Ken Seng Tan

Professor

Associate Scientific Director, Waterloo Research institue in Insurance,
Securities and Quantitative Finance (WatRISQ)
Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 36688
Fax: (519) 746-1875

Email:
Office: M3 3016

Research and Scholarly Interests

Professor Tan held a Canada Research Chair in Quantitative Risk Management. His research interests lie at the intersection of actuarial science, finance, mathematics, and statistics. Much of his work relates to the development and implementation of innovative approaches to risk management, scientific computation, and optimal reinsurance.

The modern financial industry---comprising the banking and investment sectors, as well as insurance companies and pension funds---relies heavily on modern, computer-based risk analysis and management. As the array of financial products grows in variety and complexity, accurate and reliable risk management has become both more complex and more essential. Several tragic failures in recent years---such as the rapid demise of Confederation Life, Enron, Barings Bank, and Long Term Capital---have caused millions of investors to lose their money, and have provided ample evidence of the consequences of inappropriate risk management.

One of Professor Tan's research areas is in developing a framework for modelling and analyzing the risks involved in long-term insurance contracts with embedded financial guarantees such as segregated funds and variable annuities. These products are extremely popular in Canada and the US, accounting for some $113.7 billion in sales (in the US and for the variable annuities) in 2002. Reliable risk mitigating and risk managing of these complex securities is critical for the viability of a financial institution. It is in this important area that Professor Tan has made significant contributions.

Professor Tan has also provided state-of-the-art algorithms for solving high-dimensional computational problems. These are precisely the types of problems that are ubiquitous in the risk management of large financial institutions. The Monte Carlo method is the workhorse for many of these applications but crude Monte Carlo is often inefficient. The Quasi-Monte Carlo method as developed by Professor Tan and others has an immediate benefit here because it makes these computations more efficient. Professor Tan's work on Quasi-Monte Carlo has been honoured as one of the seven most important contributions in investment research in the last fifty years, as judged by the investment council of the Society of Actuaries. (more)

Recent Publications

Li, Z., K.S. Tan and H. Yang. ”Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty”, to appear in North American Actuarial Journal.
Boyle, P.P., J. Imai and K.S. Tan. “Computation of Optimal Portfolios using Simulationbased Dimension Reduction”, to appear in Insurance: Mathematics and Economics.
Cai, J. and K.S. Tan (2007). “Optimal Retention for a Stop-Loss Reinsurance under the VaR and CTE Risk Measures”, ASTIN Bulletin, 37(1):93-112. (more publications)

Biography

Professor Tan collaborates on a regular basis with a number of academic researchers at the University of Waterloo as well as researchers in other universities. Professor Tan is also actively involved with many professional organizations. He has attained Associateship of the Society of Actuaries (SoA). He was a founding member of the SoA Risk Management section and is currently serving as an elected council member for this section. He has been a committee member of the Investment section of the Canadian Institute of Actuaries (CIA). He also served on the CIA's task force on Liaison with Banks and Trusts.

In addition to these research activities and professional affiliations, Professor Tan has collaborated on a number of projects with industry in the areas of pricing, hedging, and risk management.