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Distinction
Best 2002
ASTIN paper: "Optimal Bonus - Malus systems"
Casualty Actuarial Society, USA
Publications in Scientific Journals
·
Frangos
N., Tzougas G. and Vrontos, S. (forthcoming in 2014)
The Optimal Bonus-Malus Systems Using
Finite Mixture Models
ASTIN Bulletin.
·
Tzougas,
G. and Frangos, N. (forthcoming in 2014)
The Design of an Optimal Bonus-Malus
System Based on the Sichel Distribution
collective book: "Modern Problems
in Insurance Mathematics", Springer Verlag.
·
Roumelioti
E. E., Zazanis M. A. and Frangos N. E.
(2014)
Sensitivity of the joint survival
probability for reinsurance schemes
Math. Meth. Appl. Sci., Vol. 37,
289–295.
·
Kalpinelli
E.A., Frangos N. E. and Yannacopoulos A.N. (2013)
Numerical Methods for hyperbolic
SPDEs: A Wiener Chaos Approach
Stochastic Partial Differential
Equations: Analysis and Computations, Vol. 1(4) 606-633.
·
Englezos,
N., Frangos N.E., Kartala, X.-I. and Yannacopoulos, A.N. (2013)
Stochastic Burgers PDEs with random
coefficients and a generalization of the Cole–Hopf transformation
Stochastic Processes and their Applications,
Vol. 123 (8) 3239-3272.
·
Anthropelos
M., Frangos N.E., Xanthopoulos S.Z. and Yannacopoulos A.N. (2013)
Contract pricing and utility
sharing
IMA Journal of Management Mathematics.
·
Dimitriyadis
I., Frangos N.E. and Yannacopoulos A.N. (2012)
Cultural Site Portfolios
Procedia - Social and Behavioral
Sciences Vol. 62, 942-946.
·
Baltas
I.D., Frangos N.E. and Yannacopoulos A.N. (2012)
Optimal investment and reinsurance
policies in insurance markets under the effect of inside information
Appl. Stochastic Models Bus. Ind.
Vol. 28, 506–528.
·
Anthropelos
M., Frangos N.E., Xanthopoulos S.Z.
and Yannacopoulos A.N. (2012)
On contingent claims pricing in
incomplete markets: A risk sharing approach
arXiv. org (No. 0809.4781).
·
Kalpinelli
E.A., Frangos N. E. and Yannacopoulos A.N. (2011)
A Wiener Chaos Approach to Hyperbolic
SPDEs
Stochastic Analysis and Applications
Vol. 29 (2), 237-258.
·
Yannacopoulos
A., Frangos N. E. and Karatzas I. (2011)
Wiener Chaos Solutions for Linear
Backward Stochastic Evolution Equations
SIAM J Math. Anal. Vol. 43, 68-113.
·
Pantelous
A.A., Frangos N. E. and Zimbidis A.A. (2009)
Optimal Premium Pricing for a
Heterogeneous Portfolio of Insurance Risks
Journal of Probability and Statistics Vol.
8, 67- 93.
·
Frangos
N. E., Vrontos S.D. and A. N. Yannacopoulos A.N. (2007)
Reinsurance control in a model with
liabilities of the fractional Brownian motion type
Applied Stochastic Models in Business
and Industry Vol. 23, 403-428.
·
Zimbidis
A. A, Frangos N. E and Pantelous A. A. (2007)
Modeling Earthquake Risk Via Extreme Value Theory and Pricing the
Respective Catastrophe Bonds
Astin Bulletin Vol. 37(1),
163-183.
·
Frangos N.E., Vrontos, S. , and Yannacopoulos A. (2006)
On the application of fractional Brownian
motion in insurance as a modelling tool for long range dependence
Insurance Mathematics &
Economics Vol. 39 (3).
·
Frangos
N. E, Vrontos S. and Yannacopoulos A. (2005)
Ruin Probability at a given time for a model with liabilities of
fractional Brownian Motion type: A partial differential equation approach
Scandinavian Actuarial Journal, Vol. 4, 285-308. view
pdf
·
Frangos
N. E. and Karlis D. (2004)
Modeling Loses using an Exponential Inverse Gaussian Distribution
Insurance Mathematics and Economics, Vol. 35, 53-67. view
pdf
·
Frangos
N. E. and Vrontos S. (2001)
Optimal Bonus-Malus systems in Automobile Insurance
Astin Bulletin, Vol. 31, 5-26. view
pdf
·
Dalang
R. C. and Frangos N. E. (1998)
The Stochastic Wave Equation in Two Spatial Dimensions
Annals of Probability, Vol. 26, 187-212. view
pdf
·
Frangos
N. E. and Imkeller P. (1996)
Existence and Continuity of the Quadratic Variation of strong MArtingales
Convergence in Ergodic Theory and Probability, Eds: Bergelson /March
/Rosekblatt. Walter der Gruyter pp. 179-183.
·
Frangos
N. E., Nualart D. and Sanz, M. (1992)
On the Ito Formula for two-parameter Martingales
Stochastic Partial Differential Equations and their Applications, Lecture
Notes in Control and Information, Vol. 176, 92-101.
·
Frangos
N. E. and Imkeller P. (1991)
Adaptedness and Existence of Occupation Densities for Stochastic Integral
Processes in the Second Wiener Chaos
Stochastic Analysis, 189-223, Academic Press
·
Frangos
N. E. and Imkeller P. (1988)
Some Inequalities for Strong Martingales
Annales de L' Institut Henri Poincare (B), Section Probability and
Statistics,
Vol. 24, 395-402. view pdf
·
Frangos
N. E. and Imkeller P. (1988)
The Continuity of the Quadratic Variation of two-parameter Martingales
Stochastic Processes and their Applications, Vol. 29, 267-279. view pdf
·
Frangos
N. E. and Imkeller P. (1987)
Quadratic Variation for a class of Llog, L-Bounded two-parameter
Martingales
Annals of Probability, Vol. 15, 1097-1111. view
pdf
·
Frangos
N. E. and Sucheston L. (1986)
On Multiparameter Ergodic and Martingale Theorems in Infinite Measure
Spaces
Probability Theory and Rel. Fields, Vol. 71, 477-490.
·
Frangos
N. E. (1985)
On Regularity of Banach-Valued Processes
Annals of Probability, Vol. 13, 985-990. view
pdf
·
Frangos
N. E. (1985)
On convergence of Vector-Valued Pramarts and Subramarts
Canadian J. of Mathematics, Vol. 37, 260-270.
·
Frangos
N. E. and Sucheston L. (1985)
On Convergence and Demiconvergence of Block Martingales and Submartingales
Notes in Mathematics, Vol. 1153, 198-225.
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