Prof. Dr. An Chen (Institutsleitung)

 

Adresse

Prof. Dr. An Chen
Institut für Versicherungswissenschaften
Universität Ulm
89069 Ulm

Kontaktdaten

E-Mail: Opens window for sending emailAn Chen
Raum: Helmholtzstrasse 20 / Raum 1.68
Tel:  +49 (0)731/50-31183
Fax: +49 (0)731/50-31188

Sprechstunde

Sprechstunde nach Vereinbarung.

Lebenslauf


Personal Information

  • Place of Birth: Zhejiang, China
  • Languages: Chinese (native), German(fluent), English (fluent)

Professional Experiences

  • Sep. 2012-present: Full professor at the University of Ulm, Germany
  • Oct. 2009-Aug. 2012:  Assistant professor at the University of Bonn, Germany      
  • Sep. 2008-Aug. 2009, Acting professor (Lehrstuhlvertretung) at the Department of Economics, University Bonn,  Germany
  • Jan. 2007-Aug. 2008, Postdoctoral fellow at the University of Amsterdam,
    The Netherlands

Studies

  • Oct. 2000-Sep. 2003: Diplomvolkswirtin (M.Sc.), University of Bonn
  • Oct. 2003-Dec. 2006: Ph.d study, Bonn Graduate School of Economics

Ph.D. Students

  • University of Ulm: Felix Hentschel, Jakob Klein
  • University of Bonn: Chunli Cheng, Christian Hilpert, Filip Uzelac

Forschung


Forschungsschwerpunkte

  • Life and Pension Insurance 
  • Pension guarantee mechanism
  • Exotic options: Parisian options
  • Executive compensation

 

Publikationen


 Peer-reviewed publications

  • "Optimal asset allocation in life insurance: the impact of regulation", with Peter Hieber, forthcoming in ASTIN Bulletin.
  • "A utility- and CPT-based comparison of life insurance contracts with guarantees" (2015), with Felix Hentschel and Jakob Klein, Journal of Banking and Finance, 61, 327–339. [Opens external link in new windowlink]

  • "Mergers and Acquisitions: collar contracts" (2015), with Christian Hilpert, Journal of Risk, 17(4), 101-133. [Opens external link in new windowlink]

  • "Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model" (2015), with Lukasz Delong, ASTIN Bulletin, 45(2), 397-419. [Opens external link in new windowlink]

  • "Optimal supervisory rules for pension funds under diverse pension security mechanisms" (2015), with Simona Clever, European Actuarial Journal, 5(1), 29-53. [Opens external link in new windowlink]

  • "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans" (2015), with Filip Uzelac, Risks, 3(1), 77-102. [Opens external link in new windowlink]

  • "A risk-based premium: what does it mean for DB plan sponsors" (2014), with Filip Uzelac; Insurance: Mathematics and Economics 54(C), 1-11. [Opens external link in new windowlink]

  • "Incentive compatible compensation and regulation" (2014);  Applied Economics 46(25), 3074-3081. [Opens external link in new windowlink]

  • "Optimal stock option schemes for managers" (2014), with Markus Pelger; Review of Managerial Science, 8, 437-464. [Opens external link in new windowlink]

  • "Pension benefit security: A comparison of solvency requirements, a pension guarantee fund and sponsor support" (2013), with Dirk Broeders; Journal of Risk and Insurance, 80(2), 239-272. [Opens external link in new windowlink]

  • "Valuation of hybrid pension liabilities" (2013), with Dirk Broeders and David Rijsbergen; Applied Financial Economics, 23(15), 1215-1229. [Opens external link in new windowlink]

  • "New performance-vested stock option schemes" (2013), with Markus Pelger and Klaus Sandmann; Applied Financial Economics,  23(8), 709-727. [Opens external link in new windowlink]

  • "In Arrear term structure products: no arbitrage pricing bounds and the convexity adjustments " (2012), with Klaus Sandmann;  International Journal of Theoretical And Applied Finance, 15(8), 1-24. [Opens external link in new windowlink]

  • "A risk-based model for the valuation of pension insurance" (2011);  Insurance: Mathematics and Economics, 49(3), 401-409. [Opens external link in new windowlink]

  • "Modeling non-monotone risk aversion using SAHARA utility functions" (2011), with Antoon Pelsser and Michel Vellekoop. Journal of Economic Theory, 146(5), 2075-2092. [Opens external link in new windowlink]

  • "A utility-based comparison of pension funds and life insurance companies under regulatory constraints" (2011), with Dirk Broeders and Birgit Koos. Insurance: Mathematics and Economics, 49(1), 1-10. [Opens external link in new windowlink]

  • "Parisian exchange option" (2011), with Michael Suchanecki. Quantitative Finance, 11(8), 1207-1220. [Opens external link in new windowlink]

  • "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options" (2010),  with Dirk Broeders. Journal of Banking and Finance, 34(6), 1201-1214. [Opens external link in new windowlink]

  • "On the regulator-insurer-interaction in a structural model"  (2009), with Carole Bernard.  Journal of Computational and Applied Mathematics 233, 3-15. [Opens external link in new windowlink]

  • "Knightian uncertainty and insurance regulation decision" (2009),  with Xia Su. Decisions in Economics and Finance, 32, 13-33. [Opens external link in new windowlink]

  • "On the cost of regulation under Solvency II" (2008),  with Carole Bernard and Antoon Pelsser. Life and Pensions, 4(6), 36-40. [Opens external link in new windowlink

  • "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008). Insurance: Mathematics and Economics, 42, 1035-1049. [Opens external link in new windowlink]

  • "Endowment assurance products-effectiveness of risk-minimizing strategies under Model Risk" (2008), with Antje B. Mahayni. Asia-Pacific Journal of Risk and Insurance, 2(2) , 47-74. [Opens external link in new windowlink]

  • "Default risk, bankruptcy procedures and the market value of life insurance liabilities" (2007), with Michael Suchanecki. Insurance: Mathematics and Economics, 40(2), 231-255. [Opens external link in new windowlink]

 

 

Other Publications

 

  • "Regulators under uncertainty: the impact of model uncertainty and information asymmetry'' (2010), with Xia Su. Book chapter in Risk Books and Journals.
  • "Hedging guarantees under interest rate and mortality risk" (2007), with Antje B. Mahayni. Proceedings of 5th Actuarial and Financial Mathematics Day, February 9, 2007, Royal Flemish Academy of Belgium for Science and the Arts, Brussels, 2007, 43-54.

 

Working Papers

    • Opens external link in new window "Target Date Funds: Marketing or Finance?", with Carla Mereu and Robert Stelzer, preprint.

    • "Precommitted optimal retirement time: what makes an individual retire early", with Felix Hentschel and Xian Xu, preprint.

    • "A unisex stochastic mortality model to comply with EU Gender Directive", with Elena Vigna, preprint.

    • Optimal investment under VaR-Regulation and Minimum Insurance, with Thai Nguyen and Mitja Stadje, preprint.