Dr. Peter Hieber

Consultation hour

By appointment
(please send me a short email in advance)


  • Dr. rer. nat., main field: Mathematics, TU Munich.

  • M.Sc., main field: Finance and Information Management, University of Augsburg and TU Munich.

  • B.Sc., main field: Mathematics, TU Munich.



  • WS 2017/18: Life-, Health- and Pension-Mathematics
  • WS 2017/18: Spezielle Aspekte der Versicherungswirtschaft (Seminar, Master)

  • SS 2017: Insurance Economics
  • SS 2017: Practical Actuarial Science

  • WS 2015/16: Selected Topics in Life and Pension Insurance
  • WS 2015/16: Special Aspects of Insurance Science (seminar, master)

  • SS 2015: Selected Topics in Actuarial Science: Stochastic Models in Life Insurance

  • SS 2015: Special Aspects of Insurance Science (seminar, master)

  • WS 2014/15: Introduction to Insurance Science (brush-up course)

  • WS 2014/15: Accounting for Actuaries



Academic work experience

  • 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.


Research interests

  • Actuarial Science.

  • Risk Management in Finance and Insurance.

  • Credit risk.

  • Derivative pricing.


Working papers

The following work is still in progress:

  • Chen, A.; Hieber, P.; Nguyen, T.: Funding life insurance contracts with guarantees: How can we optimally respond to the policyholder's needs? working paper, 2017. [SSRN]

  • Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan. working paper, 2016. [SSRN]

  • Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-stlye return guarantees in (homogeneous and) heterogeneous life insurance portfolios. working paper, 2016. [SSRN]

  • Hieber, P.: Pricing exotic options in a regime switching economy: A Fourier transform method, Review of Derivatives Research, forthcoming. [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. [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 the Gauß Prize for Young Researchers 2013 and the Hamburg Dissertation Award in Insurance Science 2014.