Ken Seng Tan

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo

SCHOLARLY PAPERS

28

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3,019

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Top 15,574

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55

CROSSREF CITATIONS

30

Scholarly Papers (28)

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1.

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

Agricultural Finance Review, 79(1), 2-26.
Number of pages: 36 Posted: 23 Sep 2015 Last Revised: 16 Jul 2020
Wenjun Zhu, Lysa Porth, Lysa Porth and Ken Seng Tan
Nanyang Business School, Nanyang Technological University, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research and University of Waterloo
Downloads 227 (230,391)
Citation 5

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

2.

Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps

Nanyang Business School Research Paper No. 21-37
Number of pages: 52 Posted: 14 Jun 2021 Last Revised: 27 Jul 2023
Shimeng Huang, Ken Seng Tan, Jinggong Zhang and Wenjun Zhu
University of Wisconsin - Madison, University of Waterloo, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 188 (273,884)
Citation 3

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Securitization, Pandemic bond, Endemic swap, Coronavirus, Dengue

3.

Agricultural Insurance Ratemaking: Development of a New Premium Principle

North American Actuarial Journal, 23(4), 512-534.
Posted: 08 Sep 2016 Last Revised: 11 Feb 2020
Wenjun Zhu, Ken Seng Tan, Lysa Porth and Lysa Porth
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research
Downloads 182 (281,752)
Citation 1

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

4.

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 Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 178 (287,258)
Citation 1

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

5.

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
Wenjun Zhu, Ken Seng Tan, Lysa Porth, Lysa Porth and Chou‐Wen Wang
Nanyang Business School, Nanyang Technological University, University of Waterloo, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research and National Kaohsiung University of Science and Technology
Downloads 171 (297,526)
Citation 3

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

6.

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

North American Actuarial Journal, 24(2), 333-354.
Number of pages: 46 Posted: 27 Jun 2018 Last Revised: 15 Sep 2020
C. Brock Porth, Lysa Porth, Lysa Porth, Wenjun Zhu, Milton Boyd, Ken Seng Tan and Kai Liu
University of Manitoba - Department of Biosystems Engineering, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, Nanyang Business School, Nanyang Technological University, University of Manitoba - Department of Agribusiness and Agricultural Economics, University of Waterloo and University of Prince Edward Island
Downloads 161 (313,042)
Citation 1

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

7.

Annuity and Insurance Choice Under Habit Formation

Number of pages: 44 Posted: 01 May 2020
Phelim P. Boyle, Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang
Wilfrid Laurier University - School of Business & Economics, University of Waterloo, Nanyang Technological University (NTU) and University of Nebraska Lincoln
Downloads 148 (335,816)

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Habit Formation; Life-Cycle Model; Life Insurance; Annuity

8.

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: 45 Posted: 27 Sep 2015 Last Revised: 16 Jul 2020
Wenjun Zhu, Chou‐Wen Wang and Ken Seng Tan
Nanyang Business School, Nanyang Technological University, National Kaohsiung University of Science and Technology and University of Waterloo
Downloads 141 (349,032)
Citation 1

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

9.

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 134 (363,023)

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

10.

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

Journal of Risk and Insurance, 84, 477-493.
Number of pages: 23 Posted: 04 Oct 2015 Last Revised: 11 Feb 2020
Wenjun Zhu, Ken Seng Tan and Chou‐Wen Wang
Nanyang Business School, Nanyang Technological University, University of Waterloo and National Kaohsiung University of Science and Technology
Downloads 130 (371,483)
Citation 2

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

11.

A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance

North American Actuarial Journal, 23(4), 551-572.
Number of pages: 44 Posted: 28 May 2016 Last Revised: 21 May 2020
Lysa Porth, Lysa Porth, Ken Seng Tan and Wenjun Zhu
University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 128 (375,891)
Citation 2

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

12.

Index Insurance Design

Number of pages: 36 Posted: 12 Sep 2018
Jinggong Zhang, Ken Seng Tan and Chengguo Weng
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo
Downloads 126 (380,321)
Citation 3

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13.

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

Insurance: Mathematics and Economics, 96, 208-221
Number of pages: 33 Posted: 27 Jun 2018 Last Revised: 12 Jan 2021
Hong Li, Lysa Porth, Lysa Porth, Ken Seng Tan and Wenjun Zhu
Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 124 (384,995)

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Crop Yield Forecasting; Factor Model; Index-Based Insurance

14.

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, Nanyang Technological University (NTU), University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 120 (394,467)
Citation 8

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

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 117 (401,797)

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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

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 22 Mar 2018 Last Revised: 09 Aug 2021
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 97 (458,690)
Citation 3

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

17.

Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 29 Posted: 16 Dec 2019 Last Revised: 12 Jan 2021
Hong Li, Ken Seng Tan, Shripad Tuljapurkar and Wenjun Zhu
Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, University of Waterloo, Stanford University and Nanyang Business School, Nanyang Technological University
Downloads 94 (468,219)
Citation 4

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Old Age Mortality Forecasting, Gompertz Law, Factor Model

18.

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 88 (488,030)
Citation 3

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

19.

Trade-off between validity and efficiency of merging p-values under arbitrary dependence

Number of pages: 40 Posted: 01 May 2020 Last Revised: 17 Aug 2021
Yuyu Chen, Peng Liu, Ken Seng Tan and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Essex, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 80 (516,906)

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Hypothesis testing; multiple hypothesis testing; validity; efficiency

20.

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, Nanyang Technological University (NTU) and University of Nebraska Lincoln
Downloads 80 (516,906)

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21.

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 68 (566,207)

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vine copula, generalized linear model, penalized MLE

22.

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 Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 66 (575,131)
Citation 3

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

23.

Optimal Dynamic Longevity Hedge with Basis Risk

Tan, K.S., Weng, C., Zhang, J., 2021. Optimal Dynamic Longevity Hedge with Basis Risk. European Journal of Operational Research. In press.
Number of pages: 30 Posted: 22 Jul 2020 Last Revised: 08 Jun 2021
Ken Seng Tan, Chengguo Weng and Jingong Zhang
University of Waterloo, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 59 (608,281)

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Risk management, Pension liability management, Longevity risk, Dynamic programming, Mean-variance.

24.

Marginal Indemnification Function Formulation for Optimal Reinsurance

Insurance: Mathematics and Economics, Vol. 67, 2016
Number of pages: 28 Posted: 06 Feb 2017
Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan and Hirbod Assa
University of Nebraska Lincoln, University of Waterloo, University of Waterloo and University of Essex - Department of Mathematics
Downloads 46 (680,111)
Citation 8

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

25.

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 38 (732,814)
Citation 3

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

26.

A sustainable area-yield insurance program with optimal risk pooling: A behavior-based machine learning approach

Number of pages: 41 Posted: 16 Dec 2019 Last Revised: 26 Jul 2023
Yanbin Xu, Guangming Pan, Ken Seng Tan and Wenjun Zhu
Nanyang Technological University (NTU), Nanyang Technological University (NTU), University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 28 (808,837)

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sustainability, area yield, basis risk, crop insurance, machine learning

27.

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

Posted: 22 Dec 2016 Last Revised: 27 Jul 2023
Wenjun Zhu, Ken Seng Tan, Lysa Porth and Lysa Porth
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research

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

28.

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
Downloads 0 (1,055,237)
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hedging, value-at-risk, optimal partial hedging