Full list of publications
Full list of publications
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For a description of research projects, see here.
Working papers, work in progress:
Chen, A.; Hieber, P.; Sureth-Sloane, C.: Fee-Based Tax Certainty - Advance Tax Rulings, Multi-Dimensional Tax Uncertainty, and Risky Investment, working paper, 2022. [SSRN]
Presented at: Ulm-Kaiserslautern seminar 2021, MAF Turino 2022, 44th Annual Congress of the European Accounting Association Bergen 2022, Tübingen seminar 2022, Paderborn seminar 2022.Chen, A.; Hieber, P.; Nguyen, T.: Pareto optimal investments and contracting for non-linear payoffs, working paper, 2023. [SSRN]
Barigou, K.; Hieber, P.: Self-hedging participating life insurance contracts, work in progress, 2024.
Günther, S.; Hieber, P.: Modern pension design by refundable income tontines, working paper, 2025. [SSRN]
Presented at: FADeRiS workshop 2024 at Ulm University, Joint Colloquium (JoCo) of the International Actuarial Association in Brussels 2024, European Actuarial Journal Conference (EAJ) in Lisbon 2024, MAF conference in Le Havre 2024.
Peer-reviewed articles in Actuarial Science, (IAA = International Actuarial Association):
Aragona, M.; Günther, S.; Hieber, P.: Efficiently computing annuity conversion factors via feed-forward neural networks, Annals of Actuarial Science, in press, 2025. [Link] (open access)
Denuit, M.; Dhaene, J.; Feng, R.; Hieber, P.; Robert, C.Y.: Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes, Annals of Actuarial Science, 18(2), 237-241, 2024. [Link] (open access)
Günther, S.; Hieber, P.: Analyzing the interest rate risk of equity-indexed annuities via scenario matrices, Insurance: Mathematics and Economics, 114, 15-28, 2024. [SSRN] [Link] (open access)
Günther, S.; Hieber, P.: Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model, European Actuarial Journal, 14, 905-928, 2024. [Link] (open access)
Deelstra, G.; Hieber, P.: Randomization and the valuation of Guaranteed Minimum Death Benefits, European Journal of Operational Research, 309(3), 1218-1236, 2023. [Link] [SSRN] (open access)
Denuit, M.; Hieber, P.; Robert, C.Y.: Mortality credits within large survivor funds. ASTIN Bulletin: The Journal of the IAA, 52(3), 813-834, 2022. [Link] (open access)
Hieber, P.; Lucas, N.: Modern life-care tontines, ASTIN Bulletin: The Journal of the IAA, 52(2), 563-589, 2022. [Link] (open access, awarded the ASTIN-AFIR 2021 and the IAAHS 2024 best paper award)
Hanna, V.; Devolder, P.; Hieber, P.: Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. Scandinavian Actuarial Journal, 2022(5), 421-446, 2022. [Link] [actuview]
Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under subjective mortality beliefs. Insurance: Mathematics and Economics, Vol. 101(A), 55-69, 2021. [Link] (open access)
Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products in life insurance by a novel 3-step method, ASTIN Bulletin: The Journal of the IAA, 50(4), 709-742, 2020. [Link] (open access)
Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal, 2020(1), 30-43, 2020. [Link]
Chen, A.; Hieber, P.; Nguyen, T.: Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3), 1119-1135, 2019. [Link] [SSRN]
Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal, 2019(6), 478-507, 2019. [Link] [SSRN]
Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan. ASTIN Bulletin: The Journal of the IAA, 49(1), 5-30, 2019. [Link] (open access, awarded the ASTIN-PBSS best paper award)
Hieber, P.: Cliquet-style return guarantees in a regime switching Lévy model, Insurance: Mathematics and Economics, Cliquet-style return guarantees in a regime switching Lévy model, 72, 138-147, 2017. [Link] [SSRN]
Chen, A.; Hieber, P.: Optimal Asset Allocation in Life Insurance: The Impact of Regulation. ASTIN Bulletin: The Journal of the IAA, 46(3), 605–626, 2016. [Link] (open access)
Hieber, P.; Korn, R.; Scherer, M.: Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal, 5(2), 11–28, 2015. [Link] [PDF]
Main scientific journals in Actuarial Science / Actuarial Mathematics (and related disciplines):
Peer-reviewed articles in Mathematical Finance:
Hieber, P.: Pricing exotic options in a regime switching economy: A Fourier transform method, Review of Derivatives Research, 21, 231-252, 2018. [Link]
Escobar, M., Hieber, P., Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research, 17(2), 191–216, 2014. [Link] [PDF]
Hieber, P., Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry, 19(5), 479–495, 2013. [Link]
Fernández, L., Hieber, P., Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications, 19(2), 107–141, 2013. [Link] [PDF]
Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance, 18(5), 815–832, 2011. [Link] [PDF]
Escobar, M., Hieber, P., Scherer, M.; Seco, L.: Portfolio optimization in a multidimensional structural-default model with a focus on private equity. The Journal of Private Equity, 15(1), 26–35, 2011. [Link]
Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework, Journal of Computational and Applied Mathematics, 235, 679–685, 2010. [Link] (open access)
Peer-reviewed articles in Probability:
Hieber, P.: First-passage times of regime switching models. Statistics & Probability Letters, 92, 148–157, 2014. [Link] [PDF]
Hieber, P.: A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process. Methodology and Computing in Applied Probability, 16(3), 771–776, 2014. [Link]
Hieber, P., Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics & Probability Letters, 82(1), 165–172, 2012. [Link] [PDF]
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