Ken Seng Tan

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

26

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CITATIONS
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52

Scholarly Papers (26)

1.

A Credibility-Based Yield Forecasting Model for Crop Reinsurance Pricing and Weather Risk Management

Agricultural Finance Review, Forthcoming
Number of pages: 36 Posted: 23 Sep 2015 Last Revised: 23 Jun 2018
Wenjun Zhu, Lysa Porth and Ken Seng Tan
Nanyang Technological University (NTU) - Nanyang Business School, University of Manitoba - Warren Centre for Actuarial Studies and Research and University of Waterloo
Downloads 149 (195,454)
Citation 1

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yield forecasting, model selection, principal component analysis, cross validation, credibility theory

2.

Optimal Reinsurance with One Insurer and Multiple Reinsurers

Number of pages: 27 Posted: 11 Jul 2015
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 139 (206,735)

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optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer

3.

Spatial Dependence & Aggregation in Weather Risk Hedging: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach

Astin Bulletin, 48 (2), 779-815.
Number of pages: 43 Posted: 05 Oct 2015 Last Revised: 25 Jan 2019
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo, University of Manitoba - Warren Centre for Actuarial Studies and Research and National Kaohsiung University of Science and Technology
Downloads 118 (234,732)

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Systemic weather risk, Hedging strategies, Hierarchical Archimedean copulas, Lévy subordinators

4.

Structure and Estimation of Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests

Journal of Banking and Finance, 69 (2016): 20-36.
Number of pages: 17 Posted: 27 Sep 2015 Last Revised: 02 Sep 2016
Wenjun Zhu, Chou‐Wen Wang and Ken Seng Tan
Nanyang Technological University (NTU) - Nanyang Business School, National Kaohsiung University of Science and Technology and University of Waterloo
Downloads 111 (245,200)

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High dimensional modeling, Hierarchical Archimedean copulas, Lévy subordinators, Downside risk

5.

Agricultural Insurance Ratemaking: Development of a New Premium Principle

North American Actuarial Journal, forthcoming.
Number of pages: 50 Posted: 08 Sep 2016 Last Revised: 25 Jan 2019
Wenjun Zhu, Ken Seng Tan and Lysa Porth
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo and University of Manitoba - Warren Centre for Actuarial Studies and Research
Downloads 103 (258,419)
Citation 2

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Agricultural insurance, Loss reweighting, Ratemaking, Premium principles, Weighted distribution, Weighed premium

6.

Modeling Multi-Country Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach

Journal of Risk and Insurance, Forthcoming
Number of pages: 23 Posted: 04 Oct 2015 Last Revised: 18 Nov 2016
Wenjun Zhu, Ken Seng Tan and Chou‐Wen Wang
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo and National Kaohsiung University of Science and Technology
Downloads 103 (258,419)

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Geographical Mortality Dependence; Longevity Securitization; Hierarchical Archimedean copulas; Lévy subordinators

7.

A Relational Model for Predicting Farm-Level Crop Yield Distributions in the Absence of Farm-Level Data

Number of pages: 46 Posted: 28 May 2016 Last Revised: 19 Aug 2016
Lysa Porth, Ken Seng Tan and Wenjun Zhu
University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 92 (278,300)

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Relational Model, Aggregation Bias, Shortness of Data, Euclidean Distance, Crop Insurance, Yield Forecasting, Ratemaking

8.

On a Class of Premium Calculation Principles Based on the Multivariate Weighted Distribution

Number of pages: 29 Posted: 22 Dec 2016 Last Revised: 23 Jun 2018
Wenjun Zhu, Ken Seng Tan and Lysa Porth
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo and University of Manitoba - Warren Centre for Actuarial Studies and Research
Downloads 84 (294,661)

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Premium Principle, Weighted Distribution, Weighted Transform, Stochastic Dominance, Insurance Pricing, Economic Premium

9.

Optimal Dynamic Reinsurance Policies Under Mean – CVaR – A Generalized Denneberg’s Absolute Deviation Principle

Number of pages: 31 Posted: 14 Mar 2018
Ken Seng Tan, Pengyu Wei, Wei Wei and Sheng Chao Zhuang
University of Waterloo, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 74 (317,556)
Citation 1

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Dynamical Reinsurance, Mean-CVaR Premium Principle, Denneberg’s Absolute Deviation Principle, Ruin Probability

10.

Remote Sensing Applications for Insurance: A Predictive Model for Pasture Yield in the Presence of Systemic Weather

Number of pages: 46 Posted: 27 Jun 2018
University of Manitoba - Department of Biosystems Engineering, University of Manitoba - Warren Centre for Actuarial Studies and Research, Nanyang Technological University (NTU) - Nanyang Business School, University of Manitoba - Department of Agribusiness and Agricultural Economics, University of Waterloo and University of Prince Edward Island
Downloads 66 (338,062)
Citation 1

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Crop Yield Prediction; Forage Insurance; Remote Sensing; Index-Based Insurance; Principal Component Analysis; Predictive Analytics

11.

Optimal Hedging with Basis Risk under Mean-Variance Criterion

Insurance: Mathematics and Economics, Vol. 75, 1-15, 2017
Number of pages: 41 Posted: 04 Apr 2017 Last Revised: 10 May 2019
Jingong Zhang, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 63 (346,218)

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Basis Risk; Optimal Hedging; Time Consistent Planning; Mean-Variance

12.

Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

North American Actuarial Journal, Vol. 18, No. 1, pp. 68-86, 2014
Number of pages: 39 Posted: 03 Oct 2013 Last Revised: 25 May 2014
Yijia Lin, Ken Seng Tan, Ruilin Tian and Jifeng Yu
University of Nebraska at Lincoln - Department of Finance, University of Waterloo, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska-Lincoln
Downloads 59 (357,645)

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defined benefit pension plan, downside risk, basis risk, CVaR, longevity risk hedging

13.

How Does Consumption Habit Affect the Household's Demand for Life-Contingent Claims?

Number of pages: 45 Posted: 31 Jul 2018
Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang
University of Waterloo, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of Nebraska Lincoln
Downloads 53 (376,361)

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14.

Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions

ASTIN Bulletin 46 (2), 507-530, 2016
Number of pages: 26 Posted: 29 Feb 2016 Last Revised: 23 May 2016
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 47 (396,472)

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

15.

Valuation of Carbon Emission Allowances and Related Derivatives Under a Closed Trading Phase

Number of pages: 57 Posted: 19 Jun 2017
Mingyu Fang, Ken Seng Tan and Tony S. Wirjanto
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 41 (418,273)

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Climate change, Carbon dioxide, Valuation of carbon emission allowances, Market completeness, Market and information incompleteness, Analytical Analysis, Numerical Analysis.

16.

Optimal Reinsurance with Multiple Reinsurers: Competitive Pricing and Coalition Stability

Number of pages: 29 Posted: 22 Mar 2018
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 40 (422,111)

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reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk

17.

Improved Index Insurance Design and Yield Estimation Using a Dynamic Factor Forecasting Approach

Number of pages: 33 Posted: 27 Jun 2018 Last Revised: 09 Jan 2019
Hong Li, Lysa Porth, Ken Seng Tan and Wenjun Zhu
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 39 (426,096)

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Crop Yield Forecasting; Factor Model; Index-Based Insurance

18.

Index Insurance Design

Number of pages: 36 Posted: 12 Sep 2018
Jinggong Zhang, Ken Seng Tan and Chengguo Weng
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo and University of Waterloo
Downloads 35 (442,503)

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19.

Vine Copula Models with GLM and Sparsity

Communications in Statistics - Theory and Methods, Vol. 73, 137-155.
Number of pages: 26 Posted: 06 Feb 2017 Last Revised: 10 May 2019
Dezhao Han, Ken Seng Tan and Chengguo Weng
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 20 (519,084)

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vine copula, generalized linear model, penalized MLE

20.

Marginal Indemnification Function Formulation for Optimal Reinsurance

Insurance: Mathematics and Economics, Vol. 67, 2016
Number of pages: 28 Posted: 06 Feb 2017
University of Nebraska Lincoln, University of Waterloo, University of Waterloo and University of Liverpool
Downloads 16 (542,351)
Citation 1

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optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle

21.

Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency

Number of pages: 23 Posted: 19 Jul 2018
Ken Seng Tan, Wei Wei and Xun Yu Zhou
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 14 (554,324)
Citation 1

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time inconsistency, equilibrium stopping rule, intra-personal game, smooth pasting, nonexistence

22.

On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms

Journal of Risk and Insurance, Vol. 77, Issue 2, pp. 499-522, June 2010
Number of pages: 24 Posted: 10 May 2010
Johnny Siu-Hang Li, Mary R. Hardy and Ken Seng Tan
affiliation not provided to SSRN, University of Waterloo and University of Waterloo
Downloads 6 (604,631)
Citation 3
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23.

Modeling Multicountry Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 477-493, 2017
Number of pages: 17 Posted: 14 Apr 2017
Ken Seng Tan and Chou‐Wen Wang
University of Waterloo and National Kaohsiung University of Science and Technology
Downloads 1 (648,637)
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24.

Conditional Value-at-Risk-Based Optimal Partial Hedging

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 36 Posted: 08 Jun 2016
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
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hedging, value-at-risk, optimal partial hedging

25.

Economic Pricing of Mortality‐Linked Securities: A Tâtonnement Approach

Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 65-96, 2015
Number of pages: 32 Posted: 21 Feb 2015
Rui Zhou, Johnny Siu‐Hang Li and Ken Seng Tan
University of Manitoba, University of Waterloo and University of Waterloo
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26.

Pricing Standardized Mortality Securitizations: A Two‐Population Model with Transitory Jump Effects

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 733-774, 2013
Number of pages: 42 Posted: 30 Aug 2013
Rui Zhou, Johnny Siu‐Hang Li and Ken Seng Tan
University of Manitoba, University of Waterloo and University of Waterloo
Downloads 0 (666,530)
Citation 1
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