exchange with distorted probabilities'', Astin Bulletin, 36(1), p.219-243.
Number of pages: 26 Posted: 13 Aug 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas and Nikos Christofides
Bayes Business School (formerly Cass), City, University of London and Imperial College London - Imperial College of Science, Technology and Medicine
Downloads 221 (289,315)
Citation 6

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20.

Cascade Sensitivity Measures

Number of pages: 42 Posted: 13 Nov 2018 Last Revised: 16 Nov 2020
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 220 (290,542)
Citation 6

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Sensitivity analysis, importance measures, model uncertainty, risk measures, dependence, Rosenblatt transform

21.

Capital Allocation for Portfolios with Non-Linear Risk Aggregation

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 21 May 2016 Last Revised: 16 Nov 2016
Tim J. Boonen, Andreas Tsanakas and Mario V. Wuthrich
University of Hong Kong, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 219 (291,875)
Citation 3

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Capital allocation, Euler rule, fuzzy core, Aumann-Shapley value, risk measures

22.

High Dimensional Modelling and Simulation with Asymmetric Normal Mixtures

Number of pages: 18 Posted: 11 Aug 2007
Andreas Tsanakas and Andrew D. Smith
Bayes Business School (formerly Cass), City, University of London and University College Dublin (UCD)
Downloads 218 (293,105)
Citation 1

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Dependence, copula, normal mixtures, Kronecker product,

23.

Optimal Capital Allocation in a Hierarchical Corporate Structure

The final version of this article will be published in Insurance: Mathematics and Economics, Forthcoming
Number of pages: 18 Posted: 02 Aug 2013 Last Revised: 11 Mar 2014
Yaniv Zaks and Andreas Tsanakas
Zaks Finance and Bayes Business School (formerly Cass), City, University of London
Downloads 212 (300,999)
Citation 1

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capital allocation, optimal capital, weighted capital allocation, hierarchical firms, risk measure

24.

Risk Measurement in the Presence of Background Risk

The final version of this article appeared as: Tsanakas A (2008), 'Risk measurement in the presence of background risk', Insurance: Mathematics and Economics, 42(2), p.520-528.
Number of pages: 27 Posted: 12 Aug 2007 Last Revised: 03 Jan 2014
Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London
Downloads 198 (320,906)
Citation 1

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Risk measures, Background risk, Capital allocation, Portfolio management, Elliptical distributions

25.

Sensitivity-Based Measures of Discrimination in Insurance Pricing

Number of pages: 34 Posted: 19 Aug 2024 Last Revised: 23 Dec 2024
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
Stockholm University, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 182 (346,615)

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Proxy discrimination, demographic parity, insurance pricing, algorithmic fairness, sensitivity analysis

26.

An Impossibility Theorem on Capital Allocation

Scandinavian Actuarial Journal, forthcoming
Number of pages: 18 Posted: 18 Nov 2021 Last Revised: 24 Jun 2022
Yuanying Guan, Andreas Tsanakas and Ruodu Wang
DePaul University - Department of Mathematical Sciences, Bayes Business School (formerly Cass), City, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 167 (373,819)
Citation 3

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Euler allocation, stress scenarios, top-down consistency, shrinking independence

27.

Stochastic Ordering of Bivariate Elliptical Distributions

The final version of this article appeared as: Landsman Z., A. Tsanakas (2006), ''Stochastic ordering of bivariate elliptical distributions'', Statistics and Probability Letters, 76, p.488-494.
Number of pages: 14 Posted: 13 Aug 2007 Last Revised: 03 Jan 2014
Zinoviy Landsman and Andreas Tsanakas
University of Haifa, Department of Statistics and Bayes Business School (formerly Cass), City, University of London
Downloads 161 (385,748)

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Elliptical distributions, convex order, concordance order, dependence, risk management

28.

Parameter Uncertainty in Exponential Family Tail Estimation

The final version of this article has appeared as: Landsman Z, Tsanakas, A. (2012), 'Parameter uncertainty in exponential family tail estimation', ASTIN Bulletin, 42(1), p.123 - 152.
Number of pages: 34 Posted: 29 Jun 2011 Last Revised: 03 Jan 2014
Zinoviy Landsman and Andreas Tsanakas
University of Haifa, Department of Statistics and Bayes Business School (formerly Cass), City, University of London
Downloads 160 (387,825)
Citation 1

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reinsurance pricing, VAR, parameter uncertainty, bias, bootstrap, exponential families

29.

Taming Uncertainty: The Limits to Quantification

Forthcoming, Tsanakas A, Beck, MB, Thompson, M (2016), 'Taming Uncertainty: The Limits to Quantification', ASTIN Bulletin, 46(1), p.1-7
Number of pages: 6 Posted: 26 May 2016
Andreas Tsanakas, M. Bruce Beck and Michael Thompson
Bayes Business School (formerly Cass), City, University of London, Imperial College London - Department of Civil and Environmental Engineering and International Institute for Applied Systems Analysis (IIASA)
Downloads 155 (398,520)
Citation 2

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Model uncertainty, model govenance, model risk, plural rationalities, epistemic uncertainty, ontological uncertainty

30.

Reverse Sensitivity Testing: What Does It Take to Break the Model?

European Journal of Operational Research, Forthcoming
Number of pages: 28 Posted: 03 Nov 2018
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 148 (413,993)
Citation 2

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Robustness and Sensitivity Analysis, Risk Management, Value-at-Risk, Expected Shortfall, Stress Testing

31.

The Elephant in the Room: Model Error and Solvency Regulation

Number of pages: 4 Posted: 07 Sep 2012
Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London
Downloads 129 (461,763)

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Model error, Regulation, Solvency 2

32.

Efficient Evaluation of Alternative Reinsurance Strategies Using Control Variates

Number of pages: 7 Posted: 05 Feb 2022
Ioannis Kyriakou and Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 104 (543,119)

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reinsurance, Monte Carlo simulation, control variates

33.

Sensitivity analysis with $\chi^2$-divergences

Number of pages: 28 Posted: 18 Feb 2021
Vaishno Devi Makam, Pietro Millossovich and Andreas Tsanakas
The Business School (formerly Cass), City, University of London, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 102 (550,790)
Citation 2

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Sensitivity analysis, $\chi^2$-divergence, Kullback-Leiber divergence, simulation, sensitivity measures, reverse stress testing

34.

Robustness Regions for Measures of Risk Aggregation

Dependence Modelling (Forthcoming)
Number of pages: 21 Posted: 08 Oct 2016 Last Revised: 22 Nov 2016
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 90 (597,305)
Citation 4

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Convex risk measures, Aggregation, Value-at-Risk, Robustness, Continuity

35.

Characterization and Construction of Sequentially Consistent Risk Measures

Number of pages: 30 Posted: 04 Oct 2013
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Bayes Business School (formerly Cass), City, University of London
Downloads 72 (678,755)

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dynamic risk measures, sequential consistency, TVaR, Choquet risk measure, coherent entropic risk measure

36.

Copula model selection using image recognition

Number of pages: 34 Posted: 27 Oct 2021
Andreas Tsanakas and Rui Zhu
Bayes Business School (formerly Cass), City, University of London and City University London
Downloads 62 (733,320)

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copula, dependence modelling, image recognition, model selection, classification, transfer learning

37.

Euler Allocations in the Presence of Non-Linear Reinsurance: Comment on Major (2018)

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 6 Posted: 10 Oct 2018
Silvana M. Pesenti, Andreas Tsanakas and Pietro Millossovich
University of Toronto, Bayes Business School (formerly Cass), City, University of London and The Business School (formerly Cass)
Downloads 62 (733,320)

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Distortion Risk Measures, Capital Allocation, Euler Allocation, Aumann-Shapley, Reinsurance, Aggregation

38.

Differential Quantile-Based Sensitivity in Discontinuous Models

Number of pages: 43 Posted: 07 Nov 2023
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 49 (819,123)

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Sensitivity analysis, importance measurement, differential sensitivity measures, simulation, risk measures, credit risk

39.

Shared Exposures or Management Fashions? Drivers of Cross-Industry Convergence of Textual Risk Disclosures

Number of pages: 24 Posted: 08 Mar 2024
Lei Fang, Gianvito Lanzolla and Andreas Tsanakas
Queen Mary University of London, City University London - Bayes Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 44 (858,307)

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Risk analysis, Systemic risk, Sensitivity analysis, Text analysis, Management attention

40.

The Model Ajar: Building Rationality Infrastructures Within Insurance Organizations

Number of pages: 10 Posted: 07 Oct 2018
Andreas Tsanakas and Laure Cabantous
Bayes Business School (formerly Cass), City, University of London and ESCP Business School
Downloads 41 (883,496)

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41.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Data Mining and Knowledge Discovery (2022) https://link.springer.com/article/10.1007/s10618-022-00841-4
Posted: 22 Mar 2021 Last Revised: 22 Jun 2022
Michael Merz, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
University of Hamburg, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich

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explainable AI (XAI), model-agnostic tools, deep learning, attribution, accumulated local e ects (ALE), partial dependence plot (PDP), locally interpretable model-agnostic explanation (LIME), variable importance, post-hoc analysis

42.

Discrimination-Free Insurance Pricing

ASTIN Bulletin open access FirstView 2021 https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/discriminationfree-insurance-pricing/ED25C4053690E56050F437B8DF2AD117
Posted: 10 Feb 2020 Last Revised: 11 Oct 2021
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
Stockholm University, insureAI, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich

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discrimination, differentiation, insurance pricing, individual policy char- acteristics, discriminatory covariates, direct discrimination, indirect discrimination, neural networks, complex algorithmic models, causal inference, confounding

43.

Risk Margin for a Non-Life Insurance Run-Off

The final version of this article has appeared as: Wuethrich M. V., Embrechts, P., Tsanakas, A. (2011), 'Risk margin for a non-life insurance run-off', Statistics & Risk Modeling, 28, p. 299-317.
Posted: 15 Aug 2011 Last Revised: 03 Jan 2014
Mario V. Wuthrich, Paul Embrechts and Andreas Tsanakas
RiskLab, ETH Zurich, Swiss Federal Institute of Technology Zurich and Bayes Business School (formerly Cass), City, University of London

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claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation