Portrait of Professor Andreas Tsanakas

Professor Andreas Tsanakas

Professor of Risk Management

Cass Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Andreas Tsanakas

Room BR5093, Bunhill Row

Postal address

Cass Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Andreas Tsanakas joined the Business School in 2006. Previously he spent six years at Lloyd's. Andreas studied Electrical and Computer Engineering at the University of Patras, Greece. He has an MSc in Control Systems from Imperial College London and an MA in Modern German Studies from Birkbeck College. He carried out his doctoral research at Imperial College London.

Andreas' research interests are in quantitative risk management, with particular focus on portfolio risks measurement, sensitivity analysis, capital allocation and model uncertainty. He is Editor of the Annals of Actuarial Science, Associate Editor of ASTIN Bulletin, co-organizer of the annual Insurance Data Science conference, co-organizer of the One World Actuarial Research Seminar (OWARS), and co-author of the R package SWIM, used for efficient sensitivity analysis of simulation models.

Qualifications

  1. Dipl.-Eng, University of Patras, Pátrai, Greece
  2. MSc, Imperial College London, London, United Kingdom
  3. MA, Birkbeck, University of London, London, United Kingdom
  4. PhD, Imperial College London, London, United Kingdom

Awards

  1. Institute and Faculty of Actuaries. (2020) Peter Clark Prize for Best Paper
    Awarded for paper: Pesenti, S. M., Millossovich, P., & Tsanakas, A. (2019). Reverse sensitivity testing: What does it take to break the model?. European Journal of Operational Research, 274(2), 654-670.
  2. The American Risk and Insurance Association (2017) Casualty Actuarial Society Honorable Mention
  3. Institute and Faculty of Actuaries (2016) 2015 Peter Clark Prize and Best Paper Winner
    2015 Peter Clark Prize and Best Paper Winner, for paper "Model Risk: Daring to Open the Black Box"
  4. Lloyd's of London (2011) 2011 Lloyd's Science of Risk Prize
    Winner of 2011 Lloyd's Science of Risk Prize, in the Insurance Markets & Operations category, for paper "Optimal Capital Allocation Principles".

Languages

German and Greek, Modern (1453-).

Expertise

Primary topics

  • Actuarial Science
  • Insurance
  • Risk Modelling

Industries

  • insurance

Research students

1st supervisor

Silvana Pesenti

Attendance: Oct 2015 – Jan 2019, full-time

Thesis title: Robustness and Sensitivity of Risk Evaluations

Role: 1st Supervisor

Valeria Bignozzi

Attendance: Oct 2008 – Sep 2012, full-time

Thesis title: Contributions to solvency risk measurement

Role: 1st Supervisor

Publications

Chapters (2)

  1. Tsanakas, A. and Cabantous, L. (2018). Beyond "Model Risk": A Practice Perspective on Modeling in Insurance. Risk Modeling for Hazards and Disasters (pp. 299–305). ISBN 978-0-12-804071-3.
  2. Tsanakas, A. (2008). Risk measures and economic capital for (re)insurers. In Everitt, B. and Melnick, E. (Eds.), Encyclopedia of Quantitative Risk Assessment Wiley. ISBN 978-0-470-03549-8.

Conference papers and proceedings (5)

  1. Papaefthymiou, G., Tsanakas, A., Dorota, K., Schavemaker, P.H. and Van Der Sluis, L. (2005). Probabilistic power flow methodology for the modeling of horizontally-operated power systems.
  2. Papaefthymiou, G., Tsanakas, A., Reza, M., Schavemaker, P.H. and Van Der Sluis, L. (2005). Reliability assessment of HV/MV transformer-links for distributed power systems planning.
  3. Papaefthymiou, G., Tsanakas, A., Schavemaker, P.H. and van der Sluis, L. (2004). Design of Wind Energy Distributed Power Systems: Investigation of Stochastic Bounds Using Monte Carlo Simulation. 4th IASTED International Conference on Power and Energy Systems (EuroPES 2004) 28-30 June, Rhodes, Greece.
  4. Papaefthymiou, G., Tsanakas, A., Schavemaker, P.H. and Van Der Sluis, L. (2004). Design of 'distributed' energy systems based on probabilistic analysis.
  5. Tsanakas, A.D., Papaefthimiou, G.I. and Agoris, D.P. (2002). Pollution flashover fault analysis and forecasting using neural networks. 39th International CIGRE Conference Paris, France.

Journal articles (35)

  1. Tsanakas, A. and Cabantous, L. (2020). Catastrophe Modeling and Metaphors in Financial Markets: A Reply to Etzion, Kypraios, and Forgues. Academy of Management Discoveries, 6(4), pp. 717–720. doi:10.5465/amd.2020.0006.
  2. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (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.
  3. Tsanakas, A. and Cabantous, L. (2018). A foot in the door. The Actuary, (December 2018).

    [publisher’s website]

  4. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (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.
  5. Black, R., Tsanakas, A., Smith, A.D., Beck, M.B., Maclugash, I.D., Grewal, J. … Lim, Z. (2017). Model risk: illuminating the black box. British Actuarial Journal, 23. doi:10.1017/S1357321717000150.
  6. Boonen, T.J., Tsanakas, A. and Wüthrich, 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.
  7. Bignozzi, V. and Tsanakas, A. (2016). Parameter Uncertainty and Residual Estimation Risk. Journal of Risk and Insurance, 83(4), pp. 949–978. doi:10.1111/jori.12075.
  8. Aggarwal, A., Beck, M.B., Cann, M., Ford, T., Georgescu, D., Morjaria, N. … Ye, I. (2016). Model risk – daring to open up the black box. British Actuarial Journal, 21(2), pp. 229–296. doi:10.1017/s1357321715000276.
  9. Tsanakas, A. (2016). Making a Market for Acts of God: The Practice of Risk-Trading in the Global Reinsurance Industry (Book Review). JOURNAL OF RISK AND INSURANCE, 83(2), pp. 501–504. doi:10.1111/jori.12160.
  10. Tsanakas, A. and Danielsson, J. (2016). Everybody right, everybody wrong: Plural rationalities in macroprudential regulation. VoxEU.

    [publisher’s website]

  11. Bignozzi, V. and Tsanakas, A. (2016). Model uncertainty in risk capital measurement. Journal of Risk, 18(3). doi:10.21314/J0R.2016.326.
  12. Tsanakas, A. and Millossovich, P. (2016). Sensitivity Analysis Using Risk Measures. Risk Analysis, 36(1), pp. 30–48. doi:10.1111/risa.12434.
  13. Tsanakas, A., Beck, M.B. and Thompson, M. (2016). TAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATION. ASTIN Bulletin, 46(1), pp. 1–7. doi:10.1017/asb.2015.29.
  14. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2016). Robustness regions for measures of risk aggregation. Dependence Modeling, 4(1), pp. 348–367. doi:10.1515/demo-2016-0020.
  15. Wang, R., Bignozzi, V. and Tsanakas, A. (2015). How superadditive can a risk measure be? SIAM Journal on Financial Mathematics, 6(1), pp. 776–803. doi:10.1137/140981046.
  16. Tsanakas, A., Beck, M.B., Ford, T., Thompson, M. and Ye, I. (2014). Cultural aspects of model risk. The Actuary, 2014(December), pp. 34–35.

    [publisher’s website]

  17. Zaks, Y. and 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.
  18. Gesmann, M. and Tsanakas, A. (2014). Conference report: R in insurance 2014. R Journal, 6(2), pp. 185–186.

    [publisher’s website]

  19. Tsanakas, A., Wüthrich, M.V. and Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301–322. doi:10.1017/asb.2013.18.
  20. Asimit, V., Badescu, A. and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159–190.
  21. Tsanakas, A. (2012). Modelling: The elephant in the room. The Actuary, 2012(September).
  22. Landsman, Z. and Tsanakas, A. (2012). Parameter uncertainty in exponential family tail estimation. ASTIN Bulletin, 42(1), pp. 123–152. doi:10.2143/AST.42.1.2160738.
  23. Tsanakas, A. (2012). The Elephant in the Room: Model Error and Solvency Regulation. .
  24. Dhaene, J., Tsanakas, A., Valdez, E.A. and 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.
  25. Wüthrich, M.V., Embrechts, P. and 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.
  26. Gerrard, R. and Tsanakas, A. (2011). Failure probability under parameter uncertainty. Risk Analysis, 31(5), pp. 727–744. doi:10.1111/j.1539-6924.2010.01549.x.
  27. 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.
  28. 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.
  29. Tsanakas, A. and Christofides, N. (2006). Risk exchange with distorted probabilities. ASTIN Bulletin, 36(1), pp. 219–243. doi:10.2143/AST.36.1.2014150.
  30. Landsman, Z. and 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.
  31. Tsanakas, A. and 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.
  32. Tsanakas, A. (2004). Dynamic capital allocation with distortion risk measures. Insurance: Mathematics and Economics, 35(2), pp. 223–243. doi:10.1016/S0167-6687(03)00137-9.
  33. Tsanakas, A. and 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.
  34. Tsanakas, A. and Desli, E. (2003). Risk Measures and Theories of Choice. British Actuarial Journal, 9(4), pp. 959–991. doi:10.1017/s1357321700004414.
  35. Hillier, J.K., Saville, G., Smith, M.J., Scott, A.J., Raven, E.K., Gascoigne, J. … Craig, J. Demystifying academics to enhance university–business
    collaborations in environmental science.     . doi:10.5194/gc-2018-13.

Software

  1. Pesenti, S., Bettini, A., Millossovich, P. and Tsanakas, A. (2019). Scenario Weights for Importance Measurement (SWIM) - an R Package for Sensitivity Analysis..

Working papers (7)

  1. Makam, V., Millossovich, P. and Tsanakas, A. (2021). Sensitivity analysis with $\chi^2$-divergences.
  2. Pesenti, S., Bettini, A., Millossovich, P. and Tsanakas, A. (2020). Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis.
  3. Lindholm, M., Richman, R., Tsanakas, A. and Wüthrich, M. (2020). Discrimination-free insurance pricing.
  4. Barigou, K., Bignozzi, V. and Tsanakas, A. (2020). Insurance valuation: A two-step generalised regression approach.
  5. Tsanakas, A. and Smith, A. (2007). High dimensional modelling and simulation with asymmetric normal mixtures. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  6. Tsanakas, A. and Cabantous, L. The Model Ajar: Building Rationality Infrastructures within Insurance Organizations.
  7. Pesenti, S.M., Millossovich, P. and Tsanakas, A. Cascade Sensitivity Measures.