Portrait of Professor Andreas Tsanakas

Professor Andreas Tsanakas

Professor of Risk Management

Bayes Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Andreas Tsanakas

Room BR5093, Bunhill Row

Postal address

Bayes 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 risk measurement, sensitivity analysis, capital allocation and model uncertainty. He is Editor-in-Chief 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

  • 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

  • International Actuarial Association (IAA) (2023) Bob Alting von Geusau Prize
    Awarded for the paper: Tsanakas, A., & Zhu, R. (2022). Selecting bivariate copula models using image recognition. ASTIN Bulletin, 52(3), 707-734.
    This is the highest academic distinction of the IAA's AFIR-ERM Section.
  • American Risk and Insurance Association (2022) Robert I. Mehr Award
    Awarded for the paper: Dhaene, J., Tsanakas, A., Valdez, E. A., & Vanduffel, S. (2012). Optimal capital allocation principles. Journal of Risk and Insurance, 79(1), 1-28.

    The Robert I. Mehr Award is presented by the American Risk and Insurance Association each year for the paper published in the JRI ten years ago that has best stood the test of time.
  • 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.
  • The American Risk and Insurance Association (2017) Casualty Actuarial Society Honorable Mention
    Awarded for paper: Bignozzi, V., & Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), 949-978.
  • 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".
  • Imperial College London (2005) Principal’s Award for the Most Outstanding Doctoral Thesis

Languages

German and Greek, Modern (1453-).

Expertise

Primary topics

  • Actuarial Science
  • Insurance
  • Risk Modelling

Industries

  • insurance

Research students

1st 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

  1. Millossovich, P., Tsanakas, A. and 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.

    [publisher’s website]

  2. Lindholm, M., Richman, R., Tsanakas, A. and 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.

    [publisher’s website]

  3. Lindholm, M., Richman, R., Tsanakas, A. and Wüthrich, M.V. (2023). A multi-task network approach for calculating discrimination-free insurance prices. European Actuarial Journal. doi:10.1007/s13385-023-00367-z.
  4. Guan, Y., Tsanakas, A. and Wang, R. (2023). An impossibility theorem on capital allocation. Scandinavian Actuarial Journal, 2023(3), pp. 290–302. doi:10.1080/03461238.2022.2094718.

    [publisher’s website]

  5. Lindholm, M., Richman, R., Tsanakas, A. and Wüthrich, M.V. (2024). Sensitivity-based measures of discrimination in insurance pricing.
  6. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2023). Differential Sensitivity in Discontinuous Models.

Chapters (2)

  1. Tsanakas, A. and Cabantous, L. (2018). Beyond “Model Risk”. Risk Modeling for Hazards and Disasters (pp. 299–305). Elsevier. 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. doi:10.1049/cp:20050035
  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 (42)

  1. Fahrenwaldt, M., Furrer, C., Hiabu, M.E., Huang, F., Jørgensen, F.H., Lindholm, M. … Tsanakas, A. (2024). Fairness: plurality, causality, and insurability. European Actuarial Journal. doi:10.1007/s13385-024-00387-3.
  2. Tsanakas, A. and Zhu, R. (2022). SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION. ASTIN Bulletin, 52(3), pp. 707–734. doi:10.1017/asb.2022.12.

    [publisher’s website]

  3. Merz, M., Richman, R., Tsanakas, A. and Wüthrich, M.V. (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.

    [publisher’s website]

  4. Kyriakou, I. and Tsanakas, A. (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.

    [publisher’s website]

  5. Barigou, K., Bignozzi, V. and Tsanakas, A. (2022). INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH. ASTIN Bulletin, 52(1), pp. 211–245. doi:10.1017/asb.2021.31.

    [publisher’s website]

  6. Lindholm, M., Richman, R., Tsanakas, A. and Wüthrich, M.V. (2022). DISCRIMINATION-FREE INSURANCE PRICING. ASTIN Bulletin, 52(1), pp. 55–89. doi:10.1017/asb.2021.23.

    [publisher’s website]

  7. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2021). Cascade Sensitivity Measures. Risk Analysis, 41(12), pp. 2392–2414. doi:10.1111/risa.13758.

    [publisher’s website]

  8. Makam, V.D., Millossovich, P. and Tsanakas, A. (2021). Sensitivity analysis with χ2-divergences. Insurance: Mathematics and Economics, 100, pp. 372–383. doi:10.1016/j.insmatheco.2021.06.007.

    [publisher’s website]

  9. Pesenti, S.M., Bettini, A., Millossovich, P. and Tsanakas, A. (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.

    [publisher’s website]

  10. 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.
  11. Tsanakas, A. and Cabantous, L. (2018). A foot in the door. The Actuary, (December 2018).

    [publisher’s website]

  12. 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.
  13. 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.
  14. 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.

    [publisher’s website]

  15. Pesenti, S.M., Millossovich, P. and Tsanakas, A. (2016). Robustness regions for measures of risk
    aggregation.     Dependence Modeling, 4(1). doi:10.1515/demo-2016-0020.

    [publisher’s website]

  16. 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.

    [publisher’s website]

  17. 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.

    [publisher’s website]

  18. 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.
  19. Tsanakas, A. and Danielsson, J. (2016). Everybody right, everybody wrong: Plural rationalities in macroprudential regulation. VoxEU.

    [publisher’s website]

  20. Bignozzi, V. and Tsanakas, A. (2016). Model uncertainty in risk capital measurement. The Journal of Risk, 18(3), pp. 1–24. doi:10.21314/j0r.2016.326.

    [publisher’s website]

  21. Tsanakas, A. and Millossovich, P. (2016). Sensitivity Analysis Using Risk Measures. Risk Analysis, 36(1), pp. 30–48. doi:10.1111/risa.12434.

    [publisher’s website]

  22. 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.

    [publisher’s website]

  23. 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.

    [publisher’s website]

  24. 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]

  25. Zaks, Y. and Tsanakas, A. (2014). Optimal capital allocation in a hierarchical corporate structure. Insurance: Mathematics and Economics, 56, pp. 48–55. doi:10.1016/j.insmatheco.2014.02.009.

    [publisher’s website]

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

    [publisher’s website]

  27. 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.
  28. Asimit, V., Badescu, A. and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159–190.
  29. Tsanakas, A. (2012). Modelling: The elephant in the room. The Actuary, 2012(September).
  30. 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.
  31. Tsanakas, A. (2012). The Elephant in the Room: Model Error and Solvency Regulation. .
  32. 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.
  33. 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.

    [publisher’s website]

  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.

    [publisher’s website]

  40. 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.
  41. 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.
  42. Tsanakas, A. and Desli, E. (2003). Risk Measures and Theories of Choice. British Actuarial Journal, 9(4), pp. 959–991. doi:10.1017/s1357321700004414.

    [publisher’s website]

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 (3)

  1. Fang, L., Lanzolla, G. and Tsanakas, A. (2024). Shared exposures or management fashions? Drivers of cross-industry convergence of textual risk disclosures.
  2. 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.
  3. Tsanakas, A. and Cabantous, L. The Model Ajar: Building Rationality Infrastructures within Insurance Organizations.