Tan Ken Seng

Ken Seng Tan

Information about the author Ken Seng Tan will soon be added to the site.
Found 4 papers in total
Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach
Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach
2017
This article proposes a new copula model known as the Lévy subordinated...
Economic Pricing of Mortality-Linked Securities: A Tâtonnement Approach
Economic Pricing of Mortality-Linked Securities: A Tâtonnement Approach
2015
In previous research on pricing mortality‐linked securities, the...
Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction
Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction
2013
Quasi–Monte Carlo (QMC) methods are important numerical tools in the pricing and...
Quasi-Monte Carlo methods in numerical finance
Quasi-Monte Carlo methods in numerical finance
1996
This paper introduces and illustrates a new version of the Monte Carlo method that has...
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