Peter Hieber
Cited by
Cited by
Tonuity: A novel individual-oriented retirement plan
A Chen, P Hieber, J Klein
ASTIN Bulletin 49 (1), 5-30, 2019
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
A Chen, P Hieber, T Nguyen
European Journal of Operational Research 273 (3), 1119-1135, 2019
A note on first-passage times of continuously time-changed Brownian motion
P Hieber, M Scherer
Statistics & Probability Letters 82 (1), 165-172, 2012
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
P Hieber, R Korn, M Scherer
European Actuarial Journal 5 (1), 11-28, 2015
Fair Valuation of Cliquet-Style Return Guarantees in (Homogeneous and) Heterogeneous Life Insurance Portfolios
P Hieber, J Natolski, R Werner
Scandinavian Actuarial Journal 2019 (6), 478-507, 2019
Efficiently pricing barrier options in a Markov-switching framework
P Hieber, M Scherer
Journal of Computational and Applied Mathematics 235 (3), 679-685, 2010
Pricing exotic options in a regime switching economy: a Fourier transform method
P Hieber
Review of Derivatives Research 21 (2), 231-252, 2018
Cliquet-style return guarantees in a regime switching Lévy model
P Hieber
Insurance: Mathematics and Economics 72, 138-147, 2017
Optimal Asset Allocation in Life Insurance: The Impact of Regulation
A Chen, P Hieber
ASTIN Bulletin 46 (3), 605-626, 2016
Optimal retirement products under subjective mortality beliefs
A Chen, P Hieber, M Rach
Insurance: Mathematics and Economics 101, 55-69, 2021
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
G Deelstra, P Devolder, K Gnameho, P Hieber
ASTIN Bulletin: The Journal of the IAA 50 (3), 709-742, 2020
First-passage times of regime switching models
P Hieber
Statistics & Probability Letters 92, 148-157, 2014
The risk appetite of private equity sponsors
R Braun, N Engel, P Hieber, R Zagst
Journal of Empirical Finance 18 (5), 815-832, 2011
Efficiently pricing double barrier derivatives in stochastic volatility models
M Escobar, P Hieber, M Scherer
Review of Derivatives Research 17 (2), 191-216, 2014
A correction note on: When the “Bull” meets the “Bear”—A first passage time problem for a hidden Markov process
P Hieber
Methodology and Computing in Applied Probability 16 (3), 771-776, 2014
Double-barrier first-passage times of jump-diffusion processes
L Fernández, P Hieber, M Scherer
Monte Carlo Methods and Applications 19 (2), 107-141, 2013
Modern life-care tontines
P Hieber, N Lucas
ASTIN Bulletin: The Journal of the IAA 52 (2), 563-589, 2022
Mortality credits within large survivor funds
M Denuit, P Hieber, CY Robert
ASTIN Bulletin: The Journal of the IAA 52 (3), 813-834, 2022
Modeling credit portfolio derivatives, including both a default and a prepayment feature
P Hieber, M Scherer
Applied Stochastic Models in Business and Industry 29 (5), 479-495, 2013
First-exit times and their applications in default risk management
P Hieber
Dissertation, Technische Universität München, 2013
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