ΝΙΚΟΣ Ε. ΦΡΑΓΚΟΣ

Καθηγητής στο Τμήμα Στατιστικής του Οικονομικού Πανεπιστημίου Αθηνών

 

ΣΤΟΙΧΕΙΑ
ΕΠΙΚΟΙΝΩΝΙΑΣ

ΣΠΟΥΔΕΣ

ΑΚΑΔΗΜΑΪΚΗ
ΕΜΠΕΙΡΙΑ

ΕΡΕΥΝΗΤΙΚΑ
ΕΝΔΙΑΦΕΡΟΝΤΑ

Δημοσιεύσεις

ΜΕΛΕΤΕΣ -
EΡΓΑ ΣΥΜΒΟΥΛΟΥ

Διδασκαλια

 

Διάκριση

·         Καλύτερο "2002 - Ερευνητικό άρθρο"
Τίτλος: Optimal Bonus - Malus systems, από την Casualty Actuarial Society, USA

 

Δημοσιεύσεις σε Επιστημονικά Περιοδικά

 

·         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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