# Professor Andreas Tsanakas

Professor of Risk Management

Cass Business School, Faculty of Actuarial Science and Insurance

## Contact

- +44 (0)20 7040 5166
- +44 (0)20 7040 5166
- a.tsanakas.1@city.ac.uk

## Postal address

106 Bunhill Row

London

EC1Y 8TZ

United Kingdom

## About

### Overview

Andreas Tsanakas joined Cass 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 on "Risk Sharing in Financial and Insurance Markets".

His research interests are in quantitative risk management, with particular focus on measuring portfolio risks and on dealing with model error. Andreas is a regular speaker at insurance industry events. He has delivered consultancy and training courses in his areas of expertise, particularly insurance capital modelling.

### Qualifications

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

### Awards

- The American Risk and Insurance Association (2017)
**Casualty Actuarial Society Honorable Mention** - 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" - 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

## Research

The main focus of my research in recent years has been on the problems of parameter and model error, particularly in the context of solvency capital calculation and reinsurance pricing. The problem arises by stringent regulatory requirements on the default probability of insurance firms, combined with limited datasets from which such probabilities can be estimated. Adjustments to the risk measurement process that address such estimation error have been proposed.

Recent research on related topics addresses the analysis of the sensitivity of a complex non-linear portfolio to changes it the input risk factors and the worst-case diversification effects that can occur in linear portfolios.

Further research on model uncertainties has taken a more qualitative direction, discussing the cultural and organisational issues related to how risk models are used and perceived within insurance enterprises. Much of this interdisciplinary research has been conducted in collaboration with an Institute and Faculty of Actuaries Working Party.

Another area I work in is capital allocation, that is, the process by which the total capital requirements for a portfolio of financial risks is allocated to its constituent parts. Recent joint work on this topic included the development of a unifying framework for capital allocation methods based on an optimisation approach – specific capital allocation rules are then derived as special cases.

## Research students

### 1^{st} supervisor

- Lei Fang, Research Student

### 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

- Pesenti, S.M., Millossovich, P. and Tsanakas, A.
**Cascade Sensitivity Measures.**

### Chapters (2)

- 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. - 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)

- 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.** - 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.** - 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. - Papaefthymiou, G., Tsanakas, A., Schavemaker, P.H. and Van Der Sluis, L. (2004).
**Design of 'distributed' energy systems based on probabilistic analysis.** - 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 (34)

- 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. - Tsanakas, A. and Cabantous, L. (2018).
**A foot in the door.***The Actuary*, (December 2018). - 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. - 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. - 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. - 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. - 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. - 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. - Tsanakas, A. and Danielsson, J. (2016).
**Everybody right, everybody wrong: Plural rationalities in macroprudential regulation.***VoxEU*. - Bignozzi, V. and Tsanakas, A. (2016).
**Model uncertainty in risk capital measurement.***Journal of Risk*,*18*(3). doi:10.21314/J0R.2016.326. - Tsanakas, A. and Millossovich, P. (2016).
**Sensitivity Analysis Using Risk Measures.***Risk Analysis*,*36*(1), pp. 30–48. doi:10.1111/risa.12434. - 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. - 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. - 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. - 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. - 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. - Gesmann, M. and Tsanakas, A. (2014).
**Conference report: R in insurance 2014.***R Journal*,*6*(2), pp. 185–186. - 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. - Asimit, V., Badescu, A. and Tsanakas, A. (2013).
**Optimal Risk Transfers in Insurance Groups.***European Actuarial Journal*,*3*(1), pp. 159–190. - Tsanakas, A. (2012).
**Modelling: The elephant in the room.***The Actuary*,*2012*(September). - 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. - Tsanakas, A. (2012).
**The Elephant in the Room: Model Error and Solvency Regulation.**. - 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. - 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. - 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. - 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. and Christofides, N. (2006).
**Risk exchange with distorted probabilities.***ASTIN Bulletin*,*36*(1), pp. 219–243. doi:10.2143/AST.36.1.2014150. - 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. - 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. - 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. - 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. - Tsanakas, A. and Desli, E. (2003).
**Risk Measures and Theories of Choice.***British Actuarial Journal*,*9*(4), pp. 959–991. doi:10.1017/s1357321700004414. - Hillier, J.K., Saville, G., Smith, M.J., Scott, A.J., Raven, E.K., Gascoigne, J. … Craig, J.
**Demystifying academics to enhance university–business**. doi:10.5194/gc-2018-13.

collaborations in environmental science.

### Software

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

### Working papers (4)

- Pesenti, S., Bettini, A., Millossovich, P. and Tsanakas, A. (2020).
**Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis.** - Lindholm, M., Richman, R., Tsanakas, A. and Wüthrich, M. (2020).
**Discrimination-free insurance pricing.** - 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. - Tsanakas, A. and Cabantous, L.
**The Model Ajar: Building Rationality Infrastructures within Insurance Organizations.**

## Professional activities

### Consultancy

**Hellenic Actuarial Society**(Charity) (Apr 2007)

CPD seminar on solvency and capital allocation.

### Editorial activity (15)

**European Journal of Operations Research**, Referee, 2015 – present.**Scandinavian Actuarial Journal**, Referee, 2015 – present.**SIAM Journal on Financial Mathematics**, Referee, 2014 – present.**Operations Research Letters**, Referee, 2014 – present.**Quantitative Finance**, Referee, 2013 – present.**North American Actuarial Journal**, Referee, 2010 – present.**Risk Magazine**, Referee, 2010 – present.**Australian Actuarial Journal**, Referee, 2010 – present.**Australian Actuarial Journal**, Referee, 2009 – present.**Journal of Urban Planning and Development**, Referee, 2009 – present.**ASTIN Bulletin**, Referee, 2008 – present.**Journal of Risk and Insurance**, Referee, 2005 – present.**Insurance: Mathematics and Economics**, Associate Editor, 2004 – 2013.**Insurance: Mathematics and Economics**, Referee, 2004 – present.**Risk Analysis**, Referee, 2004 – present.

### Events/conferences (42)

**R in Insurance.**(Conference) Cass Business School (2014). Chair.**R in Insurance.**(Conference) Cass Business School (2013). Chair.**Research Seminar at the Department of Economics, University of Bonn.**(Seminar) Bonn, Germany (2012). Invited speaker.

Paper: Parameter uncertainty and insolvency risk.

Author: Tsanakas A**Capital Modelling Seminar.**(Seminar) Staple Inn, London, UK. (2012).

Paper: Misadventures in Dependencyland

Author: Tsanakas A**Actuarial & Financial Mathematics 2012:Theory & Applications.**(Workshop) University of Liverpool (2012). Invited speaker.

Paper: Parameter uncertainty and solvency risk.

Author: Tsanakas A**7th Conference in Actuarial Science & Finance on Samos.**(Conference) Samos, Greece. (2012).

Paper: Optimal Risk Transfers in Insurance Groups

Author: Tsanakas A

Co-authors: Asimit A. V., Badescu A. M.**Financial Serviced Authority Insurance Risk Technical Seminar.**(Seminar) London (2011). Invited speaker.

Paper: Intra-group risk transfers and regulatory arbitrage

Author: Asimit A. V.

Co-authors: Badescu, A., Tsanakas, A.**FSNet2010 Conference.**(Conference) London (2010). Invited speaker.

Paper: Parameter Uncertainty in Insurance Solvency and Pricing

Author: Tsanakas A**European Meeting of Statisticians.**(Conference) Pireus, Greece (2010).

Paper: On the bias of tail function estimation in exponential families

Author: Tsanakas A

Co-authors: Z. Landsman**Thirteenth International Congress on Insurance: Mathematics and Economics.**(Conference) Istanbul (2009).

Paper: Insurance solvency under parameter uncertainty

Author: Tsanakas A.

Co-authors: Gerrard, R.**Dept. of Actuarial Mathematics and Statistics, Heriot-Watt University.**(Seminar) Edinburgh (2007). Invited speaker.

Paper: To split or not to split: capital allocation with convex risk measures

Author: Tsanakas A.**Eleventh International Congress on Insurance: Mathematics and Economics.**(Conference) Piraeus, Greece (2007).

Paper: To split or not to split? Capital allocation with convex risk measures

Author: Tsanakas A.**Benfield European Risk Modelling Conference.**(Conference) London (2007). Invited speaker.

Paper: Modelling dependencies: from copulas to factors

Author: Tsanakas A.**5th Actuarial and Financial Mathematics Day.**(Conference) Brussels (2007). Invited speaker.

Paper: Risk capital allocation

Author: Tsanakas A.**2007 Life Convention.**(Conference) Manchester (2007).

Paper: Model underlying Solvency II

Author: Tsanakas A.

Co-authors: A. Smith**Credit Risk Workshop for Young Researchers.**(Seminar) Cass Business School (2006). Invited speaker.

Paper: Risk aggregation and subjective tail dependence

Author: Tsanakas A.**SCOR Group Conference.**(Workshop) Paris (2006). Invited speaker.

Paper: Risk aggregation and subjective tail dependence

Author: Tsanakas A.**Lighthill Risk Network Pricing Seminar.**(Workshop) London (2006). Invited speaker.

Paper: Pricing insurance: an academic’s perspective

Author: Tsanakas A.**Institute of Actuaries seminar on ‘Parameterising Copulas’.**(Workshop) Staple Inn, London (2006). Invited speaker.

Paper: Fitting copulas: some tips

Author: Tsanakas A.**Tenth International Congress on Insurance: Mathematics and Economics.**(Conference) Leuven, Belgium. (2006).

Paper: Risk aggregation and subjective tail dependence

Author: Tsanakas A.**Department of Applied Economics, K. U. Leuven.**(Seminar) Belgium (2005).

Paper: Stochastic Modelling in the Lloyd’s insurance market

Author: Tsanakas A.**Oxford Workshop on Extreme Risk.**(Workshop) (2005). Invited speaker.

Paper: Communicating Uncertainty

Author: Tsanakas A.

Co-authors: H. Johnson**Ninth International Congress on Insurance: Mathematics and Economics.**(Conference) Quebec (2005).

Paper: Optimal Capital Allocation Principles

Author: Dhaene J.

Co-authors: A. Tsanakas, E. A. Valdez, S. Vanduffel**International Conference on Future Power Systems (FPS2005).**(Conference) Amsterdam (2005).

Paper: Probabilistic Power Flow Methodology for the Modelling of Horizontally-Operated Power Systems

Author: Papaefthymiou G.

Co-authors: Tsanakas A., Kurowicka, D., Schavemaker, P.H., van der Sluis, L.**3rd Reliability of Transmission and Distribution Networks (RTDN).**(Conference) London (2005).

Paper: Reliability assessment of HV/MV transformer links for distributed power systems planning

Author: Papaefthymiou G.

Co-authors: A. Tsanakas, M. Reza, P.H. Schavemaker, L. van der Sluis**2nd Brazilian Conference on Statistical Modelling in Insurance and Finance.**(Conference) (2005).

Paper: High Dimensional Simulation of Tail-Dependent Losses

Author: Tsanakas A.

Co-authors: A. Smith**2005 IEEE St.Petersburg PowerTech.**(Conference) St.Petersburg, Russia (2005).

Paper: Stochastic Modelling and Analysis of Horizontally-Operated Power Systems with a High Wind Energy Penetration

Author: Papaefthymiou G.

Co-authors: A. Tsanakas, M. Reza, P. Schavemaker, L. Van Der Sluis**2005 GIRO Convention.**(Conference) Blackpool (2005).

Paper: DIY Dependence Tools or the Virtues of Mixing

Author: Tsanakas A.**Dept. of Actuarial Mathematics & Statistics, Heriot-Watt University.**(Seminar) Edinburgh (2004). Invited speaker.

Paper: Risk Exchange and Asset Pricing with Distorted Probabilities

Author: Tsanakas A.**Eighth International Congress on Insurance: Mathematics and Economics.**(Conference) Rome (2004).

Paper: Portfolio-relative distortion risk measures’

Author: Tsanakas A.**4th IASTED International Conference on Power and Energy Systems (EuroPES 2004).**(Conference) Rhodes, Greece. (2004).

Paper: Design of Wind Energy Distributed Power Systems: Investigation of Stochastic Bounds Using Monte Carlo Simulation

Author: Papaefthymiou G.

Co-authors: A. Tsanakas, P. H. Schavemaker, L. van der Sluis**3rd Conference in Actuarial Science & Finance in Samos.**(Conference) Samos (2004).

Paper: Elliptical distributions and stochastic orders’

Author: Tsanakas A.

Co-authors: Z. Landsman**2004 GIRO Convention.**(Conference) Killarney, Ireland (2004).

Paper: Risk Measures: Beyond Coherence?

Author: Tsanakas A.**Department of Economics, Universitat Jaume I.**(Seminar) Castellón, Spain (2003). Invited speaker.

Paper: Risk Capital Allocation with Distorted Probabilities

Author: Tsanakas A.**XXXIV ASTIN Colloquium.**(Conference) Berlin (2003).

Paper: Risk exchange with distorted probabilities

Author: Tsanakas A.**Seventh International Congress on Insurance: Mathematics and Economics.**(Conference) Lyon (2003).

Paper: Dynamic risk capital allocation with distortion measures

Author: Tsanakas A.**Seventh International Congress on Insurance: Mathematics and Economics.**(Conference) Lyon (2003).

Paper: Risk measures and theories of choice

Author: Tsanakas A.

Co-authors: E. Desli**Sixth International Congress on Insurance: Mathematics and Economics.**(Conference) Lisbon (2002).

Paper: The Aumann-Shapley value as a change of probability measure and links to equilibrium theory

Author: Tsanakas A.

Co-authors: C. Barnett**Proceedings of the 39th International CIGRE Conference,.**(Conference) Paris (2002).

Paper: Pollution flashover fault analysis and forecasting using neural networks

Author: Tsanakas A. D.

Co-authors: G. I. Papaefthimiou and D. P. Agoris**2002 GIRO Convention.**(Conference) Paris (2002).

Paper: Capital allocation in the Lloyd’s insurance market

Author: Tsanakas A.

Co-authors: P. Tavner**2001 GIRO/CAS Convention.**(Conference) Glasgow (2001).

Paper: Capital allocation: challenges and options

Author: Tsanakas A,

Co-authors: J. Orr**Proceedings of the Eleventh International Symposium on High Voltage Engineering.**(Conference) London (1999).

Paper: An approach to the effect of rainfall on the pollution performance of insulators in island networks

Author: Tsanakas A. D.

Co-authors: G. I. Papaefthimiou and D. P. Agoris

### Media appearances (5)

**Solvency II rules stranger than ICAS.**(2013)*Institutional Asset Manager*.**Solvency II rules straonger than ICAS.**(2013).- (2012)
*Thomson Reuters Accelus*. **Short on skills.**(2012)*TNT Magazine*(magazine).**Research findings shed light on risk-taking decisions.**(2011)*www.thompsonsnews.com*(website).