10 citations · 22 across the 10 of their papers we have counts for
11 papers
A tail-shape actuarial index based on equal level relationships between Value at Risk and Expected Shortfall
Georgios I. Papayiannis, Georgios Psarrakos
We introduce a new actuarial tail-shape index, the -index, based on a probability equal level relationship between Value at Risk and Expected Shortfall. The index is defined at…
Barycentric model aggregation in the Wasserstein space of distributions and a variational approach to consistency
Emmanouil Androulakis, Georgios I. Papayiannis, Athanasios N. Yannacopoulos
We study the problem of model aggregation within the Wasserstein space for probability measures on the real line. Given a fixed finite collection of candidate probability models, w…
Probabilistic Scenario-Based Assessment of National Food Security Risks with Application to Egypt and Ethiopia
Phoebe Koundouri, Georgios I. Papayiannis, Achilleas Vassilopoulos +1
This study presents a novel approach to assessing food security risks at the national level, employing a probabilistic scenario-based framework that integrates both Shared Socioeco…
Consensus group decision making under model uncertainty with a view towards environmental policy making
Phoebe Koundouri, Georgios I. Papayiannis, Electra V. Petracou +1
In this paper we propose a consensus group decision making scheme under model uncertainty consisting of an iterative two-stage procedure and based on the concept of Fréchet barycen…
A Framework for Treating Model Uncertainty in the Asset Liability Management Problem
Georgios I. Papayiannis
The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Severa…
An optimal control problem with state constraints in a spatio-temporal economic growth model on networks
Alessandro Calvia, Fausto Gozzi, Marta Leocata +3
We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal co…