Andreas Tsanakas

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

Professor of Risk Management

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

38

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85

CROSSREF CITATIONS

110

Scholarly Papers (38)

1.
Downloads 1,255 ( 22,490)
Citation 31

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
Katholieke Universiteit Leuven, Bayes Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,249 (22,267)
Citation 2

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

Optimal Capital Allocation Principles

Journal of Risk and Insurance, Vol. 79, Issue 1, pp. 1-28, 2012
Number of pages: 28 Posted: 24 Feb 2012
Katholieke Universiteit Leuven, Bayes Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 6 (835,816)
Citation 6

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2.

Measurement and Pricing of Risk in Insurance Markets

The final version of this paper appeared as: Tsanakas A., E. Desli (2005), 'Measurement and pricing of risk in insurance markets', Risk Analysis, 25(6), p.1653-1668.
Number of pages: 29 Posted: 12 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 658 (55,294)

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Risk measures, Insurance Pricing, Choice under Risk, Risk Exchange, Good Deals

3.

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 523 (73,879)

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

4.
Downloads 388 (105,173)
Citation 3

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 388 (104,315)
Citation 2

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

Model Uncertainty in Risk Capital Measurement

Journal of Risk, Vol. 18, No. 3, 2016
Number of pages: 24 Posted: 15 Jun 2016
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 0
Citation 2
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model uncertainty, model error, historical simulation, worst-case approach, Bayesian, model averaging, value-at-risk

5.

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 368 (111,677)
Citation 3

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

6.

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 349 (118,362)
Citation 10

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

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 329 (126,354)
Citation 2

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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.

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 - Sir John Cass Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 315 (131,986)

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

9.
Downloads 286 (146,239)
Citation 9

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 286 (145,515)
Citation 1

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

Parameter Uncertainty and Residual Estimation Risk

Journal of Risk and Insurance, Vol. 83, Issue 4, pp. 949-978, 2016
Number of pages: 30 Posted: 11 Nov 2016
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
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Citation 3

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10.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Number of pages: 27 Posted: 22 Mar 2021
University of Hamburg, Old Mutual Insure, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 271 (154,419)
Citation 1

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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

11.

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 268 (156,176)
Citation 5

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

12.

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 262 (159,785)
Citation 3

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

13.

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 234 (178,391)
Citation 8

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

14.

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
Cass Business School, City, University of London, University of Calgary and Bayes Business School (formerly Cass), City, University of London
Downloads 232 (179,853)
Citation 4

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

15.

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, University of London
Downloads 224 (185,820)
Citation 5

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

16.

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

Number of pages: 25 Posted: 10 Feb 2020
University of Toronto, affiliation not provided to SSRN, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 174 (233,287)
Citation 1

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

17.

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 172 (235,643)
Citation 6

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18.

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 169 (240,335)
Citation 1

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

19.

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 169 (239,104)
Citation 1

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Dependence, copula, normal mixtures, Kronecker product,

20.

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 160 (250,353)

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

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 Amsterdam, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 156 (255,647)
Citation 3

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

22.

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 142 (275,699)

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

23.

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 116 (320,435)

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

24.

A Theory of Multivariate Stress Testing

Number of pages: 42 Posted: 23 Nov 2021 Last Revised: 03 Dec 2021
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 113 (326,460)

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

25.

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 113 (326,460)
Citation 1

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

26.

An Impossibility Theorem on Capital Allocation

Number of pages: 17 Posted: 18 Nov 2021 Last Revised: 21 Dec 2021
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 112 (328,538)

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

27.

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 111 (330,593)
Citation 2

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

28.

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 88 (383,993)

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Model error, Regulation, Solvency 2

29.

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 53 (500,528)
Citation 3

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

30.

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 51 (508,840)

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

31.

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 49 (517,556)

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reinsurance, Monte Carlo simulation, control variates

32.

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 44 (540,463)
Citation 2

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

33.

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 35 (586,555)

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

34.

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 20 (684,634)

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

35.

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 of London
Downloads 13 (740,457)

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

36.

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 Cass Business School, City University London
Downloads 4 (822,430)

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37.

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
Stockholm University, Old Mutual Insure, 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

38.

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