Ken Seng Tan

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Chengguo WengUniversity of WaterlooVerified email at uwaterloo.ca
Johnny LiThe Chinese University of Hong KongVerified email at cuhk.edu.hk
Wenjun ZhuNanyang Business School, Nanyang Technological UniversityVerified email at ntu.edu.sg
Shengchao ZhuangUniversity of Nebraska LincolnVerified email at unl.edu
Adam KolkiewiczUniversity of WaterlooVerified email at uwaterloo.ca
Yichun ChiCentral University of Finance and EconomicsVerified email at cufe.edu.cn
Rui ZhouUniversity of MelbourneVerified email at unimelb.edu.au
Mary HardyUniversity of WaterlooVerified email at uwaterloo.ca
Jun CaiProfessor of Actuarial Science, University of Waterloo, CanadaVerified email at uwaterloo.ca
Tim J. BoonenUniversity of Hong KongVerified email at hku.hk
X. Sheldon LinUniversity of TorontoVerified email at utstat.utoronto.ca
Hailiang YangThe University of Hong KongVerified email at hku.hk
Hans-Ulrich GerberDepartment of Actuarial Science, Faculty of Business and Economics (HEC), University of LausanneVerified email at unil.ch
Tony S. WirjantoDepartment of Statistics & Actuarial Science, University of WaterlooVerified email at uwaterloo.ca
Z.F. Li (李仲飞)Professor, Sun Yat-sen Business School, Sun Yat-sen UniveristyVerified email at mail.sysu.edu.cn
Hirbod AssaEssex school of mathematics, statistics and actuarial sciencesVerified email at essex.ac.uk
Richard D MacMinnSenior Research Fellow, NCCU and The University of TexasVerified email at macminn.org
Daniel DufresneFreelance Consultant and ResearcherVerified email at ozdaniel.com

Ken Seng Tan

Nanyang Technological University

Verified email at ntu.edu.sg - Homepage

Quasi-Monte Carlo method Quantitative risk management Optimal reinsurance Longevity risk Agricultural insurance


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Quasi-Monte Carlo methods in numerical finance C Joy, PP Boyle, KS Tan Management science 42 (6), 926-938, 1996	433	1996
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures J Cai, KS Tan ASTIN Bulletin: The Journal of the IAA 37 (1), 93-112, 2007	331	2007
Financial Economics: With Applications to Investments, Insurance, and Pensions HH Panjer, D Dufresne, HU Gerber, HH Mueller, HW Pedersen, SR Pliska, ... Actuarial Foundation, 1998	329	1998
Optimal reinsurance under VaR and CTE risk measures J Cai, KS Tan, C Weng, Y Zhang Insurance: mathematics and Economics 43 (1), 185-196, 2008	312	2008
Optimal reinsurance under VaR and CVaR risk measures: a simplified approach Y Chi, KS Tan ASTIN Bulletin: The Journal of the IAA 41 (2), 487-509, 2011	180	2011
Uncertainty in mortality forecasting: an extension to the classical Lee-Carter approach JSH Li, MR Hardy, KS Tan ASTIN Bulletin: The Journal of the IAA 39 (1), 137-164, 2009	157	2009
Valuation of equity-indexed annuities under stochastic interest rates X Sheldon Lin, KS Tan North American Actuarial Journal 7 (4), 72-91, 2003	122	2003
Optimal reinsurance with general premium principles Y Chi, KS Tan Insurance: Mathematics and Economics 52 (2), 180-189, 2013	117	2013
On Pricing and Hedging the No‐Negative‐Equity Guarantee in Equity Release Mechanisms J Siu‐Hang Li, MR Hardy, KS Tan Journal of Risk and Insurance 77 (2), 499-522, 2010	112	2010
Marginal indemnification function formulation for optimal reinsurance SC Zhuang, C Weng, KS Tan, H Assa Insurance: Mathematics and Economics 67, 65-76, 2016	101	2016
A general dimension reduction technique for derivative pricing J Imai, KS Tan Journal of Computational Finance 10 (2), 129, 2006	100	2006
Optimality of general reinsurance contracts under CTE risk measure KS Tan, C Weng, Y Zhang Insurance: Mathematics and Economics 49 (2), 175-187, 2011	88	2011
Pricing annuity guarantees under a regime-switching model XS Lin, KS Tan, H Yang North American Actuarial Journal 13 (3), 316-332, 2009	86	2009
Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects R Zhou, JSH Li, KS Tan Journal of Risk and Insurance 80 (3), 733-774, 2013	83	2013
Applications of randomized low discrepancy sequences to the valuation of complex securities KS Tan, PP Boyle Journal of Economic Dynamics and Control 24 (11-12), 1747-1782, 2000	80	2000
Modeling period effects in multi-population mortality models: Applications to Solvency II R Zhou, Y Wang, K Kaufhold, JSH Li, KS Tan North American Actuarial Journal 18 (1), 150-167, 2014	79	2014
VaR and CTE criteria for optimal quota-share and stop-loss reinsurance KS Tan, C Weng, Y Zhang North American Actuarial Journal 13 (4), 459-482, 2009	74	2009
Pricing and hedging with discontinuous functions: Quasi–Monte Carlo methods and dimension reduction X Wang, KS Tan Management Science 59 (2), 376-389, 2013	52	2013
Pricing Bermudan options using low-discrepancy mesh methods PP Boyle, AW Kolkiewicz, KS Tan Quantitative Finance 13 (6), 841-860, 2013	47*	2013
Sustainable portfolio management under climate change M Fang, KS Tan, TS Wirjanto Journal of Sustainable Finance & Investment 9 (1), 45-67, 2019	41	2019

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