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Sensitivity Analysis Using Risk Measures

Risk analysis, 2016-01, Vol.36 (1), p.30-48

2016

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A theory of multivariate stress testing

European journal of operational research, 2024-11, Vol.318 (3), p.851-866

2024

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

Insurance, mathematics & economics, 2009-04, Vol.44 (2), p.268-277

Tsanakas, Andreas

2009

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Robustness regions for measures of risk aggregation

Dependence modeling, 2016-12, Vol.4 (1)

2016

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SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION

ASTIN Bulletin : The Journal of the IAA, 2022-09, Vol.52 (3), p.707-734

2022

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Efficient evaluation of alternative reinsurance strategies using control variates

European actuarial journal, 2022-06, Vol.12 (1), p.425-431

2022

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Cascade Sensitivity Measures

Risk analysis, 2021-12, Vol.41 (12), p.2392-2414

2021

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Sensitivity analysis with χ2-divergences

Insurance, mathematics & economics, 2021-09, Vol.100, p.372-383

2021

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Reverse sensitivity testing: What does it take to break the model?

European journal of operational research, 2019-04, Vol.274 (2), p.654-670

2019

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Catastrophe Modeling and Metaphors in Financial Markets: A Reply to Etzion, Kypraios, and Forgues

Academy of Management discoveries, 2020-12, Vol.6 (4), p.717-720

2020

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INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH

ASTIN Bulletin : The Journal of the IAA, 2022-01, Vol.52 (1), p.211-245

2022

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An impossibility theorem on capital allocation

Scandinavian actuarial journal, 2023-03, Vol.2023 (3), p.290-302

2023

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Optimal capital allocation in a hierarchical corporate structure

Insurance, mathematics & economics, 2014-05, Vol.56, p.48-55

2014

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DISCRIMINATION-FREE INSURANCE PRICING

ASTIN Bulletin : The Journal of the IAA, 2022-01, Vol.52 (1), p.55-89

2022

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Interpreting deep learning models with marginal attribution by conditioning on quantiles

Data mining and knowledge discovery, 2022-07, Vol.36 (4), p.1335-1370

2022

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Editorial

Annals of actuarial science, 2021-07, Vol.15 (2), p.205-206

2021

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Editorial

Annals of actuarial science, 2021-07, Vol.15 (2), p.205-206

2021

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Editorial

Annals of actuarial science, 2021-07, Vol.15 (2), p.205-206

2021

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A multi-task network approach for calculating discrimination-free insurance prices

European actuarial journal, 2024-08, Vol.14 (2), p.329-369

2024

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What is fair? Proxy discrimination vs. demographic disparities in insurance pricing

Scandinavian actuarial journal, 2024-06, p.1-36

2024

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Risk measurement in the presence of background risk

Insurance, mathematics & economics, 2008-04, Vol.42 (2), p.520-528

Tsanakas, Andreas

2008

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Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)

Insurance, mathematics & economics, 2018-11, Vol.83, p.29-31

2018

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How Superadditive Can a Risk Measure Be?

SIAM journal on financial mathematics, 2015-01, Vol.6 (1), p.776-803

2015

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Dynamic capital allocation with distortion risk measures

Insurance, mathematics & economics, 2004-10, Vol.35 (2), p.223-243

Tsanakas, Andreas

2004

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Capital allocation for portfolios with non-linear risk aggregation

Insurance, mathematics & economics, 2017-01, Vol.72, p.95-106

2017

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Sensitivity Analysis Using Risk Measures

A theory of multivariate stress testing

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

Robustness regions for measures of risk aggregation

SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION

Efficient evaluation of alternative reinsurance strategies using control variates

Cascade Sensitivity Measures

Sensitivity analysis with χ2-divergences

Reverse sensitivity testing: What does it take to break the model?

Catastrophe Modeling and Metaphors in Financial Markets: A Reply to Etzion, Kypraios, and Forgues

INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH

An impossibility theorem on capital allocation

Optimal capital allocation in a hierarchical corporate structure

DISCRIMINATION-FREE INSURANCE PRICING

Interpreting deep learning models with marginal attribution by conditioning on quantiles

Editorial

Editorial

Editorial

A multi-task network approach for calculating discrimination-free insurance prices

What is fair? Proxy discrimination vs. demographic disparities in insurance pricing

Risk measurement in the presence of background risk

Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)

How Superadditive Can a Risk Measure Be?

Dynamic capital allocation with distortion risk measures

Capital allocation for portfolios with non-linear risk aggregation

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