Items where Author is "Tsanakas, A."
Article
Lindholm, M., Richman, R., Tsanakas, A. 
ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2024).
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing.
Scandinavian Actuarial Journal, 2024(9),
pp. 935-970.
doi: 10.1080/03461238.2024.2364741
Millossovich, P. ORCID: 0000-0001-8269-7507, Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2024).
A theory of multivariate stress testing.
European Journal of Operational Research, 318(3),
pp. 851-866.
doi: 10.1016/j.ejor.2024.06.002
Fahrenwaldt, M., Furrer, C., Hiabu, M. E. , Huang, F., Jørgensen, F. H., Lindholm, M., Loftus, J., Steffensen, M. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2024).
Fairness: plurality, causality, and insurability.
European Actuarial Journal, 14(2),
pp. 317-328.
doi: 10.1007/s13385-024-00387-3
Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2023).
A multi-task network approach for calculating discrimination-free insurance prices.
European Actuarial Journal, 14(2),
pp. 329-369.
doi: 10.1007/s13385-023-00367-z
Guan, Y., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2022).
An impossibility theorem on capital allocation.
Scandinavian Actuarial Journal, 2023(3),
pp. 290-302.
doi: 10.1080/03461238.2022.2094718
Kyriakou, I. ORCID: 0000-0001-9592-596X & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2022).
Efficient evaluation of alternative reinsurance strategies using control variates.
European Actuarial Journal, 12(1),
pp. 425-431.
doi: 10.1007/s13385-022-00304-6
Merz, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. (2022).
Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles.
Data Mining and Knowledge Discovery, 36(4),
pp. 1335-1370.
doi: 10.1007/s10618-022-00841-4
Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R. ORCID: 0000-0002-9944-0369 (2022).
Selecting bivariate copula models using image recognition.
Astin Bulletin, 52(3),
pp. 707-734.
doi: 10.1017/asb.2022.12
Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2022).
Discrimination-free insurance pricing.
Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 52(1),
pp. 55-89.
doi: 10.1017/asb.2021.23
Barigou, K., Bignozzi, V. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2022).
Insurance valuation: A two-step generalised regression approach.
Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 52(1),
pp. 211-245.
doi: 10.1017/asb.2021.31
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021).
Cascade sensitivity measures.
Risk Analysis: an international journal, 41(12),
pp. 2392-2414.
doi: 10.1111/risa.13758
Pesenti, S. M., Bettini, A., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021).
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis.
Annals of Actuarial Science, 15(2),
pp. 458-483.
doi: 10.1017/s1748499521000130
Makam, V. D., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2021).
Sensitivity analysis with χ2-divergences.
Insurance: Mathematics and Economics, 100,
pp. 372-383.
doi: 10.1016/j.insmatheco.2021.06.007
Tsanakas, A. ORCID: 0000-0003-4552-5532 & Cabantous, L. ORCID: 0000-0003-3533-1208 (2020).
COMMENTARY: Catastrophe modelling and metaphors in financial markets: COMMENTARY ON "perils of catastrophe bonds" by Etzion, Kypraios, and Forgues.
Academy of Management Discoveries, 6(4),
pp. 717-720.
doi: 10.5465/amd.2020.0006
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2019).
Reverse sensitivity testing: What does it take to break the model?.
European Journal of Operational Research, 274(2),
pp. 654-670.
doi: 10.1016/j.ejor.2018.10.003
Hillier, J. K., Saville, G., Smith, M. J. , Scott, A. J., Raven, E. K., Gascoigne, J., Slater, L., Quinn, N., Tsanakas, A. ORCID: 0000-0003-4552-5532, Souch, C., Leckebusch, G. C., Macdonald, N., Loxton, J., Wilebore, R., Collins, A., MacKechnie, C., Tweddle, J., Milner, A. M., Moller, S., Dove, M., Langford, H. & Craig, J. (2019).
Demystifying academics to enhance university-business collaborations in environmental science.
Geoscience Communication, 2(1),
pp. 1-23.
doi: 10.5194/gc-2-1-2019
Tsanakas, A. ORCID: 0000-0003-4552-5532 & Cabantous, L. ORCID: 0000-0003-3533-1208 (2018).
A foot in the door.
The Actuary(Decemb),
Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018).
Euler allocations in the presence of non-linear reinsurance: comment on Major (2018).
Insurance: Mathematics and Economics, 83,
pp. 29-31.
doi: 10.1016/j.insmatheco.2018.09.001
Black, R., Tsanakas, A., Smith, A. , Beck, M. B., Maclugash, I. D., Grewal, J., Witts, L., Morjaria, N., Green, R. & Lim, Z. (2017). Model risk: illuminating the black box. British Actuarial Journal, 23, article number e2. doi: 10.1017/s1357321717000150
Boonen, T. J., Tsanakas, A. & Wuethrich, M. V. (2017). Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics and Economics, 72, pp. 95-106. doi: 10.1016/j.insmatheco.2016.11.003
Bignozzi, V. & Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), pp. 949-978. doi: 10.1111/jori.12075
Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2016). Robustness Regions for Measures of Risk Aggregation. Dependence Modeling, 4(1), pp. 348-367. doi: 10.1515/demo-2016-0020
Aggarwal, A., Beck, M. B., Cann, M. , Ford, T., Georgescu, D., Morjaria, N., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. & Ye, I. (2016). Model risk – daring to open up the black box. British Actuarial Journal, 21(2), pp. 229-296. doi: 10.1017/s1357321715000276
Tsanakas, A. (2016). Making a Market for Acts of God: The Practice of Risk-Trading in the Global Reinsurance Industry. Journal Of Risk And Insurance, 83(2), pp. 501-504. doi: 10.1111/jori.12160
Bignozzi, V. & Tsanakas, A. (2016). Model uncertainty in risk capital measurement. Journal of Risk, 18(3), pp. 1-24. doi: 10.21314/j0r.2016.326
Tsanakas, A. & Millossovich, P. (2016). Sensitivity analysis using risk measures. Risk Analysis: an international journal, 36(1), pp. 30-48. doi: 10.1111/risa.12434
Tsanakas, A., Beck, M. B. & Thompson, M. (2016). Taming Uncertainty: The Limits to Quantification. Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 46(1), pp. 1-7. doi: 10.1017/asb.2015.29
Wang, R., Bignozzi, V. & Tsanakas, A. (2015). How Superadditive Can a Risk Measure Be?. SIAM Journal on Financial Mathematics, 6(1), pp. 776-803. doi: 10.1137/140981046
Zaks, Y. & Tsanakas, A. (2014). Optimal capital allocation in a hierarchical corporate structure. Insurance: Mathematics and Economics, 56(1), pp. 48-55. doi: 10.1016/j.insmatheco.2014.02.009
Tsanakas, A., Wuethrich, M. V. & Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301-322. doi: 10.1017/asb.2013.18
Asimit, A.V., Badescu, A. & Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159-190. doi: 10.1007/s13385-013-0068-6
Tsanakas, A. (2012). Modelling: The elephant in the room. The Actuary, 2012(Septem),
Landsman, Z. & Tsanakas, A. (2012). Parameter Uncertainty in Exponential Family Tail Estimation. ASTIN Bulletin, 42(1), pp. 123-152. doi: 10.2143/AST.42.1.2160738
Dhaene, J., Tsanakas, A., Valdez, E. A. & Vanduffel, S. (2012). Optimal Capital Allocation Principles. Journal of Risk and Insurance, 79(1), pp. 1-28. doi: 10.1111/j.1539-6975.2011.01408.x
Wuethrich, M. V., Embrechts, P. & Tsanakas, A. (2011). Risk margin for a non-life insurance run-off. Statistics & Risk Modeling, 28(4), pp. 299-317. doi: 10.1524/strm.2011.1096
Gerrard, R. J. G. & Tsanakas, A. (2010). Failure Probability Under Parameter Uncertainty. Risk Analysis, 31(5), pp. 727-744. doi: 10.1111/j.1539-6924.2010.01549.x
Tsanakas, A. (2009). To split or not to split: capital allocation with convex risk measures. Insurance: Mathematics and Economics, 44(2), pp. 268-277. doi: 10.1016/j.insmatheco.2008.03.007
Tsanakas, A. (2008). Risk measurement in the presence of background risk. Insurance: Mathematics and Economics, 42(2), pp. 520-528. doi: 10.1016/j.insmatheco.2007.01.015
Tsanakas, A. & Christofides, N. (2006). Risk exchange with distorted probabilities. Astin Bulletin, 36(1), pp. 219-243. doi: 10.2143/ast.36.1.2014150
Landsman, Z. & Tsanakas, A. (2006). Stochastic ordering of bivariate elliptical distributions. Statistics and Probability Letters, 76(5), pp. 488-494. doi: 10.1016/j.spl.2005.08.016
Tsanakas, A. & Desli, E. (2005). Measurement and Pricing of Risk in Insurance Markets. Risk Analysis, 25(6), pp. 1653-1668. doi: 10.1111/j.1539-6924.2005.00684.x
Tsanakas, A. (2004). Dynamic capital allocation with distortion risk measures. Insurance: Mathematics and Economics, 35(2), pp. 223-243. doi: 10.1016/j.insmatheco.2003.09.005
Tsanakas, A. & Barnett, C. (2003). Risk capital allocation and cooperative pricing of insurance liabilities. Insurance: Mathematics and Economics, 33(2), pp. 239-254. doi: 10.1016/s0167-6687(03)00137-9
Tsanakas, A. & Desli, E. (2003). Risk measures and theories of choice. British Actuarial Journal, 9(4), pp. 959-991. doi: 10.1017/s1357321700004414
Book Section
Tsanakas, A. (2007). Risk measures and economic capital for (re)insurers. In: Everitt, B. & Melnick, E. (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. . Wiley.
Working Paper
Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2024).
Sensitivity-based measures of discrimination in insurance pricing.
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Fang, L., Lanzolla, G. & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2024).
Shared exposures or management fashions? Drivers of cross-industry convergence of textual risk disclosures.
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Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2023).
Differential Sensitivity in Discontinuous Models.
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Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2023).
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing.
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Lindholm, M., Tsanakas, A. ORCID: 0000-0003-4552-5532, Richman, R. & Wüthrich, M. V. (2022).
A Discussion of Discrimination and Fairness in Insurance Pricing.
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Millossovich, P. ORCID: 0000-0001-8269-7507, Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2022).
A theory of multivariate stress testing.
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Lindholm, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2022).
A multi-task network approach for calculating discrimination-free insurance prices.
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Guan, Y., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wang, R. (2021).
An impossibility theorem on capital allocation.
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Tsanakas, A. ORCID: 0000-0003-4552-5532 & Zhu, R. ORCID: 0000-0002-9944-0369 (2021).
Copula model selection using image recognition.
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Merz, M., Richman, R., Tsanakas, A. ORCID: 0000-0003-4552-5532 & Wüthrich, M. V. (2021).
Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles.
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Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 & Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018).
Euler allocations in the presence of non-linear reinsurance: comment on Major (2018).
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Pesenti, S. M., Millossovich, P. & Tsanakas, A. (2018). Reverse sensitivity testing: What does it take to break the model?. .
Tsanakas, A. & Cabantous, L. (2018). The Model Ajar: Building Rationality Infrastructures within Insurance Organizations. .
Bignozzi, V. & Tsanakas, A. (2013). Characterization and Construction of Sequentially Consistent Risk Measures. SSRN.
Tsanakas, A. ORCID: 0000-0003-4552-5532 & Smith, A. (2007).
High dimensional modelling and simulation with asymmetric normal mixtures (Actuarial Research Paper No. 182).
London: Faculty of Actuarial Science & Insurance, City University London.
Tsanakas, A. (2007). To split or not to split: Capital allocation with convex risk measures (Actuarial Research Paper No. 184). London, UK: Faculty of Actuarial Science & Insurance, City University London.