Dr. Peter Hieber
By appointment (please send a short email in advance)
Ph.D., Focus: Mathematics, TU München.
M.Sc., Focus: Finance and Information Management, Universität Augsburg and TU München.
B.Sc., Focus: Mathematik, TU München.
Academic work experience
since 10/2019: DAAD-Prime Research Fellowship Université Catholique de Louvain, Belgium.
10/2018–09/2019: Professorship (W2) "Risk and Insurance", TU Munich.
03/2018–05/2018: PostDoc Université Catholique de Louvain, Prof. Pierre Devolder, Prof. Griselda Deelstra.
since 07/2014: PostDoc researcher at the Institute of Insurance Science, Ulm University, Prof. Dr. An Chen.
04/2010–07/2014: Scientific assistant at the Chair of Mathematical Finance, TU Munich, Prof. Dr. Matthias Scherer.
03/2012–10/2012, 03/2013–04/2013, 07/2013–09/2013: Research assistant at Ryerson University, Toronto, Prof. Dr. Marcos Escobar.
04/2009–11/2009: Research and teaching assistant at the University of Toronto, Prof. Dr. Luis Seco, Prof. Dr. Marcos Escobar.
Risk Management in Finance and Insurance.
The following work is still in progress:
- Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products: a universal 3-step method, working paper, 2018. [SSRN]
- Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under money and mortality illusion. working paper, 2018. [SSRN]
- Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. working paper, 2018.
- Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal, forthcoming, 2019.
- Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-stlye return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal, forthcoming, 2019. [SSRN]
- Chen, A.; Hieber, P.; Nguyen, T.: Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research, forthcoming, 2019. [Link] [SSRN]
- Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan. ASTIN Bulletin, forthcoming, 2019. [SSRN]
- Hieber, P.: Pricing exotic options in a regime switching economy: A Fourier transform method, Review of Derivatives Research, Vol. 21, pp. 231-252, 2018. [Link]
- 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, Vol. 72, pp. 138-147, 2017. [Link] [SSRN]
- Chen, A.; Hieber, P.: Optimal Asset Allocation in Life Insurance: The Impact of Regulation. ASTIN Bulletin, Vol. 46, No. 3, pp. 605–626, 2016. [Link] [SSRN]
- 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, Vol. 5, No. 2, pp. 11–28, 2015. [Link] [PDF]
- Hieber, P.: First-passage times of regime switching models. Statistics & Probability Letters, Vol. 92, pp. 148–157, 2014. [Link] [PDF]
- Escobar, M., Hieber, P., Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research, Vol. 17, No. 2, pp. 191–216, 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, Vol. 16, No. 3, pp. 771–776, 2014. [Link]
- Hieber, P., Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry, Vol. 19, No. 5, pp. 479–495, 2013. [Link]
- Fernández, L., Hieber, P., Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications, Vol. 19, No. 2, pp. 107–141, 2013. [Link] [PDF]
- Hieber, P., Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics & Probability Letters, Vol. 82, No. 1, pp. 165–172, 2012. [Link] [PDF]
- Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance, Vol. 18, No. 5, pp. 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. Journal of Private Equity, Vol. 15, No. 1, pp. 26–35, 2011. [Link]
- Hieber, P., Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics, Vol. 235, No. 3, pp. 679–685, 2010. [Link] [PDF]
Hieber, P.: First-exit times and their applications in default risk management, TU München, 2013. [PDF]
Awarded with theGauß Prize for Young Researchers 2013 and the Hamburg Dissertation Award in Insurance Science 2014