Prof. Dr. An Chen (Head of Institute)
By email appointment
- Place of Birth: Zhejiang, China
- Languages: Chinese (native), German(fluent), English (fluent)
- Sep. 2012-present: Full professor at the University of Ulm, Germany
- 2012: Offer of a Chair in Finance, University of Duisburg-Essen, Germany
- 2012: Offer of an Associate Professorship in Finance, University of Luxembourg
- Oct. 2009-Aug. 2012: Assistant professor at the University of Bonn, Germany
- 2009: Offer of an Assistant Professorship in Actuarial Science, University of Amsterdam
- 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, Netherlands
- 2007: Ph.D. in economics, University of Bonn, Germany
- Oct. 2003-Dec. 2006: Ph.D study, Bonn Graduate School of Economics, Germany
- 2001 - 2003: Student assistant at the Department of economics (BWL-III Lehrstuhl, Prof Dr. Klaus Sandmann)
- Oct. 2000-Sep. 2003: Diplomvolkswirtin (M.Sc.), University of Bonn, Germany
Information about the Fudan exchange can be found here.
- Current PhD Students Ulm University: Felix Hentschel, Jakob Klein, Nils Sørensen
- Former PhD Students University of Bonn: Chunli Cheng, Christian Hilpert, Filip Uzelac
- 2018 - present: member of Editorial Board, ASTIN-Bulletin - The Journal of the International Actuarial Association
- Life and Pension Insurance
- Pension guarantee mechanism
- Exotic options: Parisian options
- Executive compensation
- "Risk management with multiple VaR constraints " (2018), with Thai Nguyen and Mitja Stadje, accepted by Mathematical Methods of Operations Research.
- "Solvency requirement in a unisex mortality model" (2018), with Montserrat Guillen and Elena Vigna, accepted by ASTIN Bulletin.
- " Optimal investment under VaR-Regulation and Minimum Insurance" (2018), with Thai Nguyen and Mitja Stadje, accepted by Insurance: Mathematics and Economics.
- "Optimal retirement time under habit persistence: what makes individuals retire early?" (2018), with Felix Hentschel and Xian Xu, Scandinavian Actuarial Journal, 3, 225-249. [link]
- "A unisex stochastic mortality model to comply with EU Gender Directive" (2017), with Elena Vigna , Insurance: Mathematics and Economics, 73, 124-136. [link]
- "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link]
- "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting" (2016), with Lukasz Delong, Insurance: Mathematics and Economics, 71, 342–352. [full appendix] [link]
- "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link]
- "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. [link]
- "Mergers and Acquisitions: collar contracts" (2015), with Christian Hilpert, Journal of Risk, 17(4), 101-133. [link]
- "Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model" (2015), with Lukasz Delong, ASTIN Bulletin, 45(2), 397-419. [link]
- "Optimal supervisory rules for pension funds under diverse pension security mechanisms" (2015), with Simona Clever, European Actuarial Journal, 5(1), 29-53. [link]
- "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. [link]
- "A risk-based premium: what does it mean for DB plan sponsors" (2014), with Filip Uzelac; Insurance: Mathematics and Economics 54(C), 1-11. [link]
- "Incentive compatible compensation and regulation" (2014); Applied Economics 46(25), 3074-3081. [link]
- "Optimal stock option schemes for managers" (2014), with Markus Pelger; Review of Managerial Science, 8, 437-464. [link]
- "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. [link]
- "Valuation of hybrid pension liabilities" (2013), with Dirk Broeders and David Rijsbergen; Applied Financial Economics, 23(15), 1215-1229. [link]
- "New performance-vested stock option schemes" (2013), with Markus Pelger and Klaus Sandmann; Applied Financial Economics, 23(8), 709-727. [link]
- "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. [link]
- "A risk-based model for the valuation of pension insurance" (2011); Insurance: Mathematics and Economics, 49(3), 401-409. [link]
- "Modeling non-monotone risk aversion using SAHARA utility functions" (2011), with Antoon Pelsser and Michel Vellekoop. Journal of Economic Theory, 146(5), 2075-2092. [link]
- "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. [link]
- "Parisian exchange option" (2011), with Michael Suchanecki. Quantitative Finance, 11(8), 1207-1220. [link]
- "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. [link]
- "On the regulator-insurer-interaction in a structural model" (2009), with Carole Bernard. Journal of Computational and Applied Mathematics 233, 3-15. [link]
- "Knightian uncertainty and insurance regulation decision" (2009), with Xia Su. Decisions in Economics and Finance, 32, 13-33. [link]
- "On the cost of regulation under Solvency II" (2008), with Carole Bernard and Antoon Pelsser. Life and Pensions, 4(6), 36-40. [link]
- "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008). Insurance: Mathematics and Economics, 42, 1035-1049. [link]
- "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. [link]
- "Default risk, bankruptcy procedures and the market value of life insurance liabilities" (2007), with Michael Suchanecki. Insurance: Mathematics and Economics, 40(2), 231-255. [link]
- "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.
- "Optimal casualty insurance and repair in the presence of a seemingly unrelated securities market", with Philip H. Dybvig, preprint.
- "Rainbow over Paris", with Evangelia Petrou and Michael Suchanecki; preprint.
- "How relative compensation leads to bad management", with Markus Pelger, preprint.
- "Optimal investment with time-varying stochastic endowments", with Carla Mereu and Robert Stelzer, preprint.
- "Target Date Funds: Marketing or Finance?", with Carla Mereu and Robert Stelzer, preprint.
- "Tonuity: a novel individual-oriented retirement plan", with Peter Hieber and Jakob Klein, preprint.
- "Risk management with multiple VaR constraints", with Thai Nguyen and Mitja Stadje, preprint.
- "The impact of longevity and investment risk on a portfolio of life insurance liabilities", with Anna Rita Bacinello and Pietro Millossovich, preprint.
- "Funding life insurance contracts with guarantees: how can we opitmally respond to the policyholder's needs", with Peter Hieber and Thai Nguyen.