Peter Hieber

University of Ulm - Department of Mathematics and Economics

Helmholzstrasse

Ulm, D-89081

Germany

Catholic University of Louvain (UCL)

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

9

DOWNLOADS
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in Total Papers Downloads

1,091

SSRN CITATIONS
Rank 39,591

SSRN RANKINGS

Top 39,591

in Total Papers Citations

11

CROSSREF CITATIONS

4

Scholarly Papers (9)

1.

Optimal Asset Allocation in Life Insurance: The Impact of Regulation

ASTIN Bulletin, Vol. 46, No. 3 (2016), pp. 605-626
Number of pages: 28 Posted: 13 Jan 2015 Last Revised: 26 Sep 2016
An Chen and Peter Hieber
University of Ulm and University of Ulm - Department of Mathematics and Economics
Downloads 340 (92,770)

Abstract:

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regulation, life insurance, credit risk, barrier options, utility maximization, contract design

2.

Fair Valuation of Cliquet-Style Return Guarantees in (Homogeneous and) Heterogeneous Life Insurance Portfolios

Scandinavian Actuarial Journal, No. 6, pp. 478-507, 2019.
Number of pages: 38 Posted: 16 Jan 2016 Last Revised: 25 Aug 2019
Peter Hieber, Jan Natolski and Ralf Werner
University of Ulm - Department of Mathematics and Economics, University of Augsburg and Universität Augsburg
Downloads 224 (143,713)
Citation 3

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Life insurance, Fair valuation, Embedded options, Heterogeneous portfolios, Participating contracts, Return guarantee

3.

Tonuity: A Novel Individual-Oriented Retirement Plan

ASTIN Bulletin, Vol. 49, No. 1, pp. 5-30, 2019
Number of pages: 30 Posted: 28 Sep 2017 Last Revised: 06 Apr 2019
An Chen, Peter Hieber and Jakob Klein
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Department of Mathematics and Economics
Downloads 162 (192,812)
Citation 7

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longevity risk, tontines, pooled annuities, capital requirements, lifetime utility

4.

Constrained Non-Concave Utility Maximization: An Application to Life Insurance Contracts with Guarantees

European Journal of Operational Research, Vol. 273, No. 3, pp. 1119-1135, 2019
Number of pages: 40 Posted: 11 Aug 2017 Last Revised: 06 Dec 2018
An Chen, Peter Hieber and Thai Nguyen
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Institute of Insurance Science
Downloads 127 (234,983)
Citation 4

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optimal asset alllocation, insurance contract design, investment guarantee, utility maximization

5.

Cliquet-Style Return Guarantees in a Regime Switching Lévy Model

Insurance: Mathematics and Economics, Vol. 72 (2017), pp. 138-147
Number of pages: 23 Posted: 08 Jul 2016 Last Revised: 15 Dec 2016
Peter Hieber
University of Ulm - Department of Mathematics and Economics
Downloads 91 (296,279)
Citation 1

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insurance contracts, cliquet-style guarantee, ratchet-type guarantee, annual guarantee, regime switching, Lévy model, Fourier pricing.

6.

Optimal Retirement Products under Subjective Mortality Beliefs

Number of pages: 36 Posted: 03 Dec 2018 Last Revised: 20 Oct 2019
An Chen, Peter Hieber and Manuel Rach
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Institute of Insurance Science
Downloads 56 (387,461)

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Behavioral insurance, subjective mortality beliefs, optimal retirement product design, tontine, annuity

7.

First Passage Times of Regime Switching Models

Statistics & Probability Letters, Vol. 92, pp. 148-157, 2014.
Number of pages: 16 Posted: 12 Jan 2015
Peter Hieber
University of Ulm - Department of Mathematics and Economics
Downloads 49 (411,254)

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first-exit time, first-passage time, regime switching, Markov switching, option pricing.

8.

Valuation of Hybrid Financial and Actuarial Products in Life Insurance: A Universal 3-Step Method

Number of pages: 40 Posted: 09 Jan 2019 Last Revised: 30 Dec 2019
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and University of Ulm - Department of Mathematics and Economics
Downloads 36 (462,723)

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financial risk, actuarial valuation, (un)systematic mortality risk, contract valuation, risk decomposition, hedging

9.

The Risk Appetite of Private Equity Sponsors

Journal of Empirical Finance, Vol. 18, No. 5, pp. 815-832
Number of pages: 35 Posted: 19 Jan 2011 Last Revised: 25 Aug 2019
Reiner Braun, Nico Engel, Peter Hieber and Rudi Zagst
Technische Universität München (TUM) - TUM School of Management, Technische Universität München - Center for Entrepreneurial and Financial Studies, University of Ulm - Department of Mathematics and Economics and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 6 (639,482)
Citation 2

Abstract:

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Risk Appetite, Equity Volatility, Private Equity