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Ken Seng Tan

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo

SCHOLARLY PAPERS

10

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2,210

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47

Scholarly Papers (10)

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1.

Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach

ASTIN Bulletin, Vol. 41, No. 2, pp. 487-509
Number of pages: 20 Posted: 30 Mar 2010 Last Revised: 12 Dec 2011
Yichun Chi and Ken Seng Tan
China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Downloads 600 (112,258)
Citation 12

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Conditional value at risk, Value at risk, Stop-loss reinsurance, Limited stop-loss design, Truncated stop-loss reinsurance, Optimal reinsurance model

2.

Longevity Risk and Capital Markets: The 2013-14 Update

Downloads 407 (179,524)
Citation 13

Longevity Risk and Capital Markets: The 2013-14 Update

Pensions Institute Discussion Paper PI-1502
Number of pages: 29 Posted: 24 Mar 2016
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City, University of London and The University of Texas
Downloads 243 (311,538)
Citation 9

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Longevity Risk and Capital Markets: The 2013-14 Update

Number of pages: 29 Posted: 11 Apr 2015
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City, University of London and The University of Texas
Downloads 164 (456,066)
Citation 4

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3.

Optimal Reinsurance with General Premium Principles

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Number of pages: 20 Posted: 09 May 2011 Last Revised: 15 Jan 2013
Yichun Chi and Ken Seng Tan
China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Downloads 397 (184,665)
Citation 10

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Conditional value at risk, Value at risk, Layer reinsurance, Wang's premium principle

4.

CVaR-Based Optimal Partial Hedging

The Journal of Risk 16(3), 49-83, 2014
Number of pages: 32 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 191 (399,431)

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partial hedging, conditional value-at-risk (CVaR), bull call spread hedging, utility based indifference pricing, stop-loss

5.

Optimal incentive compatible insurance with background risk

Number of pages: 29 Posted: 04 Apr 2015 Last Revised: 24 Sep 2018
Yichun Chi and Ken Seng Tan
China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Downloads 157 (477,517)
Citation 7

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Background risk; Conditional expectation function; Incentive compatibility; Mean-variance preference; Optimal insurance design

6.

VaR-Based Optimal Partial Hedging

ASTIN Bulletin, 43(3), 271-299, 2013
Number of pages: 28 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 152 (491,334)

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quantile hedging, partial hedging, optimal strategy, Value-at-Risk (VaR), bull call spread, knock-out call

7.

Empirical Approach for Optimal Reinsurance Design

Tan, K. S., and Weng, C., 2014. Empirical Approach for Optimal Reinsurance Design. North American Actuarial Journal, Forthcoming
Number of pages: 38 Posted: 22 Apr 2014
Ken Seng Tan and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 111 (635,507)
Citation 4

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Empirical Model; Optimal Reinsurance; Second-Order Conic Programming; Risk Measure; Premium Principle; Variance Minimization; Conditional Tail Expectation Minimization.

8.

The Design of an Optimal Retrospective Rating Plan

ASTIN Bulletin 46(1), pp 141-163
Number of pages: 20 Posted: 04 Apr 2015 Last Revised: 04 Feb 2016
Star Chen, Yichun Chi and Ken Seng Tan
Xiamen University, China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Downloads 99 (694,528)

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Conditional value at risk; Convex order; Moral hazard; Optimal retrospective rating plan; Stop-loss insurance

9.

Optimal Reinsurance Analysis from a Crop Insurer's Perspective

Published on Agricultural Finance Review 73(2), 310-328, 2013.
Number of pages: 29 Posted: 26 Apr 2014
Lysa Porth, Lysa Porth, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and University of Waterloo
Downloads 96 (715,072)
Citation 1

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crop insurance; optimal reinsurance; conditional tail expectation risk measure; premium principle; loss cost ratio

10.

Early Exercise Regions for Exotic Options

THE J. OF DERIVATIVES, Fall 1995
Posted: 20 Aug 1998
Ken Seng Tan and Kenneth R. Vetzal
University of Waterloo and University of Waterloo

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