Daniel Bauer

University of Wisconsin-Madison

Professor of Risk and Insurance, Hickman-Larson Chair

975 University Avenue

Madison, WI 53706

United States

  • University of Wisconsin-Madison

SCHOLARLY PAPERS

8

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1,768

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in Total Papers Citations

49

Scholarly Papers (8)

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1.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
Hansjoerg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipović, Pablo Koch-Medina, Ralf Korn, Stéphane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser and Joël Wagner
University of Lausanne, University of Wisconsin-Madison, Swiss Federal Institute of Technology Zurich, École Polytechnique Fédérale de Lausanne (EPFL), University of Zurich - Department Finance, University of Kaiserslautern - Department of Mathematics, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Münster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 557 (106,407)
Citation 7

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

2.

The Marginal Cost of Risk, Risk Measures, and Capital Allocation

Number of pages: 41 Posted: 15 Mar 2011 Last Revised: 28 May 2013
Daniel Bauer and George H. Zanjani
University of Wisconsin-Madison and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 402 (157,288)
Citation 21

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Capital Allocation, Risk Measure, Profit Maximization, Counterparty Risk Aversion

3.

Life Insurance and Annuity Pricing during the Financial Crisis, Revisited

Number of pages: 57 Posted: 09 Mar 2021 Last Revised: 02 Mar 2025
Daniel Bauer, Lars Powell, Boheng Su and George H. Zanjani
University of Wisconsin-Madison, University of Alabama - Culverhouse College of Commerce & Business Administration, University of South Florida - Muma College of Business and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 264 (247,178)
Citation 6

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Financial Crisis, Insurance, Regulation

4.

Optimal Collateralization with Bilateral Default Risk

Number of pages: 54 Posted: 04 Sep 2013
Daniel Bauer, Enrico Biffis and Luz R. Sotomayor
University of Wisconsin-Madison, Imperial College Business School and Georgia State University - Department of Risk Management and Insurance
Downloads 205 (316,321)
Citation 3

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5.

Policyholder Exercise Behavior in Life Insurance: The State of Affairs

Number of pages: 42 Posted: 05 Mar 2021
Daniel Bauer, Thorsten Moenig, Eric R. Ulm and Nan Zhu
University of Wisconsin-Madison, Temple University, Department of Risk, Insurance & Healthcare Management, University of Central Florida - Department of Statistics and Actuarial Sciences and Pennsylvania State University - Smeal College of Business
Downloads 164 (386,832)
Citation 4

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Optimal Exercise Behavior, Market Imperfections, Guaranteed Minimum Benefits, Life Settlements.

6.

Cheaper by the Bundle: The Interaction of Frictions and Option Exercise in Variable Annuities

Number of pages: 34 Posted: 12 Apr 2021
Daniel Bauer and Thorsten Moenig
University of Wisconsin-Madison and Temple University, Department of Risk, Insurance & Healthcare Management
Downloads 79 (659,513)
Citation 1

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Variable Annuities, market frictions, bundling, deferred taxation, policyholder behavior

7.

Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities

Number of pages: 55 Posted: 05 Mar 2021
Thorsten Moenig and Daniel Bauer
Temple University, Department of Risk, Insurance & Healthcare Management and University of Wisconsin-Madison
Downloads 66 (733,630)
Citation 6

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8.

Mortality Risk, Insurance, and the Value of Life

NBER Working Paper No. w25055
Number of pages: 61 Posted: 17 Sep 2018 Last Revised: 18 Jun 2023
Daniel Bauer, Darius Lakdawalla and Julian Reif
University of Wisconsin-Madison, University of Southern California and University of Illinois at Urbana-Champaign
Downloads 31 (1,011,676)
Citation 1

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