People

Dr Spyridon Vrontos

Senior Lecturer
Department of Mathematical Sciences
Dr Spyridon Vrontos

Profile

Biography

Spyridon is Senior Lecturer in Actuarial Science in the Department of Mathematical Sciences, University of Essex. He serves as Course Director for the BSc in Actuarial Science and the MSc in Actuarial Science. He is also Deputy Employability Development Director and Essex Mathematical Sciences Director of Marketing. Spyridon was the recipient of the Charles A. Hachemeister Prize of Casualty Actuarial Society and part of his research has been funded by the Hellenic Association of Insurance Companies and some of the largest Hellenic Insurance Companies. Spyridons research on Asset Liability Management in a Time Varying Volatility Environment was funded based on the Research Grant Competition from the Society of Actuaries, The Actuarial Foundation and CKER. His principal research is concerned with actuarial mathematics and actuarial modelling, design of optimal bonus malus systems, asset - liability management for pension funds, performance measurement for pension funds, hedge funds and mutual funds, predictability of financial time series, risk management and solvency and risk theory. His publications have appeared in internationally recognised academic journals such as Journal of Banking and Finance, Journal of Empirical Finance, Journal of Forecasting, Journal of Asset Management, Scandinavian Actuarial Journal, ASTIN Bulletin and Applied Stochastic Models in Business and Industry. Spyridons consulting work include Valuation and Funding of Employee Benefits based on International Accounting Standards, Funds Performance Evaluation and Funds of Funds, Valuation and Funding of Pension Funds, Ratemaking and Bonus Malus Systems. Spyridon received his BSc, MSc and PhD from Athens University of Economics and Business, Greece. He is a member of European Finance Association (EFA) and of Global Association of Risk Professionals (GARP).

Qualifications

  • Ph.D. in Statistics, Athens University of Economics and Business, (2005).

  • M.Sc. in Statistics, Athens University of Economics and Business, (1998).

  • B. Sc. in Statistics, Athens University of Economics and Business, (1996).

Research and professional activities

Research interests

Actuarial Mathematics and Actuarial Modelling

Design of Optimal Bonus &ndash Malus Systems

Asset - Liability Management for Pension Funds

Performance Measurement for Pension Funds, Hedge Funds and Mutual Funds

Predictability of Financial Time Series

Risk Management and Solvency

Risk Theory

Conferences and presentations

Performance evaluation of funds, 14th Conference on Research on Economic Theory and Econometrics (C.R.E.T.E. 2015), Chania.

01/01/2015

Performance evaluation of funds, WBS Pensions Research Network Workshop 2015, London.

01/01/2015

Performance evaluation of funds, Computational and Financial Econometrics Conference 2014, London.

01/01/2014

Out-of-sample equity premium prediction: A complete subset quantile regression approach, 31st French Finance Association Conference, Aix-en-Provence, France, 2014.

01/01/2014

Hedge fund return predictability; To combine forecasts or combine information? 1st Annual Conference of International Association for Applied Econometrics, London, UK, 2014.

01/01/2014

A Quantile Regression Approach to Equity Premium Prediction, 2014 Conference of the Financial Engineering & Banking Society (F.E.B.S), Global Trends in Financial Intermediation, Financial Markets, and Financial Modeling, Surrey, UK, 2014.

01/01/2014

Hedge fund return predictability; To combine forecasts or combine information? 13th Conference on Research on Economic Theory and Econometrics, Milos, Greece, 2014.

01/01/2014

Out-of-sample equity premium prediction: A complete subset quantile regression approach, 7th International Conference on Computational and Financial Econometrics. London, UK, 2013.

01/01/2013

Hedge Fund Predictability, 6th CSDA International Conference on Computational and Financial Econometrics. Oviedo, Spain, 2012.

01/01/2012

On a renewal risk process with dependence under a Farlie - Gumbel Morgenstern copula, 5th International Conference of Mathematical and Statistical Methods for Actuarial Sciences and Finance, Venice, Italy, 2012.

01/01/2012

Performance Evaluation of Pension Funds, 5th CSDA International Conference on Computational and Financial Econometrics, London, UK, 2011.

01/01/2011

Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment, 28th European Meeting of Statisticians, Piraeus, Greece, 2010.

01/01/2010

Asset Liability Management Using Derivatives, 6th Conference in Actuarial Science & Finance on Samos, Samos, Greece, 2010.

01/01/2010

Asset Allocation Using Derivatives, 11th Insurance: Mathematics and Economics, Piraeus, Greece, 2007.

01/01/2007

Pension Fund Management: Asset Allocation Under Long Range Dependence, 3rd Ιnternational Conference on Applied Financial Economics, Samos, Greece, 2006.

01/01/2006

On the Application of Fractional Brownian Motion in Insurance as a Modelling Tool for Long Range Dependence, 10th International Congress on Insurance: Mathematics and Economics, Leuven, Belgium, 2006.

01/01/2006

Fractional Brownian Motion and Applications in Insurance and Finance, Second Summer School in Actuarial - Financial Mathematics, Samos, Greece, 2005.

01/01/2005

Insurance control for a simple model with liabilities of the fractional Brownian motion type, 3rd Conference in Actuarial Science & Finance in Samos, Samos, Greece, 2004.

01/01/2004

Testing for Long - Range Dependence: The case of Athens Stock Exchange, HERCMA 2001, Athens, Greece, 2001.

01/01/2001

Design of an Optimal Bonus - Malus System in Automobile Insurance, HERCMA 1998, Athens, Greece, 1998.

01/01/1998

Publications

Journal articles (17)

Meligkotsidou, L., Panopoulou, E., Vrontos, I. and Vrontos, SD., Quantile Forecast Combinations in Realised Volatility Prediction. Journal of the Operational Research Society

Abdul Aziz, NS., Vrontos, S. and Hasim, HM., Evaluation of Multivariate GARCH Models in an Optimal Asset Allocation Framework. The North American Journal of Economics and Finance

Tzougas, G., Vrontos, S. and Frangos, N., (2018). Bonus-Malus Systems with Two Component Mixture Models Arising from Different Parametric Families. North American Actuarial Journal. 22 (1), 55-91

Vrontos, S., (2016). Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach. Bankers, Markets & Investors. 140

Panopoulou, E. and Vrontos, S., (2015). Hedge fund return predictability; To combine forecasts or combine information?. Journal of Banking & Finance. 56, 103-122

Tzougas, G., Vrontos, S. and Frangos, N., (2015). Risk Classification for Claim Counts and Losses Using Regression Models for Location, Scale and Shape. Variance. 9 (1), 140-157

Chadjiconstantinidis, S. and Vrontos, S., (2014). On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula. Scandinavian Actuarial Journal. 2014 (2), 125-158

Tzougas, G., Vrontos, S. and Frangos, N., (2014). Optimal Bonus-Malus Systems using Finite Mixture Models. ASTIN Bulletin. 44 (02), 417-444

Meligkotsidou, L., Panopoulou, E., Vrontos, ID. and Vrontos, SD., (2014). A Quantile Regression Approach to Equity Premium Prediction. Journal of Forecasting. 33 (7), 558-576

Tzougas, G., Vrontos, S. and Frangos, N., (2014). Optimal bonus-malus systems using finite mixture models. ASTIN Bulletin. 44 (02), 417-444

Vrontos, SD., Vrontos, ID. and Meligkotsidou, L., (2013). Asset-liability management for pension funds in a time-varying volatility environment. Journal of Asset Management. 14 (5), 306-333

Vrontos, ID., Meligkotsidou, L. and Vrontos, SD., (2011). Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility. Journal of Asset Management. 12 (4), 292-307

Meligkotsidou, L., Vrontos, ID. and Vrontos, SD., (2009). Quantile regression analysis of hedge fund strategies. Journal of Empirical Finance. 16 (2), 264-279

Vrontos, SD., Vrontos, ID. and Giamouridis, D., (2008). Hedge fund pricing and model uncertainty. Journal of Banking & Finance. 32 (5), 741-753

Frangos, NE., Vrontos, SD. and Yannacopoulos, AN., (2007). Reinsurance control in a model with liabilities of the fractional Brownian motion type. Applied Stochastic Models in Business and Industry. 23 (5), 403-428

Frangos *, NE., Vrontos, SD. and Yannacopoulos, AN., (2005). Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach. Scandinavian Actuarial Journal. 2005 (4), 285-308

Frangos, NE. and Vrontos, SD., (2001). Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance . ASTIN Bulletin. 31 (01), 1-22

Contact

svrontos@essex.ac.uk
+44 (0) 1206 874717

Location:

STEM 5.19, Colchester Campus