Academic Profile : No longer with NTU

Prof Tan Ken Seng_2.jpg picture
Prof Tan Ken Seng
President's Chair in Actuarial Risk Management
Professor, College of Business (Nanyang Business School) - Division of Banking & Finance
Deputy Head of Division (Actuarial Science), College of Business (NBS)
Director, Insurance Risk and Finance Research Centre (IRFRC)
Journal Articles
(Not applicable to NIE
staff as info will be
pulled from PRDS)
Highly Cited:
Cai, J., & Tan, K. S. (2007). Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. ASTIN Bulletin: The Journal of the IAA, 37(1), 93-112.

Cai, J., Tan, K. S., Weng, C., & Zhang, Y. (2008). Optimal reinsurance under VaR and CTE risk measures. Insurance: Mathematics and Economics, 43(1), 185-196.

Joy, C., Boyle, P. P., & Tan, K. S. (1996). Quasi-Monte Carlo methods in numerical finance. Management Science, 42(6), 926-938.

Chi, Y., & Tan, K. S. (2011). Optimal reinsurance under VaR and CVaR risk measures: a simplified approach. ASTIN Bulletin: The Journal of the IAA, 41(2), 487-509.

Li, J. S. H., Hardy, M. R., & Tan, K. S. (2009). Uncertainty in mortality forecasting: an extension to the classical Lee-Carter approach. ASTIN Bulletin: The Journal of the IAA, 39(1), 137-164.

Chi, Y., & Tan, K. S. (2013). Optimal reinsurance with general premium principles. Insurance: Mathematics and Economics, 52(2), 180-189.

Zhuang, S. C., Weng, C., Tan, K. S., & Assa, H. (2016). Marginal indemnification function formulation for optimal reinsurance. Insurance: Mathematics and Economics, 67, 65-76.

Sheldon Lin, X., & Tan, K. S. (2003). Valuation of equity-indexed annuities under stochastic interest rates. North American Actuarial Journal, 7(4), 72-91.

Tan, K. S., Weng, C., & Zhang, Y. (2011). Optimality of general reinsurance contracts under CTE risk measure. Insurance: Mathematics and Economics, 49(2), 175-187.

Lin, X. S., Tan, K. S., & Yang, H. (2009). Pricing annuity guarantees under a regime-switching model. North American Actuarial Journal, 13(3), 316-332.

Click here for more publications.

Recent Publication:
Boyle, P., Tan, K. S., Wei, P., & Zhuang, S. C. (2022). Annuity and insurance choice under habit formation. Insurance: Mathematics and Economics, 105, 211-237.

Wang, C. W., Liu, K., Li, B., & Tan, K. S. (2022). Portfolio optimization under multivariate affine generalized hyperbolic distributions. International Review of Economics & Finance, 80, 49-66.

Asmuni, N. H., Tan, K. S., & Purcal, S. (2022). The Impact of Health Impairment on Optimal Annuitization for Retirees. Risks, 10(4), 75.

Tan, K. S., Weng, C., & Zhang, J. (2022). Optimal dynamic longevity hedge with basis risk. European Journal of Operational Research, 297(1), 325-337.

Cui, H., Tan, K. S., & Yang, F. (2022). Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Annals of Operations Research, 1-30.

Chi, Y., and K.S. Tan (2021). “Optimal incentive-compatible insurance with background risk,” ASTIN Bulletin, 51(2), 661-688. doi:10.1017/asb.2021.7

Li, H., K.S. Tan, S. Tuljapurkar, and W. Zhu. (2021) “Gompertz law revisited: Forecasting mortality in a multi-factor framework,” Insurance: Mathematics and Economics 99:268-281.

Ji, L., K.S. Tan, and F. Yang (2021). “Tail dependence and heavy tailedness in extreme risks,” Insurance: Mathematics and Economics 99:282-293.

Li, W., K.S. Tan and P. Wei “Demand for non-life insurance under habit formation”, to appear in Insurance: Mathematics and Economics,

Zhang, J., K.S. Tan and C. Weng. (2019). Optimal Index Insurance. Astin Bulletin, 49(2), 491-523.

Wang, X. and K.S. Tan. (2013). Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction. Management Science, 59(2), 376-389.
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