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Author ID: tan.ken-seng Recent zbMATH articles by "Tan, Ken Seng"
Published as: Tan, Ken Seng; Tan, K. S.
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

49 Publications have been cited 689 times in 394 Documents Cited by Year
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
96
2007
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
95
2008
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
61
2011
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
47
1996
Optimal reinsurance with general premium principles. Zbl 1284.91216
Chi, Yichun; Tan, Ken Seng
37
2013
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
36
2009
Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod
36
2016
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
35
2003
Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
34
2011
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
16
2009
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
16
2014
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
15
2016
The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
13
2016
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059
Tan, K. S.; Boyle, P. P.
10
2000
Minimizing effective dimension using linear transformation. Zbl 1043.65003
Imai, Junichi; Tan, Ken Seng
10
2004
Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048
Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng
9
2014
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
9
2014
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
Optimal VaR-based risk management with reinsurance. Zbl 1341.91089
Cong, Jianfa; Tan, Ken Seng
8
2016
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? Zbl 1236.91145
Wang, Xiaoqun; Tan, Ken Seng
8
2012
An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207
Imai, Junichi; Tan, Ken Seng
7
2009
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003
Imai, Junichi; Tan, Ken Seng
7
2014
Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138
6
2015
Optimal insurance in the presence of reinsurance. Zbl 1402.91221
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan
6
2017
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. Zbl 1431.91344
Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao
5
2020
Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341
Imai, Junichi; Tan, Ken Seng
5
2009
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
4
2017
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2013
VaR-based optimal partial hedging. Zbl 1281.91142
Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo
4
2013
A note on power-law scaling in a Taylor-Couette flow. Zbl 1186.76325
Lim, T. T.; Tan, K. S.
3
2003
Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242
Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo
2
2017
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
2
2013
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong
2
2001
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa
2
2019
A Bowley solution with limited ceded risk for a monopolistic reinsurer. Zbl 1435.91143
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao
2
2020
A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang
1
2005
Effects of noncircular collars on an axisymmetric jet. Zbl 1182.76558
New, T. H.; Tan, K. S.; Tsai, H. M.
1
2007
Vine copula models with GLM and sparsity. Zbl 1368.60013
Han, Dezhao; Tan, Ken Seng; Weng, Chengguo
1
2017
Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang
1
2006
Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen
1
2018
Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency. Zbl 1476.91223
Tan, Ken Seng; Wei, Wei; Zhou, Xun Yu
1
2021
Gompertz law revisited: forecasting mortality with a multi-factor exponential model. Zbl 1467.91146
Li, Hong; Tan, Ken Seng; Tuljapurkar, Shripad; Zhu, Wenjun
1
2021
Tail dependence and heavy tailedness in extreme risks. Zbl 1467.91142
Ji, Liuyan; Tan, Ken Seng; Yang, Fan
1
2021
Optimal incentive-compatible insurance with background risk. Zbl 1478.91163
Chi, Yichun; Tan, Ken Seng
1
2021
Optimal investment with noise trading risk. Zbl 1175.91166
Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng
1
2008
Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency. Zbl 1476.91223
Tan, Ken Seng; Wei, Wei; Zhou, Xun Yu
1
2021
Gompertz law revisited: forecasting mortality with a multi-factor exponential model. Zbl 1467.91146
Li, Hong; Tan, Ken Seng; Tuljapurkar, Shripad; Zhu, Wenjun
1
2021
Tail dependence and heavy tailedness in extreme risks. Zbl 1467.91142
Ji, Liuyan; Tan, Ken Seng; Yang, Fan
1
2021
Optimal incentive-compatible insurance with background risk. Zbl 1478.91163
Chi, Yichun; Tan, Ken Seng
1
2021
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. Zbl 1431.91344
Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao
5
2020
A Bowley solution with limited ceded risk for a monopolistic reinsurer. Zbl 1435.91143
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao
2
2020
Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa
2
2019
Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen
1
2018
Optimal insurance in the presence of reinsurance. Zbl 1402.91221
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan
6
2017
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
4
2017
Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242
Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo
2
2017
Vine copula models with GLM and sparsity. Zbl 1368.60013
Han, Dezhao; Tan, Ken Seng; Weng, Chengguo
1
2017
Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod
36
2016
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
15
2016
The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
13
2016
Optimal VaR-based risk management with reinsurance. Zbl 1341.91089
Cong, Jianfa; Tan, Ken Seng
8
2016
Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138
6
2015
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
16
2014
Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048
Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng
9
2014
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
9
2014
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003
Imai, Junichi; Tan, Ken Seng
7
2014
Optimal reinsurance with general premium principles. Zbl 1284.91216
Chi, Yichun; Tan, Ken Seng
37
2013
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2013
VaR-based optimal partial hedging. Zbl 1281.91142
Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo
4
2013
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048
Weng, 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 1236.91145
Wang, Xiaoqun; Tan, Ken Seng
8
2012
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
61
2011
Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
34
2011
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
36
2009
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
16
2009
An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207
Imai, Junichi; Tan, Ken Seng
7
2009
Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341
Imai, Junichi; Tan, Ken Seng
5
2009
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
95
2008
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Optimal investment with noise trading risk. Zbl 1175.91166
Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng
1
2008
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
96
2007
Effects of noncircular collars on an axisymmetric jet. Zbl 1182.76558
New, T. H.; Tan, K. S.; Tsai, H. M.
1
2007
Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang
1
2006
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang
1
2005
Minimizing effective dimension using linear transformation. Zbl 1043.65003
Imai, Junichi; Tan, Ken Seng
10
2004
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
35
2003
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
A note on power-law scaling in a Taylor-Couette flow. Zbl 1186.76325
Lim, T. T.; Tan, K. S.
3
2003
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong
2
2001
Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059
Tan, K. S.; Boyle, P. P.
10
2000
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
47
1996
all top 5

Cited by 554 Authors

34 Tan, Ken Seng
16 Chi, Yichun
16 Weng, Chengguo
14 Cheung, Ka Chun
12 Boonen, Tim J.
11 Asimit, Alexandru V.
9 Blake, David
9 Li, Johnny Siu-Hang
9 Wang, Xiaoqun
9 Zhuang, Sheng Chao
8 Tsai, Cary Chi-Liang
7 Balbás, Alejandro
7 Balbás, Beatriz
7 Boyle, Phelim P.
7 Cai, Jun
7 Siu, Tak Kuen
7 Yam, Sheung Chi Phillip
6 Assa, Hirbod
6 Ghossoub, Mario
6 Lo, Ambrose
5 Balbás, Raquel
5 Chong, Wing Fung
5 Hu, Junlei
5 Jiang, Wenjun
5 Kolkiewicz, Adam W.
5 Lai, Yongzeng
5 Liang, Zhibin
5 Lin, Tzuling
5 Lin, X. Sheldon
5 Liu, Fangda
5 Liu, Haiyan
5 Ökten, Giray
5 Wang, Rongming
5 Wang, Ruodu
5 Yang, Hailiang
5 Yin, Chuancun
5 Yuen, Kam Chuen
5 Zhang, Yi
4 Badescu, Alexandru M.
4 Gaillardetz, Patrice
4 Heras, Antonio
4 Imai, Junichi
4 Liu, Yanxin
4 MacMinn, Richard D.
4 Meng, Hui
4 Qian, Linyi
4 Ren, Jiandong
4 Yang, Yang
4 Young, Virginia R.
4 Yuen, Fei Lung
4 Zhang, Yiying
3 Brandtner, Mario
3 Cairns, Andrew J. G.
3 Cox, Samuel H. jun.
3 Cui, Wei
3 Fang, Ying
3 Haberman, Steven
3 Hardy, Mary Rosalyn
3 He, Zhijian
3 Hong, Hanping
3 Hu, Xiang
3 Hunt, Andrew
3 Jin, Zhuo
3 Kim, Eunseok
3 Kürsten, Wolfgang
3 Lemieux, Christiane
3 Li, Danping
3 Lin, Yijia
3 Liu, Xiaoming
3 Lyuu, Yuh-Dauh
3 Shen, Yang
3 Shi, Yanlin
3 Zhang, Lianzeng
3 Zhou, Ming
3 Zhou, Rui
3 Zhu, Wenjun
3 Zhu, Yunzhou
2 Albrecher, Hansjörg
2 Bäuerle, Nicole
2 Broadie, Mark N.
2 Centeno, M. L.
2 Coleman, Thomas F.
2 Cong, Jianfa
2 Coughlan, Guy D.
2 Debón, Ana
2 Dowd, Kevin
2 Escobar Anel, Marcos
2 Furman, Edward
2 Gao, Huan
2 Glasserman, Paul
2 Glauner, Alexander
2 Goard, Joanna M.
2 Göncü, Ahmet
2 Griebel, Michael
2 Guerra, Manuel
2 Hanewald, Katja
2 Hörmann, Wolfgang
2 Hu, Duni
2 Jarner, Søren Fiig
2 Kawai, Reiichiro
...and 454 more Authors
all top 5

Cited in 78 Serials

129 Insurance Mathematics & Economics
41 North American Actuarial Journal
23 Scandinavian Actuarial Journal
20 Journal of Computational and Applied Mathematics
20 ASTIN Bulletin
15 European Journal of Operational Research
8 Quantitative Finance
7 European Actuarial Journal
6 Applied Mathematics and Computation
6 Mathematics and Computers in Simulation
6 Journal of Complexity
6 Annals of Operations Research
5 Statistics & Probability Letters
5 Journal of Economic Dynamics & Control
5 Mathematical and Computer Modelling
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 Mathematical Problems in Engineering
3 The ANZIAM Journal
2 Computers & Mathematics with Applications
2 Mathematics of Computation
2 Journal of Applied Probability
2 Operations Research
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 Review of Derivatives Research
2 Journal of Industrial and Management Optimization
2 SIAM Journal on Financial Mathematics
2 Science China. Mathematics
2 Journal of Probability and Statistics
2 Journal of Function Spaces
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
1 Scandinavian Journal of Statistics
1 Acta Arithmetica
1 Journal of Econometrics
1 Journal of Multivariate Analysis
1 SIAM Journal on Control and Optimization
1 Stochastic Analysis and Applications
1 Applied Numerical Mathematics
1 Computers & Operations Research
1 Computational Mechanics
1 Numerical Algorithms
1 Computational Statistics
1 Applied Mathematical Modelling
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 Mathematical Methods of Operations Research
1 Journal of Inequalities and Applications
1 Extremes
1 Decisions in Economics and Finance
1 Journal of Applied Mathematics
1 Bulletin of the Malaysian Mathematical Sciences Society. Second Series
1 Journal of Machine Learning Research (JMLR)
1 Hacettepe Journal of Mathematics and Statistics
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 Numerical Algebra, Control and Optimization
1 East Asian Journal on Applied Mathematics
1 International Journal of Applied and Computational Mathematics
1 AIMS Mathematics

Citations by Year