Edit Profile (opens in new tab) Tsanakas, Andreas Co-Author Distance Author ID: tsanakas.andreas Published as: Tsanakas, Andreas; Tsanakas, A. Documents Indexed: 24 Publications since 2003 Co-Authors: 23 Co-Authors with 21 Joint Publications 498 Co-Co-Authors all top 5 Co-Authors 3 single-authored 5 Wüthrich, Mario Valentin 4 Millossovich, Pietro 3 Pesenti, Silvana M. 2 Bignozzi, Valeria 2 Landsman, Zinoviy M. 2 Richman, Ronald 2 Wang, Ruodu 1 Asimit, Alexandru V. 1 Badescu, Alexandru M. 1 Barigou, Karim 1 Barnett, Christopher 1 Beck, M. Bruce 1 Boonen, Tim J. 1 Černý, Aleš 1 Christofides, Nicos 1 Embrechts, Paul 1 Guan, Yuanying 1 Kyriakou, Ioannis 1 Lindholm, Mathias 1 Makam, Vaishno Devi 1 Merz, Michael 1 Zaks, Yaniv 1 Zhu, Rui all top 5 Serials 8 Insurance Mathematics & Economics 7 ASTIN Bulletin 2 European Actuarial Journal 1 Statistics & Probability Letters 1 European Journal of Operational Research 1 Data Mining and Knowledge Discovery 1 Scandinavian Actuarial Journal 1 SIAM Journal on Financial Mathematics 1 Statistics & Risk Modeling 1 Dependence Modeling Fields 22 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 20 Publications have been cited 257 times in 199 Documents Cited by ▼ Year ▼ To split or not to split: Capital allocation with convex risk measures. Zbl 1165.91423 Tsanakas, Andreas 50 2009 Dynamic capital allocation with distortion risk measures. Zbl 1103.91316 Tsanakas, Andreas 32 2004 Risk capital allocation and cooperative pricing of insurance liabilities. Zbl 1103.91317 Tsanakas, Andreas; Barnett, Christopher 30 2003 Optimal risk transfers in insurance groups. Zbl 1270.91028 Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 24 2013 Risk measurement in the presence of background risk. Zbl 1152.91607 Tsanakas, Andreas 22 2008 Risk exchange with distorted probabilities. Zbl 1162.91439 Tsanakas, Andreas; Christofides, Nicos 21 2006 Stochastic ordering of bivariate elliptical distributions. Zbl 1085.62059 Landsman, Zinoviy; Tsanakas, Andreas 15 2006 How superadditive can a risk measure be? Zbl 1338.91080 Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 14 2015 Market value margin via mean-variance hedging. Zbl 1282.91311 Tsanakas, Andreas; Wüthrich, Mario V.; Černý, Aleš 11 2013 Capital allocation for portfolios with non-linear risk aggregation. Zbl 1394.91191 Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. 11 2017 Risk margin for a non-life insurance run-off. Zbl 1229.91168 Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas 6 2011 Optimal capital allocation in a hierarchical corporate structure. Zbl 1304.91239 Zaks, Yaniv; Tsanakas, Andreas 6 2014 Reverse sensitivity testing: what does it take to break the model? Zbl 1406.91203 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 5 2019 Discrimination-free insurance pricing. Zbl 1484.91396 Lindholm, M.; Richman, R.; Tsanakas, A.; Wüthrich, M. V. 3 2022 Interpreting deep learning models with marginal attribution by conditioning on quantiles. Zbl 1507.68272 Merz, Michael; Richman, Ronald; Tsanakas, Andreas; Wüthrich, Mario V. 2 2022 Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018). Zbl 1417.91282 Pesenti, Silvana M.; Tsanakas, Andreas; Millossovich, Pietro 1 2018 Robustness regions for measures of risk aggregation. Zbl 1356.91106 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 Sensitivity analysis with \(\chi^2\)-divergences. Zbl 1471.91475 Makam, Vaishno Devi; Millossovich, Pietro; Tsanakas, Andreas 1 2021 Insurance valuation: A two-step generalised regression approach. Zbl 1484.91371 Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas 1 2022 Parameter uncertainty in exponential family tail estimation. Zbl 1277.91087 Landsman, Z.; Tsanakas, A. 1 2012 Discrimination-free insurance pricing. Zbl 1484.91396 Lindholm, M.; Richman, R.; Tsanakas, A.; Wüthrich, M. V. 3 2022 Interpreting deep learning models with marginal attribution by conditioning on quantiles. Zbl 1507.68272 Merz, Michael; Richman, Ronald; Tsanakas, Andreas; Wüthrich, Mario V. 2 2022 Insurance valuation: A two-step generalised regression approach. Zbl 1484.91371 Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas 1 2022 Sensitivity analysis with \(\chi^2\)-divergences. Zbl 1471.91475 Makam, Vaishno Devi; Millossovich, Pietro; Tsanakas, Andreas 1 2021 Reverse sensitivity testing: what does it take to break the model? Zbl 1406.91203 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 5 2019 Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018). Zbl 1417.91282 Pesenti, Silvana M.; Tsanakas, Andreas; Millossovich, Pietro 1 2018 Capital allocation for portfolios with non-linear risk aggregation. Zbl 1394.91191 Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. 11 2017 Robustness regions for measures of risk aggregation. Zbl 1356.91106 Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 How superadditive can a risk measure be? Zbl 1338.91080 Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 14 2015 Optimal capital allocation in a hierarchical corporate structure. Zbl 1304.91239 Zaks, Yaniv; Tsanakas, Andreas 6 2014 Optimal risk transfers in insurance groups. Zbl 1270.91028 Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 24 2013 Market value margin via mean-variance hedging. Zbl 1282.91311 Tsanakas, Andreas; Wüthrich, Mario V.; Černý, Aleš 11 2013 Parameter uncertainty in exponential family tail estimation. Zbl 1277.91087 Landsman, Z.; Tsanakas, A. 1 2012 Risk margin for a non-life insurance run-off. Zbl 1229.91168 Wüthrich, Mario V.; Embrechts, Paul; Tsanakas, Andreas 6 2011 To split or not to split: Capital allocation with convex risk measures. Zbl 1165.91423 Tsanakas, Andreas 50 2009 Risk measurement in the presence of background risk. Zbl 1152.91607 Tsanakas, Andreas 22 2008 Risk exchange with distorted probabilities. Zbl 1162.91439 Tsanakas, Andreas; Christofides, Nicos 21 2006 Stochastic ordering of bivariate elliptical distributions. Zbl 1085.62059 Landsman, Zinoviy; Tsanakas, Andreas 15 2006 Dynamic capital allocation with distortion risk measures. Zbl 1103.91316 Tsanakas, Andreas 32 2004 Risk capital allocation and cooperative pricing of insurance liabilities. Zbl 1103.91317 Tsanakas, Andreas; Barnett, Christopher 30 2003 all cited Publications top 5 cited Publications all top 5 Cited by 302 Authors 14 Boonen, Tim J. 12 Tsanakas, Andreas 12 Wang, Ruodu 9 Furman, Edward 7 Asimit, Alexandru V. 6 Dhaene, Jan 6 Wüthrich, Mario Valentin 6 Zitikis, Ričardas 5 Cai, Jun 5 Cheung, Ka Chun 5 Li, Xiaohu 5 Liu, Haiyan 5 Pesenti, Silvana M. 4 Amiri, Mehdi 4 Chi, Yichun 4 Hu, Taizhong 4 Lindskog, Filip 4 Liu, Fangda 4 Mao, Tiantian 4 You, Yinping 3 Balakrishnan, Narayanaswamy 3 Barigou, Karim 3 Bignozzi, Valeria 3 Centrone, Francesca 3 Chen, Ze 3 Choo, Weihao 3 de Jong, Piet 3 Embrechts, Paul 3 Engsner, Hampus 3 Guillen, Montserrat 3 Hu, Yijun 3 Kim, Eunseok 3 Kim, Joseph Hyun Tae 3 Richman, Ronald 3 Rosazza Gianin, Emanuela 3 Su, Jianxi 3 Tan, Ken Seng 3 Yin, Chuancun 2 Albrecher, Hansjörg 2 Badescu, Alexandru M. 2 Bauer, Daniel J. 2 Canna, Gabriele 2 Chen, Bingzheng 2 Chong, Wing Fung 2 De Waegenaere, Anja 2 Ghossoub, Mario 2 Hougaard, Jens Leth 2 Hu, Junlei 2 Huang, Xiaoxia 2 Jamalizadeh, Ahad 2 Jiang, Wenjun 2 Kałuszka, Marek 2 Kamiya, Shinichi 2 Laeven, Roger J. A. 2 Landsman, Zinoviy M. 2 Linders, Daniël 2 Lindholm, Mathias 2 Loisel, Stéphane 2 Millossovich, Pietro 2 Norde, Henk 2 Pan, Xiaoqing 2 Pantelous, Athanasios A. 2 Rabitti, Giovanni 2 Rüschendorf, Ludger 2 Santolino, Miguel 2 Schumacher, Johannes M. 2 Smilgins, Aleksandrs 2 Vanduffel, Steven 2 Vernic, Raluca 2 Weber, Stefan 2 Wei, Linhai 2 Wei, Linxiao 2 Wei, Yunran 2 Weng, Chengguo 2 Wu, Renchao 2 Xing, Guodong 2 Xu, Maochao 2 Yam, Sheung Chi Phillip 2 Zaks, Yaniv 2 Zanjani, George 2 Zhang, Yiying 2 Zhuang, Shengchao 1 Alon, Tzvi 1 Amarante, Massimiliano 1 Ansari, Jonathan 1 Araujo, Aloisio P. 1 Asamov, Tsvetan 1 Bai, Manying 1 Banerjee, Tathagata 1 Bäuerle, Nicole 1 Belles-Sampera, Jaume 1 Bellini, Fabio 1 Benita, Francisco 1 Biagini, Francesca 1 Bielecki, Tomasz R. 1 Bogetoft, Peter 1 Borgonovo, Emanuele 1 Burren, Daniel 1 Cai, Jun 1 Cesarone, Francesco ...and 202 more Authors all top 5 Cited in 47 Serials 71 Insurance Mathematics & Economics 17 ASTIN Bulletin 10 European Journal of Operational Research 8 Scandinavian Actuarial Journal 8 North American Actuarial Journal 6 European Actuarial Journal 5 Communications in Statistics. Theory and Methods 5 Statistics & Risk Modeling 4 Journal of Computational and Applied Mathematics 4 Journal of Multivariate Analysis 4 Annals of Operations Research 4 Finance and Stochastics 4 Quantitative Finance 3 Mathematics of Operations Research 3 Methodology and Computing in Applied Probability 3 Journal of Industrial and Management Optimization 2 Applied Mathematics and Computation 2 Journal of Applied Probability 2 Journal of Mathematical Economics 2 Operations Research 2 Statistics & Probability Letters 2 Operations Research Letters 2 Economic Theory 2 Mathematics and Financial Economics 2 Communications in Mathematics and Statistics 1 Advances in Applied Probability 1 Journal of Statistical Planning and Inference 1 Statistics 1 Chinese Journal of Applied Probability and Statistics 1 Computers & Operations Research 1 Communications in Statistics. Simulation and Computation 1 Mathematical Programming. Series A. Series B 1 Mathematical Finance 1 Abstract and Applied Analysis 1 Mathematical Methods of Operations Research 1 Data Mining and Knowledge Discovery 1 CEJOR. Central European Journal of Operations Research 1 Probability in the Engineering and Informational Sciences 1 International Game Theory Review 1 Decisions in Economics and Finance 1 Statistical Methods and Applications 1 Advances in Data Analysis and Classification. ADAC 1 SIAM Journal on Financial Mathematics 1 Annals of Finance 1 Dependence Modeling 1 Journal of Statistical Distributions and Applications 1 Statistical Theory and Related Fields all top 5 Cited in 14 Fields 176 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 59 Statistics (62-XX) 36 Probability theory and stochastic processes (60-XX) 16 Operations research, mathematical programming (90-XX) 4 Computer science (68-XX) 2 Functional analysis (46-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Integral transforms, operational calculus (44-XX) 1 Convex and discrete geometry (52-XX) 1 Systems theory; control (93-XX) Citations by Year