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Andreas Tsanakas
Andreas Tsanakas
Professor of Risk Management, Bayes Business School, City, University of London
Verified email at city.ac.uk - Homepage
Title
Cited by
Cited by
Year
Optimal capital allocation principles
J Dhaene, A Tsanakas, EA Valdez, S Vanduffel
Journal of Risk and Insurance 79 (1), 1-28, 2012
2862012
To split or not to split: Capital allocation with convex risk measures
A Tsanakas
Insurance: Mathematics and Economics 44 (2), 268-277, 2009
1442009
Dynamic capital allocation with distortion risk measures
A Tsanakas
Insurance: Mathematics and Economics 35 (2), 223-243, 2004
872004
Risk capital allocation and cooperative pricing of insurance liabilities
A Tsanakas, C Barnett
Insurance: Mathematics and Economics 33 (2), 239-254, 2003
822003
Risk measures and theories of choice
A Tsanakas, E Desli
British Actuarial Journal 9 (4), 959-991, 2003
802003
Measurement and pricing of risk in insurance markets
A Tsanakas, E Desli
Risk Analysis: An International Journal 25 (6), 1653-1668, 2005
682005
Sensitivity analysis using risk measures
A Tsanakas, P Millossovich
Risk Analysis 36 (1), 30-48, 2016
512016
Risk exchange with distorted probabilities
A Tsanakas, N Christofides
Astin Bulletin 36 (1), 219, 2006
482006
Discrimination-free insurance pricing
M Lindholm, R Richman, A Tsanakas, MV Wüthrich
ASTIN Bulletin: The Journal of the IAA 52 (1), 55-89, 2022
472022
Optimal risk transfers in insurance groups
AV Asimit, AM Badescu, A Tsanakas
European Actuarial Journal 3, 159-190, 2013
442013
Parameter uncertainty and residual estimation risk
V Bignozzi, A Tsanakas
Journal of Risk and Insurance 83 (4), 949-978, 2016
432016
Risk measurement in the presence of background risk
A Tsanakas
Insurance: Mathematics and Economics 42 (2), 520-528, 2008
422008
Stochastic ordering of bivariate elliptical distributions
Z Landsman, A Tsanakas
Statistics & probability letters 76 (5), 488-494, 2006
352006
Failure probability under parameter uncertainty
R Gerrard, A Tsanakas
Risk Analysis: An International Journal 31 (5), 727-744, 2011
302011
Capital allocation for portfolios with non-linear risk aggregation
TJ Boonen, A Tsanakas, MV Wüthrich
Insurance: Mathematics and Economics 72, 95-106, 2017
292017
How superadditive can a risk measure be?
R Wang, V Bignozzi, A Tsanakas
SIAM Journal on Financial Mathematics 6 (1), 776-803, 2015
292015
Optimal capital allocation in a hierarchical corporate structure
Y Zaks, A Tsanakas
Insurance: Mathematics and Economics 56, 48-55, 2014
262014
Model risk–daring to open up the black box
A Aggarwal, MB Beck, M Cann, T Ford, D Georgescu, N Morjaria, A Smith, ...
British Actuarial Journal 21 (2), 229-296, 2016
252016
Model uncertainty in risk capital measurement
V Bignozzi, A Tsanakas
Journal of Risk, Forthcoming, 2014
212014
Reverse sensitivity testing: What does it take to break the model?
SM Pesenti, P Millossovich, A Tsanakas
European Journal of Operational Research 274 (2), 654-670, 2019
202019
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