Andreas Tsanakas

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

• 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

Book

Jarzabkowski, P., Bednarek, R. and Spee, A.P. (2015). Making a Market for Acts of God: The Practice of Risk Trading in the Global Reinsurance Industry. Oxford: Oxford University Press. ISBN 978-0-19-966476-4.

Chapters (2)

• Tsanakas, A. and Cabantous, L. (2017). Beyond ‘model risk’: a practice perspective on modelling in insurance. In Michel, G. (Ed.), Risk Modeling for Hazards and Disasters (pp. 299–305). Amsterdam: Elsevier. ISBN 978-0-12-804093-5.
• 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.

Journal Articles (32)

• 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., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. and Ye, I. (2016). Model risk – daring to open up the black box. British Actuarial Journal, 21(02), 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.
• 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) .
• 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.
• Tsanakas, A., Beck, M.B. and Thompson, M. (2016). Taming Uncertainty: The limits to Quantification. ASTIN Bulletin, 46(01), pp. 1–7. doi:10.1017/asb.2015.29.
• 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. and Millossovich, P. (2015). Sensitivity Analysis Using Risk Measures. Risk Analysis . doi:10.1111/risa.12434.
• 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.
• 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. (2006). Risk aggregation and subjective tail dependence. INSURANCE MATHEMATICS & ECONOMICS, 39(3), pp. 408–408.
• 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.
• 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. IEE Conference Publication, (CP 508), pp. 183–187.
• 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.
• Dhaene, J., Tsanakas, A., Emiliano, V. and Vanduffel, S. (2005). Optimal capital allocation principles. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 389–389.
• 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 Barnett, C. (2003). Dynamic capital allocation with distortion risk measures. 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(04), pp. 959–991. doi:10.1017/S1357321700004414.
• Black, R., Tsanakas, A., Smith, A.D., Beck, M.B., Maclugash, I.D., Grewal, J., Witts, L., Morjaria, N., Green, R.J. and Lim, Z. Model risk: illuminating the black box. British Actuarial Journal pp. 1–58. doi:10.1017/S1357321717000150.

Editorial Activities (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.