×

zbMATH — the first resource for mathematics

Tan, Ken Seng

Compute Distance To:
Author ID: tan.ken-seng Recent zbMATH articles by "Tan, Ken Seng"
Published as: Tan, K. S.; Tan, Ken Seng
External Links: MGP
Documents Indexed: 55 Publications since 1996, including 1 Book

Publications by Year

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 1140.91417
Cai, 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 1162.91402
Cai, Jun; Tan, Ken Seng
86
2007
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
53
2011
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
44
1996
Optimal reinsurance with general premium principles. Zbl 1284.91216
Chi, Yichun; Tan, Ken Seng
34
2013
Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
32
2011
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
30
2003
Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod
29
2016
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, 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 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
15
2009
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
11
2016
Minimizing effective dimension using linear transformation. Zbl 1043.65003
Imai, Junichi; Tan, Ken Seng
10
2004
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
10
2001
The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
9
2016
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
8
2014
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
Applications of randomized low discrepancy sequences to the valuation of complex securities. Zbl 0967.91059
Tan, K. S.; Boyle, P. P.
8
2000
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
7
2014
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? Zbl 1236.91145
Wang, Xiaoqun; Tan, Ken Seng
7
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
6
2014
Optimal VaR-based risk management with reinsurance. Zbl 1341.91089
Cong, Jianfa; Tan, Ken Seng
5
2016
Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138
Tan, Ken Seng (ed.)
5
2015
Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048
Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng
5
2014
Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341
Imai, Junichi; Tan, Ken Seng
5
2009
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2013
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
Optimal insurance in the presence of reinsurance. Zbl 1402.91221
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan
3
2017
VaR-based optimal partial hedging. Zbl 1281.91142
Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo
3
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
A note on power-law scaling in a Taylor-Couette flow. Zbl 1186.76325
Lim, T. T.; Tan, K. S.
2
2003
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Calibrating the Black-Derman-Toy model: Some theoretical results. Zbl 1021.91025
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong
2
2001
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
1
2020
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 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
1
2017
Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242
Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo
1
2017
Optimal investment with noise trading risk. Zbl 1175.91166
Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng
1
2008
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
1
2008
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
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
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
1
2020
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
3
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
1
2017
Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242
Zhang, Jingong; 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
29
2016
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
11
2016
The role of a representative reinsurer in optimal reinsurance. Zbl 1371.91082
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
9
2016
Optimal VaR-based risk management with reinsurance. Zbl 1341.91089
Cong, Jianfa; Tan, Ken Seng
5
2016
Editorial: Longevity risk and capital markets: the 2013–14 update. Zbl 1321.00138
Tan, Ken Seng (ed.)
5
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
8
2014
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
7
2014
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003
Imai, Junichi; Tan, Ken Seng
6
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
5
2014
Optimal reinsurance with general premium principles. Zbl 1284.91216
Chi, Yichun; Tan, Ken Seng
34
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
3
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
7
2012
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
53
2011
Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
32
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
28
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
15
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
87
2008
Optimal investment with noise trading risk. Zbl 1175.91166
Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng
1
2008
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; 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
86
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
30
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.
2
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
10
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.
8
2000
Quasi-Monte Carlo methods in numerical finance. Zbl 0880.90006
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng
44
1996
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

Citations by Year