Peter Hieber

Publications | Mémoires et thèses

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26 publications

2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 |
2024
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
Sascha Günther, Peter Hieber, 2024. Insurance: Mathematics and Economics, 114 pp. 15-28.
[URN][DOI][serval:BIB_6C900F8F2464]
Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes
Michel Denuit, Jan Dhaene, Runhuan Feng, Peter Hieber, Christian Y. Robert, 2024. Annals of Actuarial Science.
[DOI][serval:BIB_DA086D99E487]
Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
Sascha Günther, Peter Hieber, 2024. European Actuarial Journal.
[DOI][serval:BIB_029082EBFE29]
2023
Randomization and the Valuation of Guaranteed Minimum Death Benefits
Griselda Deelstra, Peter Hieber, 2023. European Journal of Operational Research, 309 pp. 1218-1236.
[URN][DOI][serval:BIB_1E7C6E0A88B2]
2022
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
Hanna Vanessa, Hieber Peter, Devolder Pierre, 2022. Scandinavian Actuarial Journal, 2022 (5) pp. 421-446.
[URN][DOI][serval:BIB_C0D0DB6A46FA]
MODERN LIFE-CARE TONTINES
Peter Hieber, Nathalie Lucas, 2022. ASTIN Bulletin, 52 (2) pp. 563-589.
[URN][DOI][serval:BIB_36B9208F3A29]
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS
Michel Denuit, Peter Hieber, Robert Christian Y., 2022. ASTIN Bulletin, 52 (3) pp. 813-834. Peer-reviewed.
[URN][DOI][serval:BIB_0E4E9E1570BB]
2021
Optimal retirement products under subjective mortality beliefs
An Chen, Peter Hieber, Manuel Rach, 2021. Insurance: Mathematics and Economics, 101 (A) pp. 55-69.
[URN][DOI][serval:BIB_40E1DBAB8FC9]
2020
 
Regulatory measures for distressed insurance undertakings: a comparative study
An Chen, Peter Hieber, Lars Lämmlein, 2020. Scandinavian Actuarial Journal, 1 pp. 478-507.
[DOI][serval:BIB_7434D561A957]
Valuation of Hybrid Financial and Actuarial Products in Life Insurance by a Novel Three-Step Method
Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, 2020. ASTIN Bulletin, 50 (3) pp. 709-742.
[URN][DOI][serval:BIB_6D3792B07CA1]
2019
 
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
An Chen, Peter Hieber, Thai Nguyen, 2019. European Journal of Operational Research, 273 (3) pp. 1119-1135.
[DOI][serval:BIB_244C7BBC8CBD]
 
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
Peter Hieber, Jan Natolski, Ralf Werner, 2019. Scandinavian Actuarial Journal, 6 pp. 478-507.
[DOI][serval:BIB_5C025EB37880]
TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
Chen An, Hieber Peter, Klein Jakob, 2019. ASTIN Bulletin, 3 (34) pp. 73-97.
[URN][DOI][serval:BIB_FFF582F68889]
2018
 
Pricing exotic options in a regime switching economy: a Fourier transform method
Peter Hieber, 2018. Review of Derivatives Research, 21 pp. 231-252.
[DOI][serval:BIB_2CF2DC41EF05]
2017
 
Cliquet-style return guarantees in a regime switching Lévy model
Peter Hieber, 2017. Insurance: Mathematics and Economics, 72 pp. 138-147.
[DOI][serval:BIB_5140F7DAE4DF]
2016
 
Optimal Asset Allocation in Life Insurance: The Impact of Regulation
Chen An, Hieber Peter, 2016. ASTIN Bulletin, 46 (3) pp. 605-626.
[DOI][serval:BIB_BDBD5FA86354]
2015
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
Hieber Peter, Korn Ralf, Scherer Matthias, 2015. European Actuarial Journal, 5 (2) pp. 11-28.
[DOI][serval:BIB_CA64C6F7A33A]
2014
 
A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process
Hieber Peter, 2014. Methodology and Computing in Applied Probability, 16 (3) pp. 771-776.
[DOI][serval:BIB_5E191E0E27F2]
 
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar Marcos, Hieber Peter, Scherer Matthias, 2014. Review of Derivatives Research, 17 (2) pp. 191-216.
[DOI][serval:BIB_771FBB17900A]
 
First-passage times of regime switching models
Hieber Peter, 2014. Statistics and Probability Letters, 92 pp. 148-157.
[DOI][serval:BIB_257BBF0BBB51]
2013
 
Double-barrier first-passage times of jump-diffusion processes
Fernández Lexuri, Hieber Peter, Scherer Matthias, 2013. Monte Carlo Methods and Applications, 19 (2) pp. 107-141.
[DOI][serval:BIB_C48D3A07ABD2]
 
Modeling credit portfolio derivatives, including both a default and a prepayment feature
Hieber Peter, Scherer Matthias, 2013. Applied Stochastic Models in Business and Industry, 19 (5) pp. 479-495.
[DOI][serval:BIB_287E55F4AB6F]
2012
 
A note on first-passage times of continuously time-changed Brownian motion
Hieber Peter, 2012. Statistics and Probability Letters, 82 (1) pp. 165-172.
[DOI][serval:BIB_4EEAE5C7C198]
2011
 
Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar Marcos, Hieber Peter, Scherer Matthias, Seco Luis, 2011. Journal of Private Equity, 15 (1) pp. 26-35.
[DOI][serval:BIB_BB4885DC54A3]
 
The risk appetite of private equity sponsors
Braun Reiner, Engel Nico, Hieber Peter, Zagst Rudi, 2011. Journal of Empirical Finance, 18 (5) pp. 815-832.
[DOI][serval:BIB_AD7F8A0DF516]
2010
Efficiently pricing barrier options in a Markov-switching framework
Hieber Peter, Scherer Matthias, 2010. Journal of Computational and Applied Mathematics, 235 pp. 679-685.
[URN][DOI][serval:BIB_83EB9A08C66A]
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