Ken Seng Tan

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 15,094

in Total Papers Citations

26

CROSSREF CITATIONS

47

Scholarly Papers (10)

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 459 (73,119)
Citation 3

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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.

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 268 (133,687)
Citation 10

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

3.
Downloads 231 (155,416)
Citation 10

Longevity Risk and Capital Markets: The 2013-14 Update

Pensions Institute Discussion Paper PI-1502
Number of pages: 29 Posted: 24 Mar 2016
University of Waterloo, City, University of London and National Chengchi University
Downloads 135 (250,169)
Citation 7

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Longevity Risk and Capital Markets: The 2013-14 Update

Number of pages: 29 Posted: 11 Apr 2015
University of Waterloo, City, University of London and National Chengchi University
Downloads 96 (318,002)
Citation 4

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4.

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 82 (348,284)
Citation 1

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

5.

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 70 (380,978)

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

6.

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 60 (412,438)

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

7.

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, Ken Seng Tan and Chengguo Weng
University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and University of Waterloo
Downloads 47 (460,281)

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

8.

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 38 (499,513)
Citation 2

Abstract:

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

9.

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 34 (518,704)

Abstract:

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

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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