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Title
Real-time valuation of large variable annuity portfolios
Subtitle
A geen mesh approach
Source
North American Actuarial Journal
Date
2020
Author
Liu, Kai; Tan, Ken Seng
Genre
Journal Article
Abstract
The valuation of large variable annuity (VA) portfolios is an important problem of interest, not only because of its practical relevance but also...
Start Page
1
DOI
10.1080/10920277.2019.1697707
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Title
Portfolio optimization under multivariate affine generalized hyperbolic distributions
Source
International Review of Economics & Finance
Date
2022
Author
Wang, Chou-Wen; Liu, Kai; Li, Bin; Tan, Ken Seng
Genre
Journal Article
Abstract
This paper focuses on capturing the impacts of leptokurtic phenomenon and heterogeneous preferences in higher moments on asset allocation. To...
DOI
10.1016/j.iref.2022.02.053
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Title
Remote sensing applications for insurance
Subtitle
A predictive model for pasture yield in the presence of systemic weather
Source
North American Actuarial Journal
Date
2020
Author
Brock Porth, C.; Porth, Lysa; Zhu, Wenjun; Boyd, Milton; Tan, Ken Seng; Liu, Kai
Genre
Journal Article
Abstract
A robust predictive model for crop yield is essential for designing a commercially viable index-based insurance policy. Index-based insurance for...
Volume
24
Issue
2
Start Page
333
DOI
10.1080/10920277.2020.1717345