Edit Profile Tan, Ken Seng Compute Distance To: Compute Author ID: tan.ken-seng Published as: Tan, K. S.; Tan, Ken Seng External Links: MGP Documents Indexed: 55 Publications since 1996, including 1 Book all top 5 Co-Authors 1 single-authored 12 Weng, Chengguo 9 Boyle, Phelim P. 6 Kolkiewicz, Adam W. 6 Porth, Lysa 6 Zhu, Wenjun 6 Zhuang, Sheng Chao 5 Chi, Yichun 5 Imai, Junichi 4 Zhang, Yi 3 Boonen, Tim J. 3 Li, Zhongfei 2 Boyd, Milton S. 2 Cai, Jun 2 Cong, Jianfa 2 Li, Johnny Siu-Hang 2 Lin, X. Sheldon 2 Ng, Kai Wang 2 Yang, Hailiang 1 Assa, Hirbod 1 Chen, Xinxiang 1 Forsyth, Peter A. 1 Han, Dezhao 1 Hardy, Mary R. 1 Joy, Corwin 1 Kaufhold, Kai 1 Lai, Yongzeng 1 Li, Hong 1 Lin, Yijia 1 Liu, Kai 1 Porth, Brock 1 Porth, C. Brock 1 Tian, Ruilin 1 Tian, Weidong 1 Vetzal, Ken R. 1 Wang, Chou-Wen 1 Wang, Shuo 1 Wang, Xiaoqun 1 Wang, Yujiao 1 Wei, Pengyu 1 Wei, Wei 1 Wirjanto, Tony S. 1 Xu, Yunhui 1 Xu, Zuoquan 1 Yu, Jifeng 1 Zhang, Jinggong 1 Zhang, Jingong 1 Zhou, Rui all top 5 Serials 14 North American Actuarial Journal 10 Insurance Mathematics & Economics 8 ASTIN Bulletin 2 SIAM Journal on Scientific Computing 2 Scandinavian Actuarial Journal 1 Management Science 1 Mathematics and Computers in Simulation 1 Journal of Complexity 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Communications in Statistics. Theory and Methods 1 European Journal of Operational Research 1 Applied Mathematical Finance 1 International Journal of Theoretical and Applied Finance 1 Methodology and Computing in Applied Probability 1 Quantitative Finance 1 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms 1 Journal of Systems Science and Complexity 1 The Journal of Computational Finance 1 IAENG. International Journal of Applied Mathematics all top 5 Fields 51 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 16 Statistics (62-XX) 9 Numerical analysis (65-XX) 7 Probability theory and stochastic processes (60-XX) 3 General and overarching topics; collections (00-XX) 3 Operations research, mathematical programming (90-XX) 2 Geophysics (86-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 42 Publications have been cited 580 times in 332 Documents Cited by ▼ Year ▼ Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 87 2008 Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402Cai, Jun; Tan, Ken Seng 86 2007 Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078Chi, Yichun; Tan, Ken Seng 53 2011 Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng 44 1996 Optimal reinsurance with general premium principles. Zbl 1284.91216Chi, Yichun; Tan, Ken Seng 34 2013 Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 32 2011 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 30 2003 Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod 29 2016 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 28 2009 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 15 2009 Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 11 2016 Minimizing effective dimension using linear transformation. Zbl 1043.65003Imai, Junichi; Tan, Ken Seng 10 2004 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 10 2001 The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 9 2016 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 8 2014 Pricing options using lattice rules. Zbl 1141.91419Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng 8 2005 Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059Tan, K. S.; Boyle, P. P. 8 2000 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 7 2014 How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? Zbl 1236.91145Wang, Xiaoqun; Tan, Ken Seng 7 2012 An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207Imai, Junichi; Tan, Ken Seng 7 2009 Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003Imai, Junichi; Tan, Ken Seng 6 2014 Optimal VaR-based risk management with reinsurance. Zbl 1341.91089Cong, Jianfa; Tan, Ken Seng 5 2016 Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138Tan, Ken Seng (ed.) 5 2015 Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng 5 2014 Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341Imai, Junichi; Tan, Ken Seng 5 2009 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2013 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 Optimal insurance in the presence of reinsurance. Zbl 1402.91221Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan 3 2017 VaR-based optimal partial hedging. Zbl 1281.91142Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo 3 2013 Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 2 2013 A note on power-law scaling in a Taylor-Couette flow. Zbl 1186.76325Lim, T. T.; Tan, K. S. 2 2003 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 2 2002 Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong 2 2001 Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. Zbl 1431.91344Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao 1 2020 Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen 1 2018 Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 1 2017 Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo 1 2017 Optimal investment with noise trading risk. Zbl 1175.91166Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng 1 2008 Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567Boyle, Phelim; Imai, Junichi; Tan, Ken Seng 1 2008 Effects of noncircular collars on an axisymmetric jet. Zbl 1182.76558New, T. H.; Tan, K. S.; Tsai, H. M. 1 2007 Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2006 A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2005 Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. Zbl 1431.91344Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao 1 2020 Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen 1 2018 Optimal insurance in the presence of reinsurance. Zbl 1402.91221Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan 3 2017 Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 1 2017 Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo 1 2017 Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod 29 2016 Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 11 2016 The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 9 2016 Optimal VaR-based risk management with reinsurance. Zbl 1341.91089Cong, Jianfa; Tan, Ken Seng 5 2016 Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138Tan, Ken Seng (ed.) 5 2015 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 8 2014 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 7 2014 Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003Imai, Junichi; Tan, Ken Seng 6 2014 Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng 5 2014 Optimal reinsurance with general premium principles. Zbl 1284.91216Chi, Yichun; Tan, Ken Seng 34 2013 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2013 VaR-based optimal partial hedging. Zbl 1281.91142Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo 3 2013 Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 2 2013 How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? Zbl 1236.91145Wang, Xiaoqun; Tan, Ken Seng 7 2012 Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078Chi, Yichun; Tan, Ken Seng 53 2011 Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 32 2011 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 28 2009 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 15 2009 An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207Imai, Junichi; Tan, Ken Seng 7 2009 Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341Imai, Junichi; Tan, Ken Seng 5 2009 Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 87 2008 Optimal investment with noise trading risk. Zbl 1175.91166Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng 1 2008 Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567Boyle, Phelim; Imai, Junichi; Tan, Ken Seng 1 2008 Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402Cai, Jun; Tan, Ken Seng 86 2007 Effects of noncircular collars on an axisymmetric jet. Zbl 1182.76558New, T. H.; Tan, K. S.; Tsai, H. M. 1 2007 Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2006 Pricing options using lattice rules. Zbl 1141.91419Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng 8 2005 A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2005 Minimizing effective dimension using linear transformation. Zbl 1043.65003Imai, Junichi; Tan, Ken Seng 10 2004 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 30 2003 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 A note on power-law scaling in a Taylor-Couette flow. Zbl 1186.76325Lim, T. T.; Tan, K. S. 2 2003 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 2 2002 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 10 2001 Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong 2 2001 Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059Tan, K. S.; Boyle, P. P. 8 2000 Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng 44 1996 all cited Publications top 5 cited Publications all top 5 Cited by 505 Authors 27 Tan, Ken Seng 13 Cheung, Ka Chun 13 Chi, Yichun 13 Weng, Chengguo 10 Asimit, Alexandru V. 9 Wang, Xiaoqun 8 Li, Johnny Siu-Hang 8 Zhuang, Sheng Chao 7 Boonen, Tim J. 7 Boyle, Phelim P. 7 Siu, Tak Kuen 7 Tsai, Cary Chi-Liang 7 Yam, Sheung Chi Phillip 6 Balbás, Alejandro 6 Balbás, Beatriz 6 Blake, David 6 Cai, Jun 5 Assa, Hirbod 5 Hu, Junlei 5 Kolkiewicz, Adam W. 5 Lai, Yongzeng 5 Lin, Tzuling 5 Liu, Haiyan 5 Lo, Ambrose 5 Wang, Rongming 5 Yin, Chuancun 5 Yuen, Kam Chuen 5 Zhang, Yi 4 Badescu, Alexandru M. 4 Balbás, Raquel 4 Chong, Wing Fung 4 Ghossoub, Mario 4 Imai, Junichi 4 Jiang, Wenjun 4 Liang, Zhibin 4 Liu, Fangda 4 Meng, Hui 4 Ökten, Giray 4 Ren, Jiandong 4 Wang, Ruodu 4 Yang, Hailiang 4 Yuen, Fei Lung 3 Brandtner, Mario 3 Cui, Wei 3 Gaillardetz, Patrice 3 Haberman, Steven 3 Hardy, Mary R. 3 He, Zhijian 3 Heras, Antonio 3 Hong, Hanping 3 Hu, Xiang 3 Kim, Eunseok 3 Kürsten, Wolfgang 3 Lemieux, Christiane 3 Liu, Yanxin 3 Lu, Zhiyi 3 Lyuu, Yuh-Dauh 3 MacMinn, Richard D. 3 Qian, Linyi 3 Shen, Yang 3 Zhang, Lianzeng 3 Zhou, Ming 3 Zhu, Yunzhou 2 Broadie, Mark N. 2 Cairns, Andrew J. G. 2 Centeno, M. L. 2 Coleman, Thomas F. 2 Cong, Jianfa 2 Coughlan, Guy D. 2 Cox, Samuel H. jun. 2 Debón, Ana 2 Dowd, Kevin 2 Gao, Huan 2 Glasserman, Paul 2 Goard, Joanna M. 2 Golubin, A. Yu. 2 Göncü, Ahmet 2 Griebel, Michael 2 Guerra, Manuel 2 Hanewald, Katja 2 Hörmann, Wolfgang 2 Hu, Duni 2 Hunt, Andrew 2 Jarner, Søren Fiig 2 Jin, Zhuo 2 Kawai, Reiichiro 2 Kuo, Frances Y. 2 Lin, X. Sheldon 2 Lin, Yijia 2 Liu, Leping 2 Liu, Xiaoming 2 Loisel, Stéphane 2 Ma, Chaoqun 2 Mackay, Anne 2 Mamon, Rogemar S. 2 Mao, Tiantian 2 Meng, Lili 2 Montes, Francisco 2 Moore, Kristen S. 2 Olivieri, Annamaria ...and 405 more Authors all top 5 Cited in 70 Serials 110 Insurance Mathematics & Economics 26 North American Actuarial Journal 21 Scandinavian Actuarial Journal 19 Journal of Computational and Applied Mathematics 15 ASTIN Bulletin 11 European Journal of Operational Research 9 Quantitative Finance 6 Journal of Complexity 6 European Actuarial Journal 5 Applied Mathematics and Computation 5 Mathematics and Computers in Simulation 5 Statistics & Probability Letters 5 Journal of Economic Dynamics & Control 5 Mathematical and Computer Modelling 5 Annals of Operations Research 4 Journal of Systems Science and Complexity 3 Acta Mathematicae Applicatae Sinica. English Series 3 Communications in Statistics. Theory and Methods 3 Monte Carlo Methods and Applications 3 The ANZIAM Journal 2 Computers & Mathematics with Applications 2 Mathematics of Computation 2 Journal of Applied Probability 2 Operations Research 2 Mathematical Problems in Engineering 2 Abstract and Applied Analysis 2 Discrete Dynamics in Nature and Society 2 International Journal of Theoretical and Applied Finance 2 Methodology and Computing in Applied Probability 2 Journal of Applied Mathematics and Computing 2 Asia-Pacific Financial Markets 2 Journal of Probability and Statistics 2 Journal of Function Spaces 1 Journal of Fluid Mechanics 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Scandinavian Journal of Statistics 1 Theoretical and Computational Fluid Dynamics 1 Acta Arithmetica 1 Journal of Econometrics 1 Journal of Multivariate Analysis 1 Applied Numerical Mathematics 1 Computers & Operations Research 1 Computational Mechanics 1 Numerical Algorithms 1 Computational Statistics 1 Automation and Remote Control 1 Computational Statistics and Data Analysis 1 Computational Optimization and Applications 1 Test 1 SIAM Journal on Scientific Computing 1 Applied Mathematics. Series B (English Edition) 1 Top 1 Complexity 1 Finance and Stochastics 1 Extremes 1 Decisions in Economics and Finance 1 Journal of Applied Mathematics 1 Journal of Machine Learning Research (JMLR) 1 Review of Derivatives Research 1 Computational Management Science 1 Stochastics 1 Journal of Forecasting 1 Frontiers of Mathematics in China 1 Mathematics and Financial Economics 1 AStA. Advances in Statistical Analysis 1 Science China. Mathematics 1 International Journal for Numerical Methods in Biomedical Engineering 1 Numerical Algebra, Control and Optimization 1 East Asian Journal on Applied Mathematics all top 5 Cited in 20 Fields 300 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 101 Statistics (62-XX) 61 Numerical analysis (65-XX) 60 Probability theory and stochastic processes (60-XX) 19 Operations research, mathematical programming (90-XX) 14 Systems theory; control (93-XX) 7 Number theory (11-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 3 General and overarching topics; collections (00-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Computer science (68-XX) 3 Fluid mechanics (76-XX) 2 Real functions (26-XX) 2 Partial differential equations (35-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Mechanics of deformable solids (74-XX) 1 Geophysics (86-XX) Citations by Year