Peter Hieber

Université de Lausanne

Lausanne

Switzerland

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 40,461

SSRN RANKINGS

Top 40,461

in Total Papers Downloads

1,464

SSRN CITATIONS
Rank 26,726

SSRN RANKINGS

Top 26,726

in Total Papers Citations

30

CROSSREF CITATIONS

5

Scholarly Papers (10)

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 Université de Lausanne
Downloads 375 (100,197)
Citation 1

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
Université de Lausanne, University of Augsburg and Universität Augsburg
Downloads 224 (171,518)
Citation 6

Abstract:

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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, Université de Lausanne and University of Ulm - Department of Mathematics and Economics
Downloads 222 (173,037)
Citation 15

Abstract:

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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, Université de Lausanne and University of Ulm - Institute of Insurance Science
Downloads 173 (216,677)
Citation 6

Abstract:

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

5.

Optimal Retirement Products under Subjective Mortality Beliefs

Insurance: Mathematics and Economics, forthcoming, 2020
Number of pages: 42 Posted: 03 Dec 2018 Last Revised: 17 Oct 2020
An Chen, Peter Hieber and Manuel Rach
University of Ulm, Université de Lausanne and University of Ulm - Institute of Insurance Science
Downloads 148 (246,987)
Citation 2

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

6.

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
Université de Lausanne
Downloads 98 (333,105)
Citation 1

Abstract:

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

7.

Modern Life-Care Tontines

Number of pages: 32 Posted: 27 Oct 2020 Last Revised: 21 Sep 2021
Peter Hieber and Nathalie Lucas
Université de Lausanne and Catholic University of Louvain (UCL)
Downloads 83 (369,453)

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mutual insurance, long-term care, morbidity and mortality risk, tontines, pooled annuities, life-care insurance

8.

Valuation of Hybrid Financial and Actuarial Products in Life Insurance by a novel 3-Step Method

ASTIN Bulletin, 50(3), pp. 709-742, 2020
Number of pages: 42 Posted: 09 Jan 2019 Last Revised: 23 Oct 2020
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and Université de Lausanne
Downloads 70 (407,021)
Citation 1

Abstract:

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

9.

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
Université de Lausanne
Downloads 50 (478,652)

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

10.

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, Université de Lausanne and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 21 (634,364)
Citation 2

Abstract:

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Risk Appetite, Equity Volatility, Private Equity