Year 2021

  • Wang, C.-W., Zhang, J., and Zhu, W. (2021). Neighbouring Prediction for Mortality. Review and Resubmit, ASTIN Bulletin, the Journal of the IAA, 51(3), 689-718.
    https://doi.org/10.1017/asb.2021.13
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  • Hong Li, Lysa Porth, Ken Seng Tan and Wenjun Zhu (2021). Improved Index Insurance Design and Yield Estimation using a Dynamic Factor Forecasting Approach. Insurance: Mathematics, and Economics, 96, 208-221.
    https://doi.org/10.1016/j.insmatheco.2020.11.003
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  • Tan, K.S. and J. Zhang (2021). Flexible Weather Index Insurance Design with Penalized Splines,
    http://ssrn.com/abstract=3824040
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  • Chi, Y.C. and K.S. Tan (2021). Optimal incentive-compatible insurance with background risk, ASTIN Bulletin 51(2):661-688.
    DOI: https://doi.org/10.1017/asb.2021.7
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  • 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.
    https://doi.org/10.1016/j.insmatheco.2021.03.018
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  • Ji, L., K.S. Tan, and F. Yang (2021). Tail dependence and heavy tailedness in extreme risks, Insurance: Mathematics and Economics 99:282-293.
    https://doi.org/10.1016/j.insmatheco.2021.03.016
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  • Li, W., K.S. Tan and P. Wei (2021). Demand for non-life insurance under habit formation, Insurance: Mathematics and Economics 101(Part A):38-54.
    https://doi.org/10.1016/j.insmatheco.2020.06.012
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  • Asmuni, N.H. and K.S. Tan (2021). Exploring the yield spread between sukuk and conventional bonds in Malaysia, Journal of Emerging Market Finance 20(2):165-191.
    https://doi.org/10.1177%2F0972652720969519
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  • Kusumaningrum, D., R. Anisa, V.A. Sutomo, K.S. Tan, Alternative Area Yield Index Based Crop Insurance Policies in Indonesia, to appear in Mathematical and Statistical Methods for Actuarial Sciences and Finance -eMAF2020,” editors M. Corazza, G. Manfred, C. Perna, C.Pizzi, and M. Sibillo.
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  • Li, H., Lu, Y., and Zhu, W. (2021). Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach. North American Actuarial Journal, 25(2), 186-205.
    https://www.tandfonline.com/doi/full/10.1080/10920277.2020.1716809
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  • Chen, Z., Goyal V.K., Lou, P., Zhu, W. (2021). Debt Market Responses to Longevity Shocks. (Working paper)
    https://ssrn.com/abstract=3896198
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  • Nie, C., Tan, K.S., and Li, J. (2021). Optimal anti-fraud, nitpicking, pricing in a competitive stochastic insurance market and smart contract disruptions. Insurance: Mathematics and Economics (Pending acceptance)
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  • Tan, K.S., W. Wei and X.Y. Zhou (2021). Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency, SIAM Journal on Control and Optimization 59(6):4136–4154.
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  • Boonen, T., K.S. Tan and S. Zhuang (2021). Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability, Insurance: Mathematics and Economics 101(Part B):302-319.
    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3143224
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  • Liu, K., and K.S. Tan (2021). Real-time valuation of large variable annuity portfolios: A green mesh approach, North American Actuarial Journal 25(3):313-333
    https://www.tandfonline.com/doi/full/10.1080/10920277.2019.1697707
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  • Cui, H., K.S. Tan and F. Yang (2021). Diversification in catastrophe insurance markets, ASTIN Bulletin 51(3):753-778
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  • Wei Pengyu (2021) Risk management with expected shortfall, Mathematics and Financial Economics 15: 847-883.
    https://doi.org/10.1007/s11579-021-00298-x
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  • Wei, Pengyu and Sherris, Michael (2021). A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty, North American Actuarial Journal. 2021; 25: 17-39.
    https://www.tandfonline.com/doi/full/10.1080/10920277.2019.1708755