Research output per year
Research output per year
- 26 results
Search results
-
2024
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
Günther, S. & Hieber, P., Jan 2024, In: Insurance: Mathematics and Economics. 114, p. 15-28 14 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes
Denuit, M., Dhaene, J., Feng, R., Hieber, P. & Robert, C. Y., 1 Jul 2024, In: Annals of Actuarial Science. 18, 2, p. 237-241 5 p.Research output: Contribution to journal › Editorial
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Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
Günther, S. & Hieber, P., 2024, (Accepted/In press) In: European Actuarial Journal.Research output: Contribution to journal › Article › peer-review
Open Access -
2023
Randomization and the valuation of guaranteed minimum death benefits
Deelstra, G. & Hieber, P., 16 Sep 2023, In: European Journal of Operational Research. 309, 3, p. 1218-1236 19 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Scopus citations -
2022
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
Hanna, V., Hieber, P. & Devolder, P., 2022, In: Scandinavian Actuarial Journal. 2022, 5, p. 421-446 26 p.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
MODERN LIFE-CARE TONTINES
Hieber, P. & Lucas, N., 5 May 2022, In: ASTIN Bulletin. 52, 2, p. 563-589 27 p.Research output: Contribution to journal › Article › peer-review
Open Access15 Scopus citations -
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS
Denuit, M., Hieber, P. & Robert, C. Y., 15 Sep 2022, In: ASTIN Bulletin. 52, 3, p. 813-834 22 p.Research output: Contribution to journal › Article › peer-review
Open Access7 Scopus citations -
2021
Optimal retirement products under subjective mortality beliefs
Chen, A., Hieber, P. & Rach, M., Nov 2021, In: Insurance: Mathematics and Economics. 101, p. 55-69 15 p.Research output: Contribution to journal › Article › peer-review
Open Access12 Scopus citations -
2020
Regulatory measures for distressed insurance undertakings: a comparative study
Chen, A., Hieber, P. & Lämmlein, L., 2 Jan 2020, In: Scandinavian Actuarial Journal. 2020, 1, p. 30-43 14 p.Research output: Contribution to journal › Article › peer-review
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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
Deelstra, G., Devolder, P., Gnameho, K. & Hieber, P., 1 Sep 2020, In: ASTIN Bulletin. 50, 3, p. 709-742 34 p.Research output: Contribution to journal › Article › peer-review
Open Access16 Scopus citations -
2019
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
Chen, A., Hieber, P. & Nguyen, T., 16 Mar 2019, In: European Journal of Operational Research. 273, 3, p. 1119-1135 17 p.Research output: Contribution to journal › Article › peer-review
26 Scopus citations -
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
Hieber, P., Natolski, J. & Werner, R., 3 Jul 2019, In: Scandinavian Actuarial Journal. 2019, 6, p. 478-507 30 p.Research output: Contribution to journal › Article › peer-review
18 Scopus citations -
TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
Chen, A., Hieber, P. & Klein, J. K., 1 Jan 2019, In: ASTIN Bulletin. 49, 1, p. 5-30 26 p.Research output: Contribution to journal › Article › peer-review
Open Access41 Scopus citations -
2018
Pricing exotic options in a regime switching economy: a Fourier transform method
Hieber, P., 1 Jul 2018, In: Review of Derivatives Research. 21, 2, p. 231-252 22 p.Research output: Contribution to journal › Article › peer-review
16 Scopus citations -
2017
Cliquet-style return guarantees in a regime switching Lévy model
Hieber, P., 1 Jan 2017, In: Insurance: Mathematics and Economics. 72, p. 138-147 10 p.Research output: Contribution to journal › Article › peer-review
21 Scopus citations -
2016
Optimal Asset Allocation in Life Insurance: The Impact of Regulation
Chen, A. & Hieber, P., 1 Sep 2016, In: ASTIN Bulletin. 46, 3, p. 605-626 22 p.Research output: Contribution to journal › Article › peer-review
Open Access11 Scopus citations -
2015
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
Hieber, P., Korn, R. & Scherer, M., 1 Jul 2015, In: European Actuarial Journal. 5, 1, p. 11-28 18 p.Research output: Contribution to journal › Article › peer-review
17 Scopus citations -
2014
A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process
Hieber, P., Sep 2014, In: Methodology and Computing in Applied Probability. 16, 3, p. 771-776 6 p.Research output: Contribution to journal › Article › peer-review
8 Scopus citations -
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, M., Hieber, P. & Scherer, M., 1 Jul 2014, In: Review of Derivatives Research. 17, 2, p. 191-216 26 p.Research output: Contribution to journal › Article › peer-review
7 Scopus citations -
First-passage times of regime switching models
Hieber, P., Sep 2014, In: Statistics and Probability Letters. 92, p. 148-157 10 p.Research output: Contribution to journal › Article › peer-review
Open Access12 Scopus citations -
2013
Double-barrier first-passage times of jump-diffusion processes
Fernández, L., Hieber, P. & Scherer, M., Jul 2013, In: Monte Carlo Methods and Applications. 19, 2, p. 107-141 35 p.Research output: Contribution to journal › Article › peer-review
Open Access8 Scopus citations -
Modeling credit portfolio derivatives, including both a default and a prepayment feature
Hieber, P. & Scherer, M., Sep 2013, In: Applied Stochastic Models in Business and Industry. 29, 5, p. 479-495 17 p.Research output: Contribution to journal › Article › peer-review
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2012
A note on first-passage times of continuously time-changed Brownian motion
Hieber, P. & Scherer, M., Jan 2012, In: Statistics and Probability Letters. 82, 1, p. 165-172 8 p.Research output: Contribution to journal › Article › peer-review
20 Scopus citations -
2011
Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar, M., Hieber, P., Scherer, M. & Seco, L., Dec 2011, In: Journal of Private Equity. 15, 1, p. 26-35 10 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
The risk appetite of private equity sponsors
Braun, R., Engel, N., Hieber, P. & Zagst, R., Dec 2011, In: Journal of Empirical Finance. 18, 5, p. 815-832 18 p.Research output: Contribution to journal › Article › peer-review
6 Scopus citations -
2010
Efficiently pricing barrier options in a Markov-switching framework
Hieber, P. & Scherer, M., 1 Dec 2010, In: Journal of Computational and Applied Mathematics. 235, 3, p. 679-685 7 p.Research output: Contribution to journal › Article › peer-review
Open Access18 Scopus citations