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Empirical tail risk management with model-based annealing random search

Fan, Qi; Tan, Ken Seng; Zhang, Jinggong - In: Insurance / Mathematics & economics 110 (2023), pp. 106-124

Persistent link: https://www.econbiz.de/10014282478

In memoriam : Ken Seng Tan and his contributions to actuarial science, finance, and agricultural insurance

Brockett, Patrick L. - In: North American actuarial journal : NAAJ ; leading the … 27 (2023) 2, pp. 209-210

Persistent link: https://www.econbiz.de/10014320620

Markowitz-based Shariah compliant portfolio model with stochastic purification and probabilistic compliance screening constraints

Puspita, Dila; Kolkiewicz, Adam; Tan, Ken Seng - In: Journal of Islamic accounting and business research 14 (2023) 8, pp. 1300-1323

Persistent link: https://www.econbiz.de/10014452394

An insurer's optimal strategy towards a new independent business

Chi, Yichun; Huang, Yuxia; Tan, Ken Seng - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10014519973

Asymptotic analysis of portfolio diversification

Cui, Hengxin; Tan, Ken Seng; Yang, Fan; Chen Zhou - In: Insurance / Mathematics & economics 106 (2022), pp. 302-325

Persistent link: https://www.econbiz.de/10013380569

Valuation of carbon emission allowance options under an open trading phase

Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Energy economics 131 (2024), pp. 1-12

This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...

Persistent link: https://www.econbiz.de/10015046272