Peter Hieber

Université de Lausanne (UNIL), HEC Lausanne, Switzerland

 

Research interests

 This page gives some details on current research projects in Life and Pension Insurance.

Modern pension design, collective defined contribution, pooled annuities, tontines

As state pensions decline, we need additional funded layers and products to complement the existing retirement income. We work on products that reduce costs (administration costs, risk charges), but shift risks to the policyholder. Longevity risk is then shared within a pool and no insurance provider takes over risks (for a cost). Such products appear more and more on insurance markets (for example Tontine Trust, Le Conservateur). A recent overview of research in this area is: 

We discuss the design and fairness of such insurance pools, focusing on aspects of heterogeneity in age, health status and invested amount.


Actuarial Data Science in Life and Pension Insurance

The development of algorithms like neural networks, random forests and gradient boosting provides new tools in insurance to (1) speed-up numerical techniques or to (2) detect non-linear causalities in data. At the University of Lausanne, I teach

I taught summer schools in:

I am interested in research projects, applying machine learning algorithms in life and pension insurance.



Valuation in Finance and Insurance

The valuation of Life and Pension insurance products is interesting as they are hybrid products containing both financial and insurance risk. This asks to unify the difference of financial valuation (e.g.  by risk-neutral valuation) and insurance valuation (e.g. by premium principles based on the law of large numbers). Both concepts have there inherent strategies: hedging financial risk on financial markets and diversifying insurance risks by increasing portfolio size and pooling independent risks.



Optimal asset allocation, optimal contract design, insurance regulation

Investing for retirement, polichyolders aim for some minimal income (downside protection) while they want to participate in the upside potential of stock markets. Such asymmetric return distributions are achieved by dynamic investment strategies. We discuss optimal asset allocation and innovative contract design in these financial aspects. Asymmetric return distributions also appear in case of regulatory solvency constraints. 



Optimal investment in a flexibility rider product.



Guaranteed rates in a representative German life insurance portfolio.

Pooling participating life insurance contracts

We discuss the fairness of such insurance pools, focusing on aspects of heterogeneity in contract terms, mortality and sum insured.

This question of fairness is especially interesting in the current period of low and ultra-low interest rates.



First-passage time problems, ruin theory

The probability of a stochastic process to first breach an upper and/or a lower barrier level is an important quantity for optimal control and risk management. First-passage times have many applications for risk management and risk evaluation in Finance and Insurance, but also in different disciplines like Physics, Psychology, Hydrology or Biology. We derive first-passage time probabilities for a variety of processes, using efficient numerical schemes. 

Sample path with upper and lower barrier.