Peter Hieber

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model European Actuarial Journal	2024-12-05	Paper
Modeling credit portfolio derivatives, including both a default and a prepayment feature Applied Stochastic Models in Business and Industry	2024-07-10	Paper
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices Insurance Mathematics & Economics	2024-02-13	Paper
Randomization and the valuation of guaranteed minimum death benefits European Journal of Operational Research	2023-07-10	Paper
Mortality credits within large survivor funds ASTIN Bulletin	2022-11-04	Paper
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy Scandinavian Actuarial Journal	2022-06-13	Paper
Modern life-care tontines ASTIN Bulletin	2022-06-13	Paper
Optimal retirement products under subjective mortality beliefs Insurance Mathematics & Economics	2021-11-19	Paper
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method ASTIN Bulletin	2020-12-13	Paper
Regulatory measures for distressed insurance undertakings: a comparative study Scandinavian Actuarial Journal	2020-01-17	Paper
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios Scandinavian Actuarial Journal	2019-08-09	Paper
Tonuity: a novel individual-oriented retirement plan ASTIN Bulletin	2019-03-27	Paper
Pricing exotic options in a regime switching economy: a Fourier transform method Review of Derivatives Research	2018-11-09	Paper
OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ASTIN Bulletin	2018-06-04	Paper
Cliquet-style return guarantees in a regime switching Lévy model Insurance Mathematics & Economics	2017-01-31	Paper
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees European Actuarial Journal	2015-07-29	Paper
Efficiently pricing double barrier derivatives in stochastic volatility models Review of Derivatives Research	2015-01-23	Paper
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	2014-12-05	Paper
First-passage times of regime switching models Statistics & Probability Letters	2014-07-15	Paper
Double-barrier first-passage times of jump-diffusion processes Monte Carlo Methods and Applications	2013-08-28	Paper
A note on first-passage times of continuously time-changed Brownian motion Statistics & Probability Letters	2011-12-28	Paper
Efficiently pricing barrier options in a Markov-switching framework Journal of Computational and Applied Mathematics	2010-10-11	Paper

Research outcomes over time

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