Spyridon D. Vrontos

Lecturer in the Department of Statistics and Insurance Science of University of Piraeus

Published Papers

  1. N. E. Frangos and S. D. Vrontos. (2001). Design of Optimal Bonus-Malus System with a Frequency and a Severity Component on an Individual Basis in Automobile Insurance, ASTIN  Bulletin,Vol.31,No.1,2001,pp.5-26. 
                                                                               
  2. N. E. Frangos, S. D. Vrontos and A. N. Yannacopoulos. (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, 4, 285-308. 
                                                                      
  3. N. E. Frangos, S. D. Vrontos and A. N. Yannacopoulos.(2007). Reinsurance Control in a Model with Liabilities of the Fractional Brownian Motion Type. Applied Stochastic Models in Business and Industry, 5, 403-428.
                                                                      
  4. Vrontos S.D.,  Vrontos I.D. and Giamouridis D. (2008). Hedge fund pricing and model uncertainty, Journal of Banking and Finance, 32, 741-753.
                                                                      
  5. Meligkotsidou L., Vrontos I.D. and Vrontos S.D. (2009). Quantile Regression Analysis of Hedge Fund Strategies. Journal of Empirical Finance, 16, 264-279.        
                                                                                                                                          
  6. Vrontos I.D., Meligkotsidou L. and Vrontos S.D., (2011). Performance Evaluation of Mutual Fund Investments: The impact of Non-Normality and Time-Varying Volatility, Journal of Asset Management, 12, 292-307.                                       
                                                                                                            
  7. S. Chadjiconstantinidis and S. D. Vrontos (2012). On a renewal risk process with dependence under a Farlie - Gumbel - Morgenstern copula , Scandinavian Actuarial Journal, (forthcoming). 

Funded Research Projects

  1.  2008 Grant Competition, Society Of Actuaries, The Actuarial Foundation, CKER. Vrontos S.D., Vrontos I.D. and Meligkotsidou L. Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment.