Peter Hieber

Université de Lausanne

Lausanne

Switzerland

  • Université de Lausanne

SCHOLARLY PAPERS

16

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3,446

TOTAL CITATIONS
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Top 17,615

in Total Papers Citations

43

Scholarly Papers (16)

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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
Ulm University - Institute of Insurance Science and Université de Lausanne
Downloads 451 (137,869)
Citation 1

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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 395 (160,507)
Citation 7

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

3.

Optimal Retirement Products under Subjective Mortality Beliefs

Insurance: Mathematics and Economics, Vol. 101 (2021), pp. 55-69
Number of pages: 42 Posted: 03 Dec 2018 Last Revised: 22 Mar 2022
An Chen, Peter Hieber and Manuel Rach
Ulm University - Institute of Insurance Science, Université de Lausanne and University of St. Gallen
Downloads 377 (169,054)
Citation 2

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

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
Ulm University - Institute of Insurance Science, Université de Lausanne and Ulm University - Institute of Insurance Science
Downloads 363 (176,352)
Citation 6

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

5.

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
Ulm University - Institute of Insurance Science, Université de Lausanne and Ulm University - Department of Mathematics and Economics
Downloads 356 (180,166)
Citation 22

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

6.

Analyzing The Interest Rate Risk of Equity-Indexed Annuities Via Scenario Matrices

Insurance: Mathematics and Economics, Vol. 114, 2024, pp. 15-18
Number of pages: 28 Posted: 23 Jan 2023 Last Revised: 29 Feb 2024
Sascha Günther and Peter Hieber
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Université de Lausanne
Downloads 213 (305,326)

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Equity-indexed annuities, cliquet-style guarantees, Vasicek model, stochastic interest rates

7.

Modern life-care tontines

ASTIN Bulletin, 52(2), pp. 563-589, 2022
Number of pages: 26 Posted: 27 Oct 2020 Last Revised: 12 May 2022
Peter Hieber and Nathalie Lucas
Université de Lausanne and Catholic University of Louvain (UCL)
Downloads 202 (320,938)

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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: 22 Mar 2022
Griselda Deelstra, Pierre Devolder, Kossi Gnameho and Peter Hieber
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and Université de Lausanne
Downloads 171 (373,256)
Citation 1

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

9.

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 149 (419,612)
Citation 1

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insurance contracts, cliquet-style guarantee, ratchet-type guarantee, annual guarantee, regime switching, Lévy model, Fourier 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 144 (431,337)
Citation 2

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Risk Appetite, Equity Volatility, Private Equity

11.

Pay for Tax Certainty? Advance Tax Rulings for Risky Investment under Multi-Dimensional Tax Uncertainty

Number of pages: 47 Posted: 09 Feb 2022 Last Revised: 01 Dec 2022
An Chen, Peter Hieber and Caren Sureth-Sloane
Ulm University - Institute of Insurance Science, Université de Lausanne and Paderborn University
Downloads 132 (462,631)

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advanced tax ruling, cash flow uncertainty, loss offset provisions, optimal fee, optimal investment, tax uncertainty

12.

Efficiently Computing Annuity Conversion Factors via Feed-Forward Neural Networks

Number of pages: 14 Posted: 05 Feb 2024 Last Revised: 12 Feb 2025
Maria Aragona, Sascha Günther and Peter Hieber
University of Torino, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Université de Lausanne
Downloads 129 (471,094)

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deep learning, feed-forward neural networks, least-squares Monte-Carlo, annuity factor, Lee-Carter model

13.

Randomization and the Valuation of Guaranteed Minimum Death Benefits

European Journal of Operational Research, 309(3), pp. 1218-1236, 2023.
Number of pages: 36 Posted: 07 Jun 2022 Last Revised: 29 Feb 2024
Griselda Deelstra and Peter Hieber
Université Libre de Bruxelles (ULB) and Université de Lausanne
Downloads 107 (543,283)
Citation 1

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Erlangization; risk analysis; variable annuities; regime switching; phase-type distributions

14.

Pareto-Optimal Investments and Contracting for Non-linear Payoffs

Number of pages: 30 Posted: 16 Jan 2024
An Chen, Peter Hieber and Thai Nguyen
Ulm University - Institute of Insurance Science, Université de Lausanne and Ulm University - Institute of Insurance Science
Downloads 98 (578,361)

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Contracts with non-linear elements, dynamic portfolio planning, non-concave utility maximization, Pareto optimality

15.

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 82 (645,875)

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

16.

Modern pension design by refundable income tontines

Number of pages: 26 Posted: 13 Dec 2024
Sascha Günther and Peter Hieber
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Université de Lausanne
Downloads 77 (669,552)

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tontines, money-back guarantee, refundable income annuities JEL Classification: C53