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Risk Management Best Practice


Long Horizon and Longevity Risks in Insurance and Pension Plans

This project focuses on longevity risk and long-term investment guarantees (annuities) in the insurance industry and in pension plans. It focuses on addressing the longevity exposure of pension plans, provides re-engineered pension schemes to ensure sustainable risk sharing and evaluates how the challenges in transferring longevity risk to capital markets can be overcome. In addition, this work develops tools for the pricing, valuation and risk management of long term investment guarantees.


University: University of Waterloo
Project Lead: Ken Seng Tan

publications and links



Related Publications


Defined Benefit Plan Are Disappearing: Are variable annuities the answer? >

Variable Annuities: Fees too high or too low? >

Who Eats the Leftover? Mitigating Longevity Basis Risk with a Reinsurance Mechanism >

Modeling Multi-Country Longevity Risk with Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach >

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II >

Modeling Trades in the Life Market as Nash Bargaining Problems: Methodology and Insights >

Economic Pricing of Mortality-Linked Securities: A Tâtonnement Approach >

Efficient Machine Learning Methods for Risk Management of Large Variable Annuity Portfolios >

A DCC-GARCH Multi-Population Mortality Model and Its Applications to Pricing Catastrophic Mortality Bonds >

Parametric Mortality Indexes: From Index Construction to Hedging Strategies >

Risk Management of Policyholder Behavior in Equity-Linked Life Insurance >

The Age-Pattern of Transitory Mortality Jumps and Its Impact on the Pricing of Catastrophic Mortality Bonds >

Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk >

A Step-by-Step Guide to Building Two-Population Stochastic Mortality Models >

Semi-Coherent Multi-Population Mortality Modeling: The Impact on Longevity Risk Securitization >

Market Consistent Valuation of Cash Balance Liabilities >

CVaR-based Optimal Partial Hedging >

VaR-based Optimal Partial Hedging >

Towards a Large and Liquid Longevity Market: A Graphical Population Basis Risk Metric >

The CBD Mortality Indexes: Modeling and Applications >

The Existence of Optimal Bang-Bang Controls for GMxB Contracts >

Hedging Costs for Variable Annuities Under Regime-Switching >

Construction of Mortality Indexes >

Coherent Mortality Forecasting with Generalized Linear Models: A Modified Time-Transformation Approach >

An Efficient Machine Learning Approach >

Lead Researcher

 Lead Researcher 


Ken Seng Tan

Ken Seng Tan is a University Research Chair and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. He has attained Associateship of the Society of Actuaries (SOA) and was a founding member of the SOA Risk Management section. Ken Seng 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) and has served as a liaison between the CIA and banks and trusts.

Ken Seng holds a BM and MM in Actuarial Science and a Ph.D. in Statistics all from the University of Waterloo. 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.