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Ken Seng Tan's Publications

Books

  1. Boyle, P.P., S.H. Cox, D. Dufresne, H.U. Gerber, H.H. Mueller, H.W. Pedersen, S.R. Pliska, M. Sherris, E.S. Shiu and K.S. Tan, (H.H. Panjer editor), Financial Economics: With Applications to Investments, Insurance and Pensions, The Actuarial Foundation, Illinois, 1998. (669 pages)

Working Papers/Papers Submitted to Refereed Journals

  1. Tan, K.S. and C. Weng (2007). Enhancing Insurer value using Reinsurance and Value at Risk Criterion, working paper.
  2. Fan, T., Z. Li, and K.S. Tan (2007). “Decomposing Risk and Allocating Economic Capital for a Credit”, submitted for publication.
  3. Li, S., M.R. Hardy, and K.S. Tan (2006). “Uncertainty in mortality forecasting: an extension to the classical Lee-Carter approach”, submitted for publication.
  4. Li, Z., K.S. Tan and H. Yang (2006). “Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty”, submitted for publication.
  5. Cai, J., K.S. Tan, C. Weng, and Y. Zhang (2006). “Optimal Reinsurance under VaR and CTE Risk Measures”, submitted for publication.
  6. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2003). “Pricing American Style Options Using Low Discrepancy Mesh Method”, submitted for publication.

Papers in Refereed Journals

  1. Boyle, P.P., J. Imai and K.S. Tan. “Computation of Optimal Portfolios using Simulation-based Dimension Reduction”, to appear in Insurance: Mathematics and Economics.
  2. Cai, J. and K.S. Tan (2007). “Optimal Retention for a Stop-Loss Reinsurance under the VaR and CTE Risk Measures”, ASTIN Bul letin, 37(1):93-112.
  3. Imai, J. and K.S. Tan (2007). “A General Dimension Reduction Technique for Derivative Pricing”, Journal of Computational Finance, 10(2):129-155.
  4. Wan, J.L., K. Lai, A.W. Kolkiewicz and K.S. Tan (2006). “A Parallel Quasi-Monte Carlo Approach to Pricing Multi-dimensional American Options”, International Journal of High Performance Computing and Networking 4(5/6):321-330.
  5. Kolkiewicz, A.K. and K.S. Tan (2006). “Unit-Linked Life Insurance Contracts With Lapse Rates Dependent on Economic Factors.” Annals of Actuarial Science, 1:49-78.
  6. Li, Z., K.W. Ng, K.S. Tan and H. Yang (2006). “Optimal Constant-Rebalanced Portfolio investment strategies for Dynamic Portfolio Selection”, International Journal of Theoretical and Applied Finance 6(6):1-16.
  7. Boyle, P.P., Y.Z. Lai and K.S. Tan (2005). “Pricing Options using Lattice Rules,” North American Actuarial Journal, 9(3):50-75.
  8. Li, Z., K.W. Ng, K.S. Tan and H. Yang (2005). “A Closed-Form Solution to a Dynamic Portfolio Optimization Problem,” Dynamics of Continuous, Discrete and Impulsive Systems, Series B: Applications & Algorithms, 12(4):517:526.
  9. Kolkiewicz, A.K. and K.S. Tan (2004). “Volatility Risk for Regime Switching Models,” North American Actuarial Journal, 8(4):127-145.
  10. Lin, X.S. and K.S. Tan (2003). “Valuation of Equity-Indexed Annuities under Stochastic Interest Rates,” North American Actuarial Journal, 7(4):72–91.
  11. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2003). “Improved Simulation Method for Pricing High-dimensional American Derivatives,” Mathematics and Computers in Simulation, 62(3-6): 315-322.
  12. Boyle, P.P., K.S. Tan and W. Tian (2001). “Calibrating the Black-Derman-Toy Model: Some Theoretical Results”, Applied Mathematical Finance, 8:1:27–48.
  13. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2001). “Valuation of the Reset Options Embedded in some Equity-Linked Insurance”. North American Actuarial Journal, 5(3):1–18.
  14. Tan, K.S. and P.P. Boyle (2000). “Applications of Randomized Low Discrepancy Sequences to the Valuation of Complex Securities,” Journal of Economic Dynamics and Control, 24:1747–1782.
  15. Joy, C., P.P. Boyle and K.S. Tan (1996). “Quasi-Monte Carlo Methods in Numerical Finance,” Management Science, 42(6):926–938. Reprinted in B. Dupire, editor, Monte Carlo: Methodologies and Applications for Pricing and Risk Management, Risk Books, London, chapter 24, 1998.
  16. Boyle, P.P. and K.S. Tan (1994). “Lure of the Linear,” Risk, 9(4). Reprinted in R. Jarrow, editor, Over the Rainbow, Risk Publications, London, chapter 12, 1995.
  17. Tan, K.S. and K.R. Vetzal (1994). “Early Exercise Regions for Exotic Options,” Journal of Derivatives, 3(1):42–56.

Refereed Papers in Conference Proceedings

  1. Lai, Y. and K.S. Tan (2007). “Weighted Intermediate Rank Lattice Rules with Applications in Finance.” In R. Wamkeue, editor, Model ling and Simulation - 2007, ACTA Press, Montreal, QC, Canada, pages
  2. Lai, Y. and K.S. Tan (2006). “Simulation of Nonlinear Portfolio Value-at-Risk by Monte Carlo and Quasi-Monte Carlo Methods”. In M. Holder editor, Financial Engineering and Applications 2006, ACTA Press, Cambridge, pages
  3. Imai, J. and K.S. Tan (2004). “Minimizing Effective Dimension using Linear Transformation”. In H. Niederreiter editor, Monte Carlo and Quasi-Monte Carlo Methods 2002, Springer-Verlag, Berlin, pages 275-292.
  4. Wan, J.L., K. Lai, A.W. Kolkiewicz and K.S. Tan (2004) “A Parallel Quasi-Monte Carlo Approach to Pricing American Options.” Proceedings of the 18th Annual International Symposium on High Performance Computing Systems and Applications,
    Winnipeg, Manitoba, May 16-19, pages 27–35.
  5. Imai, J. and K.S. Tan (2002). “Enhanced Quasi-Monte Carlo Methods with Dimension Reduction”. In E. Y¨ucesan, C.-H. Chen, J. L. Snowdon, and J. M. Charnes, editors, Proceedings of the 2002 Winter Simulation Conference, Piscataway, New Jersey: In- stitute of Electrical and Electronics Engineers, pages 1502-1510.
  6. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2002). “Pricing American Derivatives using Simulation: A Biased Low Approach”. In K.-T. Fang, F.J. Hickernell, and H. Niederreiter, editors, Monte Carlo and Quasi-Monte Carlo Methods 2000, Springer- Verlag, Berlin.
  7. Boyle, P.P., Y.Z. Lai and K.S. Tan (2001). “Using Lattice Rules to Value Low- Dimensional Derivative Contracts,” 9th International AFIR Col loquium Proceedings, 2:111–134, Canadian Institute of Actuaries, Ottawa.
  8. Lin, X.S. and K.S. Tan (2001). “Valuation of Equity-Indexed Annuities under Stochastic Interest Rates,” 9th International AFIR Col loquium Proceedings, 2:473–492, Canadian Institute of Actuaries, Ottawa.
  9. Boyle, P.P. and K.S. Tan (1997). “Quasi-Monte Carlo Methods,” 7th International AFIR Col loquium Proceedings, 1:1–24, Australia.
  10. Tan, K.S. and P.P. Boyle (1997). “Applications of Scrambled Low Discrepancy Sequences to the Valuation of Exotic Options,” 7th International AFIR Col loquium Proceedings, 1:885–917, Australia.
  11. Panjer, H.H. and K.S. Tan (1996). “Graduation of Canadian Individual Insurance Mortality Experience: 1986-1992.” In R. Allan Ireland, editor, Proceedings of Canadian Institute of Actuaries, XXVI(2-B):277–360, Canadian Institute of Actuaries, Ottawa.

Technical Reports

  1. Tan, K.S. (2004). “Report on Canadian Economic Statistics 1924-2003,” Canadian Institute of Actuaries Publication #204033, June 30, 2003. 39 pages.
  2. Tan, K.S. (2003). “Report on Canadian Economic Statistics 1924-2002,” Canadian Institute of Actuaries Publication #203063, July 30, 2003. 39 pages.
  3. Le Roux, M., D.J. McIntosh, M. Roy, K.S. Tan and D. Therrien (2003). “Report of the CIA Sub-Committee on Credit Risk,” Canadian Institute of Actuaries Publication #203087, October 22, 2003. 34 pages.
  4. Panjer, H.H. and K.S. Tan (2002). “Report on Canadian Economic Statistics 1924- 2001,” Canadian Institute of Actuaries Publication #202068.
  5. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2001). “Pricing American Derivatives using Simulation: A Biased Low Approach,” IIPR Report 01-09, University of Waterloo.
  6. Boyle, P.P., Y.Z. Lai and K.S. Tan (2001). “Using Lattice Rules to Value Low- Dimensional Derivative Contracts,” IIPR Report 01-07, University of Waterloo.
  7. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (2000). “Pricing American Style Options Using Low Discrepancy Mesh Method,” IIPR Report 00-07, University of Waterloo.
  8. Boyle, P.P., A.W. Kolkiewicz and K.S. Tan (1999). “Valuation of the Reset Option in Segregated Fund Contracts Using Quasi-Monte Carlo Methods,” IIPR Report 99-10, University of Waterloo.
  9. Kolkiewicz, A.W. and K.S. Tan (1999). “Unit-Linked Life Insurance Contracts With Lapse Rates Depending on Economic Factors,” IIPR Report 99-09, University of Waterloo.
  10. Boyle, P.P., K.S. Tan and W. Tian (1999). “Calibrating the Black-Derman-Toy Model: Some Theoretical Results”, IIPR Report 99-06, University of Waterloo.
  11. Wang, S., R.L. Brown and K.S. Tan (1995). “Modeling of Ontario Automobile LTD Losses under Bill 164,” IIPR Report 95-23, University of Waterloo.
  12. Joy, C., P.P. Boyle and K.S. Tan (1994). “Quasi-Monte Carlo Methods in Numerical Finance,” IIPR Report 94-23, University of Waterloo.
  13. Tan, K.S. and K.R. Vetzal (1994). “Early Exercise Regions for Exotic Options,” IIPR Report 94-06, University of Waterloo.

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