https://orcid.org/0000-0001-6343-8788
The actuarial science community lost a wonderful human being and a great friend and colleague with the unexpected and sudden passing of Dr. Ken Seng Tan, ASA, CERA, PhD, on January 1, 2023, at the very young age of 53. The North American Actuarial Journal (NAAJ) also lost a longtime supporter, contributor, and co-editor. This issue of the North American Actuarial Journal is dedicated to honor Ken Seng, his accomplishments, and his legacy.
Ken Seng joined the NAAJ Editorial Board in 2010 and served continuously until his death. His editorial decisions went beyond mere “yea or nay” publication choices. He communicated with authors, interpreted reviewers’ comments, and helped authors create better articles. Even when not accepting an article, Ken Seng would give kindly advice and support to authors to revise and publish their work elsewhere. His impact on the profession was not restricted to the NAAJ; he also served on many other editorial boards (e.g., as an associate editor of the Agricultural Finance Review, since June 2014, and as an associate editor of Annals of Actuarial Science, since January 2012). He served the profession and the Society of Actuaries on numerous committees and did much volunteer work.
At the time of his death, Ken Seng held the President’s Chair in Actuarial Risk Management at Nanyang Technological University (NTU), Singapore, as well as being the deputy division head of actuarial science in the Division of Banking and Finance at NTU. Prior to coming to NTU in 2019, Ken Seng spent his career at the University of Waterloo in the Faculty of Mathematics, an internationally recognized school in Computer Science and Mathematics. There Ken Seng received his BMath, MMath, and PhD in Actuarial Science. He then transitioned to the faculty, ultimately being successively promoted to full professor and holding the Canada Research Chair in Quantitative Risk Management and a University Research Chair. He was well loved and respected and kept his connection with the University of Waterloo even after moving to NTU.
Ken Seng was an inspirational and influential leader in actuarial science worldwide, both in teaching and in research. He reached out and encouraged international collaborations in actuarial research and education. His interests were broad, and he researched new and emerging areas, bringing attention to the actuarial audience of many useful and interesting topics. His energy and enthusiasm for studying new areas is illustrated by the fact that in the short 24 years since completing his PhD dissertation, he was listed as an author on more than 140 research papers and book chapters, and he collaborated with a total of 107 distinct coauthors. Additionally, at the time of his death he had seven more papers submitted and under review and four more working papers in progress. He was a pleasure to work with and was always energetic, agreeable, cordial, and happy. I never saw him that he did not greet me like a close friend, and he felt the same about others. At conferences, his probing and insightful comments as well as his open and accepting interactions with people at all levels of academic stature made him well-known and liked by all his colleagues. He was always cordial and happy to interact with anyone and to contribute to their work by volunteering his insights. It seemed Ken Seng liked everyone and everyone liked Ken Seng.
One example of Ken Seng setting the leading edge of research investigations (which others have subsequently followed) is his work on quasi–Monte Carlo methods with concurrent presentations showing the practical applicability of the use of this method. Unlike Monte Carlo methods, which use random sequences to evaluate complex problems, and then take the average to numerically evaluate very difficult, complex and interdependent problems, quasi–Monte Carlo methods choose specific deterministic sequences instead of random sequences. The deterministic sequences are selected to be well dispersed throughout the high-dimensional unit cube (which random sequences may not be) and can be used to more quickly evaluate complex, high-dimensional mathematical equations such as occur in complex or exotic financial derivative asset valuation and pricing of complex insurance products such as equity-indexed life insurance products. This is the subject of Ken Seng’s PhD dissertation, completed in 1998 at the University of Waterloo, Canada, under the supervision of Professor Phelim Boyle. It was titled “Quasi-Monte Carlo Methods: Applications in Finance and Actuarial Science,” and its value was immediately recognized—his dissertation won the University of Waterloo’s university-wide Award for Outstanding Achievement in Graduate Studies–Doctoral. Ken Seng and Phelim Boyle introduced this methodology to the actuarial and finance communities, and it is widely used today. His related academic article “Quasi-Monte Carlo Methods in Numerical Finance,” coauthored with Phelim Boyle and published in the top-tier journal Management Science in 1996 (while Ken Seng was still a doctoral student), has 420 citations so far! This paper also won the 1996–1997 Redington Prize from the Society of Actuaries, for best paper published on an investment-related topic. In 1999 the paper was also honored by being named as one of the seven most important contributions in investment research in the last 50 years, as judged by the Society of Actuaries Investment Council.
Ken Seng continued to provide research advancements on the use of quasi–Monte Carlo methods and their applications throughout his career. His 2014 paper with Junichi Imai titled “Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment,” published in the SIAM Journal on Scientific Computing, and his 2013 paper with Xiaoqun Wang titled “Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction,” published in Management Science, provide more details on his continuing contributions to the evolution of this important research area.
These research endeavors on quasi–Monte Carlo methods indeed had an impact on theory and practice in financial and actuarial analysis and reaped the following honors and awards:
“Valuation of Equity-Indexed Annuities under Stochastic Interest Rates,” joint recipient of the Annual Prize for the best paper published in the North American Actuarial Journal in 2003.
“Valuation of the Reset Options Embedded in Some Equity-Linked Insurance,” joint recipient of the Annual Prize for the best paper published in the North American Actuarial Journal in 2001.
“Valuation of the Reset Option in Segregated Fund Contracts Using Quasi-Monte Carlo Methods,” recipient of a best paper award at the Canadian Institute of Actuaries Symposium on Stochastic Modeling for Variable Annuity/Segregated Fund Investment Guarantees, Toronto, 1999.
“Quasi-Monte Carlo Methods and Applications of Scrambled Low Discrepancy Sequences to Exotic Options,” recognized as a “highly commended” paper by the Institute of Actuaries, United Kingdom, 1998.
“Applications of Scrambled Low Discrepancy Sequences to Exotic Options,” awarded second prize for the best paper at the 7th International Actuarial Approach for Financial Risks Colloquium, Australia, 1997.
Another area where Ken Seng completed substantial research is optimal reinsurance. He authored more than a dozen papers related to reinsurance, including these award-winning contributions:
In January 2019, his 2017 paper “Optimal Insurance in the Presence of Reinsurance” was listed as one of five most read articles published in the Scandinavian Actuarial Journal.
Through June 2016, his 2013 article “Optimal Reinsurance with General Premium Principles” was listed as one of the five most highly cited papers published in Insurance: Mathematics and Economics.
His 2011 ASTIN Bulletin article “Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach,” coauthored with Yichun Chi, was awarded the 2012 Charles A. Hachemeister Prize by the Casualty Actuarial Society, based on “the paper's impact for North American actuaries and practicality of application.”
A final area worthy of singling out shows Ken Seng’s attention to new and important emerging areas of research. Ken Seng had a marked influence on the actuarial and insurance research communities in the area of agricultural insurance analysis and agriculture-related actuarial science. This is a research track he only started in 2013, and he already had published 12 articles in the area. In a private conversation he said he was convinced that this would be a growing and increasingly important and useful area for actuarial modeling, especially in the context of climate change, and in his typical enthusiastic manner, he encouraged more research in the area.
In addition to leaving behind an inspirational research output, his role and impact on students and colleagues have been extraordinary. He was always smiling, enthusiastic, and welcoming. Every meeting was better and more cordial and comfortable when he walked in. We are better for his having been in our lives, the NAAJ is better for his tireless efforts, and the field of quantitative risk management is better for his contributions. He contributed so much during the short time he spent with us. We shall all miss him terribly.