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.

Research interests

• Life and Pension Insurance, Mathematical Finance, Actuarial Data Science.

• Insurance contract design, contract valuation and (portfolio) risk management.

• Behavioral insurance, adverse selection, moral hazard.

• Optimal control, optimal asset allocation.

Publications

Actuarial Science:

• Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products in life insurance by a novel 3-step method, ASTIN Bulletin, forthcoming, 2020. [Link] (open access)

• Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under subjective mortality beliefs. Insurance: Mathematics and Economics, forthcoming, 2020. [Link] [SSRN]

• Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal, Vol. 2020, No. 1, pp. 30-43 , 2020. [Link]

• Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal, No. 6, pp. 478-507, 2019. [Link]  [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, Vol. 273, No. 3, pp. 1119-1135, 2019. [Link]  [SSRN]

• Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan. ASTIN Bulletin, Vol. 49, No. 1, pp. 5-30, 2019. [Link] (open access)

• 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] (open access)

• 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]

Mathematical Finance:

• 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]

• 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., 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]

• 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. The 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, pp. 679–685, 2010. [Link]  (open access)

Probability:

• Hieber, P.: First-passage times of regime switching models. Statistics & Probability Letters, Vol. 92, pp. 148–157, 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.: 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]

Dissertation

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