Author's profile

Andreas Tsanakas
Cass Business School


Senior Lecturer in Actuarial Science, Faculty of Actuarial Science and Insurance.Andreas Tsanakas joined Cass in October 2006 as a Lecturer in Actuarial Science. 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 on "Risk Sharing in Financial and Insurance Markets" at Imperial College London, with the sponsorship of Lloyd's. For his PhD he received the Tanaka Business School Principal's Award for the Most Outstanding Doctoral Thesis.

Author articles

  • Insurance groups often comprise a number of distinct legal entities, operating in different territories. Diversification across an insurance group is no trivial matter and the way it operates depends on the group's legal structure.

    In comparison to previous literature on this topic, the focus here is on deriving optimal functional forms of risk transfers. Read the full article and let us know what you think.

    14/01/2013 | 5,897
  • This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units.

    06/03/2012 | 28,269
  • Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

    10/02/2017 | 13,230
  • Convex risk measures were introduced by Deprez and Gerber (1985). Here the problem of allocating risk capital to subportfolios is addressed, when aggregate capital is calculated by a convex risk measure. The Aumann-Shapley value is proposed as an appropriate allocation mechanism. Distortion-exponential measures are discussed extensively and explicit capital allocation formulas are obtained for the case that the risk measure belongs to this family. Finally the implications of capital allocation with a convex risk measure for the stability of portfolios are discussed.

    22/09/2011 | 5,391
  • We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice that they can be derived from. More specifically, expected utility theory gives rise to the exponential premium principle, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of risk can be viewed as the source of the distortion premium principle (Denneberg (1990), Wang (1996).

    22/09/2011 | 5,416