An Chen

University of Ulm

Professor

Helmholtzstrasse 20

Ulm, D-89081

Germany

http://www.uni-ulm.de/mawi/ivw/team

SCHOLARLY PAPERS

34

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3,533

CITATIONS
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Top 24,031

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11

Scholarly Papers (34)

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 327 (89,720)

Abstract:

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

2.

Merger and Acquisitions - Collar Contracts

Number of pages: 34 Posted: 20 Mar 2012 Last Revised: 18 Jun 2014
An Chen and Christian Hilpert
University of Ulm and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 298 (99,255)

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mergers & acquisitions, collar offer, walk-away option, pricing, welfare analysis

3.

New Performance-Vested Stock Option Schemes

Applied Financial Economics, Forthcoming
Number of pages: 41 Posted: 29 May 2010 Last Revised: 12 Nov 2012
University of Ulm, Stanford University - Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 208 (143,153)
Citation 1

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Executive Stock Options, Asian Options, Parisian Options

4.

Optimal Insurance Contract Design Under Mortality

Number of pages: 24 Posted: 15 Aug 2013 Last Revised: 25 Feb 2014
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Department of Mathematics and Economics
Downloads 187 (158,028)

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Cumulative prospect theory, Mortality, Life and pension insurance, Portfolio choice

5.

Target Date Funds: Marketing or Finance?

Number of pages: 24 Posted: 19 Mar 2015
University of Ulm, University of Ulm and Ulm University
Downloads 175 (167,662)

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Utility theory, Optimal asset allocation, Defined contribution, Target date fund

6.

A Utility-Based Comparison of Pension Funds and Life Insurance Companies under Regulatory Constraints

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 25 Posted: 28 Feb 2010 Last Revised: 10 Oct 2011
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, University of Ulm and University of Bonn - Department of Economics
Downloads 172 (170,302)
Citation 1

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Pension plans, barrier options, contingent claim approach, mean- variance-skewness analysis

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol 146, 2011
Number of pages: 25 Posted: 15 Feb 2010 Last Revised: 08 Sep 2011
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 101 (259,514)

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SAHARA utility, optimal investment problem, dual approach, utility indifference pricing

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol. 146, 2011
Number of pages: 26 Posted: 01 Jul 2011 Last Revised: 08 Sep 2011
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 66 (336,618)

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SAHARA utility, optimal investment problem, dual approach, utility indifference

8.

How Relative Compensation Can Lead to Herding Behavior

Number of pages: 34 Posted: 15 Feb 2013 Last Revised: 22 Dec 2013
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 161 (180,224)

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relative compensation, management compensation, herding, risk-aversion

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

Journal of Risk and Insurance, Forthcoming
Number of pages: 46 Posted: 12 Nov 2010 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 92 (276,016)
Citation 2

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Pension Plans, Regulation, Barrier Options, Rainbow Barrier Options, Guarantee Systems

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

De Nederlandsche Bank Working Paper No. 268
Number of pages: 48 Posted: 27 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 52 (379,382)
Citation 2

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Pension plans, regulation, barrier options, rainbow barrier options, guarantee systems

10.
Downloads 141 (201,092)
Citation 1

Valuation of Liabilities in Hybrid Pension Plans

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 30 Sep 2011
De Nederlandsche Bank, University of Ulm and De Nederlandsche Bank
Downloads 76 (310,855)
Citation 1

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Market consistent valuation, overlapping generations, forward risk adjusted measure

Valuation of Liabilities in Hybrid Pension Plans

De Nederlandsche Bank Working Paper No. 326
Number of pages: 37 Posted: 15 Dec 2011
De Nederlandsche Bank, University of Ulm and De Nederlandsche Bank
Downloads 65 (339,315)
Citation 1

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Market consistent valuation, overlapping generations, forward risk adjusted measure, Vasicek

11.

Optimal Casualty Insurance and Repair in the Presence of a Securities Market

Number of pages: 32 Posted: 16 Feb 2009 Last Revised: 30 Nov 2013
An Chen and Philip H. Dybvig
University of Ulm and Washington University in St. Louis - John M. Olin Business School
Downloads 140 (202,254)
Citation 1

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optimal casualty insurance, optimal regulation

12.

Optimal Investment with Time-Varying Stochastic Endowments

Number of pages: 25 Posted: 27 Jun 2014 Last Revised: 21 Jan 2015
University of Ulm, University of Ulm and Ulm University
Downloads 131 (213,364)

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Utility maximization, Hamilton-Jacobi-Bellman equation, stochastic endowment, viscosity solution

13.

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 117 (232,363)

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

14.

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 105 (251,025)

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

15.

In-Arrears Term Structure Products: No Arbitrage Pricing Bounds and the Convexity Adjustments

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 25 Posted: 19 Oct 2009 Last Revised: 16 Nov 2012
Klaus Sandmann and An Chen
University of Bonn - The Bonn Graduate School of Economics and University of Ulm
Downloads 103 (254,347)

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In-arrears Swaps, In-arrears Caps and Floors, Convexity Adjustments, Pricing Bounds, Risk-neutral Pricing, Change of Measure.

Utility-Equivalence of Pension Security Mechanisms

Number of pages: 28 Posted: 03 Jan 2012 Last Revised: 08 Jan 2014
An Chen, Dirk Broeders and Birgit Koos
University of Ulm, De Nederlandsche Bank and University of Bonn - Department of Economics
Downloads 74 (315,741)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

Utility-Equivalence of Pension Security Mechanisms

De Nederlandsche Bank Working Paper No. 414
Number of pages: 31 Posted: 29 Jan 2014
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, University of Ulm and University of Bonn - Department of Economics
Downloads 21 (520,902)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

17.

A Risk-Based Model for the Valuation of Pension Insurance

Insurance: Mathematics and Economics, Vol. 49, No. 3, 2011
Number of pages: 22 Posted: 30 Oct 2010 Last Revised: 16 Nov 2012
An Chen
University of Ulm
Downloads 90 (277,684)
Citation 2

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PBGC Insurance, Defined Benefit Plan, Correlation, Sponsor Support

18.

Optimal Investment and Consumption When Allowing Terminal Debt

Number of pages: 30 Posted: 11 Jul 2013
An Chen and Michel Vellekoop
University of Ulm and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 83 (292,053)

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SAHARA utility, optimal consumption and investment, dual approach

19.

A Risk-Based Premium: What Does It Mean for DB Plan Sponsors?

Number of pages: 40 Posted: 14 Mar 2012 Last Revised: 19 May 2013
An Chen and Filip Uzelac
University of Ulm and University of Bonn - The Bonn Graduate School of Economics
Downloads 80 (298,497)

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PBGC, Defined Benefit Plan, Distress Termination, Correlation, Sponsor Support

20.

Portability vs Asset Price and Contribution Risk: A Continuous-Time Expected Utility Comparisons of DB and DC Pension Plans

Number of pages: 25 Posted: 19 Oct 2012 Last Revised: 27 Feb 2013
An Chen and Filip Uzelac
University of Ulm and University of Bonn - The Bonn Graduate School of Economics
Downloads 77 (305,325)

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defined benefit plan, defined contribution plan, portability risk, asset price & contribution risk

21.

Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options

Journal of Banking and Finance, Vol. 34, No. 6, pp. 1201-1214
Number of pages: 34 Posted: 24 Aug 2009 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 72 (317,242)
Citation 3

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pension funds, DB and DC pension plans, barrier options, Parisian barrier options

22.

Optimal Investment for a Defined-Contribution Pension Scheme Under a Regime Switching Model

Number of pages: 23 Posted: 09 Jun 2014
An Chen and Lukasz Delong
University of Ulm and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 71 (319,741)

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DC plans, regime switching

23.

Incentive Compatible Compensation and Regulation

Number of pages: 23 Posted: 22 Feb 2013 Last Revised: 20 May 2014
An Chen
University of Ulm
Downloads 67 (329,896)

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executive stock option programmes, call spread, default probability, regulation

24.

Optimal Stock Option Schemes for Managers

Forthcoming, Review of Managerial Science
Number of pages: 34 Posted: 18 Jan 2012 Last Revised: 16 Aug 2013
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 64 (337,819)

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

25.

Optimal Payoff Schemes for Managers (Asymmetric Information Case)

Number of pages: 28 Posted: 18 Jan 2012
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 63 (340,592)

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

26.

Precommitted, Naive and Sophisticated Retirement Time Decision Making

Number of pages: 44 Posted: 09 Jan 2017
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Copenhagen
Downloads 55 (363,898)

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optimal retirement time, decision making, mortality, optimal consumption, investment

27.

Optimal Supervisory Rules for Pension Funds Under Diverse Pension Security Mechanisms

Number of pages: 30 Posted: 10 Nov 2013
An Chen and Simona Clever
University of Ulm and University of Ulm - Department of Mathematics and Economics
Downloads 49 (382,970)

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regulation, IORP, sponsor support, pension guarantee fund, risk measure

28.

Optimal Retirement Products Under Money and Mortality Illusion

Number of pages: 36 Posted: 03 Dec 2018 Last Revised: 14 Jan 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 29 (461,471)

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mortality illusion, money illusion, optimal retirement product design

29.

Knightian Uncertainty and Insurance Regulation Decision

Netspar Discussion Paper Series No. DP 2008-012
Number of pages: 25 Posted: 02 Sep 2008 Last Revised: 20 May 2011
An Chen and Xia Su
University of Ulm and University of Bonn - Economic Science Area
Downloads 22 (498,494)

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Ambiguity, ambiguity equity, optimal regulation, default and liquidation design

30.

Optimal Retirement Planning Under Partial Information

Number of pages: 28 Posted: 05 Dec 2018
Nicole Bäuerle and An Chen
University of Karlsruhe and University of Ulm
Downloads 20 (509,710)

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Partial Information, Optimal Consumption, Optimal Asset Allocation, CRRA

31.

Optimal Collective Investment: How Costly are Guarantees?

Number of pages: 33 Posted: 20 Sep 2018
An Chen, Thai Nguyen and Manuel Rach
University of Ulm, University of Ulm - Institute of Insurance Science and University of Ulm - Institute of Insurance Science
Downloads 20 (509,710)

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Collective investment problems, guarantee design, risk sharing

32.

Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities

Insurance: Mathematics and Economics, Vol. 40, No. 2, March 2007, 231-255
Posted: 08 Aug 2016
An Chen and Michael Suchanecki
University of Ulm and Deutsche Asset Management

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Equity-linked life insurance, Default risk, Liquidation risk, Contingent claims pricing, Parisian options, Bankruptcy procedures

33.

Parisian Exchange Options

Quantitative Finance, Vol. 11, No. 8, August 2011, 1207-1220
Posted: 08 Aug 2016
An Chen and Michael Suchanecki
University of Ulm and Deutsche Asset Management

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Parisian exchange options, Exotic options, Parisian options, Exchange options

34.

Mergers and Acquisitions: Collar Contracts

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 34 Posted: 24 Jun 2016
An Chen and Christian Hilpert
University of Ulm and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 0 (650,406)
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mergers and acquisitions, collar offer, derivative, risk management, walk-away option