Full list of publications
For a description of research projects, see here.
Working papers, work in progress:
Günther, S.; Hieber, P.: Analyzing the interest rate risk of equity-indexed annuities via scenario matrices, Insurance: Mathematics and Economics, in press, 2024. [SSRN] [Link]
Presented at: L2 Lyon-Lausanne 2022, Freiburg seminar 2023, Afmath Conference Brussels 2023, PARTY conference Valencia 2023, IME 2023.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]
Günther, S.; Hieber, P.: Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model, European Actuarial Journal, in press, 2024.
Aragona, M.; Günther, S.; Hieber, P.: Efficiently computing annuity conversion factors via feed-forward neural networks, working paper, 2023. [SSRN]
Barigou, K.; Hieber, P.: Self-hedging participating life insurance contracts, working paper, 2024.
Peer-reviewed articles in Actuarial Science, (IAA = International Actuarial Association):
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 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]