Selected publications

1. "Optimal collective investment: The impact of sharing rules, management fees and guarantees" (2021),  with Thai Nguyen and Manuel Rach, Journal of Banking and Finance, 123: 106012. [link]
2. "Optimal retirement products under subjective mortality beliefs" (2020), with Peter Hieber and Manuel Rach, accepted by Insurance: Mathematics and Economics. [link]
3. "Tonuity: a novel individual-oriented retirement plan" (2019), with Peter Hieber and Jakob Klein, ASTIN Bulletin,  49(1), 5-30. [link].
4. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees" (2019), with Peter Hieber and Thai Nguyen, European Journal of Operational Research, 273, 1119-1135 [link].
5. "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link]
6. "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link]
7. "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]
8. "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]
9. "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]
10. "A risk-based model for the valuation of pension insurance" (2011);  Insurance: Mathematics and Economics, 49(3), 401-409. [link]
11. "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]
12. "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]

Full list of Publications

Peer-reviewed publications

1. "On The Investment Strategies in Occupational Pension Plans" (2021), with Frank Bosserhoff, Nils Sorensen and Mitja Stadje, accecpted by Quantitative Finance. [link]
2. "Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan" (2021), with Hong Li and Mark Schultze, forthcoming in Scandinavian Actuarial Journal. [link]
3. "Fees in tontines" (2021), with Montserrat Guillen nd Manuel Rach, accepted by Insurance: Mathematics and Economics. [link]
4. "Valuation of long-term care options embedded in life annuities" (2021),  with Michel Fuino, Thorsten Sehner and Joël Wagner, accepted by Annals of Actuarial Science. [link]
5. "On retirement time decision making" (2021), with Felix Hentschel and Mogens Steffensen, accepted by Insurance: Mathematics and Economics. [link]
6. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules" (2021), with Thai Nguyen and Manuel Rach, accepted by Annals of Operations Research. [Link]
7. "Bequest-embedded annuities and tontines" (2021), with Manuel Rach, accepted by Asia-Pacific Journal of Risk and Insurance. [Link]
8. "Optimal collective investment: The impact of sharing rules, management fees and guarantees" (2021),  with Thai Nguyen and Manuel Rach, Journal of Banking and Finance, 123: 106012. [link]
9. "Indifference Pricing under SAHARA Utility" (2021), with Thai Nguyen and Nils Sorensen, Journal of Computational and Applied Mathematcs, 388, 113288. [Link]
10. "On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk" (2021),  with Anna Rita Bacinello, Pietro Millossovich and Thorsten Sehner,  Risks, 9(1), 20. [link]
11. "Optimal retirement products under subjective mortality beliefs" (2020), with Peter Hieber and Manuel Rach, accepted by Insurance: Mathematics and Economics. [link]
12. "Tontines with mixed cohorts" (2020), with Linyi Qian and Zhixin Yang, accepted by Scandinavian Actuarial Journal.  [Link]
13. "Current developments in German pension schemes: What are the benefits of the new target pension?" (2020), with Manuel Rach, European Actuarial Journal, 1-27. [link]
14. "On the Optimal Combination of Annuities and Tontines" (2020), with Manuel Rach and Thorsten Sehner, ASTIN Bulletin 50(1), 95-129. [link].
15. "Regulatory measures for distressed insurance undertakings: A comparative study" (2020), with Peter Hieber and Lars Lämmlein,  Scandinavian Actuarial Journal, Issue 1, 30-43. [link].
16. "Options on tontines: an innovative way of combining annuities and tontines" (2019), with Manuel Rach, Insurance: Mathematics and Economics 89, 182-192.[link].
17. "Tonuity: a novel individual-oriented retirement plan" (2019), with Peter Hieber and Jakob Klein, ASTIN Bulletin,  49(1), 5-30. [link].
18. "Optimal retirement planning under partial information" (2019), with Nicole Bäuerle, Statistics & Risk Modeling 36, 37-56 [link].
19. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees" (2019), with Peter Hieber and Thai Nguyen, European Journal of Operational Research, 273, 1119-1135 [link].
20. "The impact of longevity and investment risk on a portfolio of life insurance liabilities" (2018), with Anna Rita Bacinello and Pietro Millossovich, European Actuarial Journal, 8(2), 257-290 [link].  (ICA 2018 Best Paper Award for the subject "Aspects of long-term savings: uncertainty in low real returns, longevity and inflation").
21. "Risk management with multiple VaR constraints" (2018), with Thai Nguyen and Mitja Stadje, Mathematical Methods of Operations Research, 88(2), 297-337 [link].
22. "Optimal investment under VaR-Regulation and Minimum Insurance" (2018), with Thai Nguyen and Mitja Stadje, Insurance: Mathematics and Economics, 79, 194-209. [link]
23. "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]
24. "Solvency requirement in a unisex mortality model" (2018), with Montserrat Guillen and Elena Vigna, ASTIN Bulletin, 48(3), 1219-1243 [link].
25. "A unisex stochastic mortality model to comply with EU Gender Directive" (2017), with Elena Vigna , Insurance: Mathematics and Economics, 73, 124-136. [link]
26. "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link]
27. "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting" (2016), with Lukasz Delong, Insurance: Mathematics and Economics, 71, 342–352. [full appendix] [link]
28. "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link]
29. "Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model" (2015), with Lukasz Delong, ASTIN Bulletin, 45(2), 397-419. [link]
30. "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]
31. "Optimal supervisory rules for pension funds under diverse pension security mechanisms" (2015), with Simona Clever, European Actuarial Journal, 5(1), 29-53. [link]
32. "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]
33. "Mergers and Acquisitions: collar contracts" (2015), with Christian Hilpert, Journal of Risk, 17(4), 101-133. [link]
34. "Incentive compatible compensation and regulation" (2014);  Applied Economics 46(25), 3074-3081. [link]
35. "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]
36. "Optimal stock option schemes for managers" (2014), with Markus Pelger; Review of Managerial Science, 8, 437-464. [link]
37. "New performance-vested stock option schemes" (2013), with Markus Pelger and Klaus Sandmann; Applied Financial Economics,  23(8), 709-727. [link]
38. "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]
39. "Valuation of hybrid pension liabilities" (2013), with Dirk Broeders and David Rijsbergen; Applied Financial Economics, 23(15), 1215-1229. [link]
40. "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]
41. "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]
42. "Parisian exchange option" (2011), with Michael Suchanecki. Quantitative Finance, 11(8), 1207-1220. [link]
43. "A risk-based model for the valuation of pension insurance" (2011);  Insurance: Mathematics and Economics, 49(3), 401-409. [link]
44. "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]
45. "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]
46. "On the regulator-insurer-interaction in a structural model"  (2009), with Carole Bernard.  Journal of Computational and Applied Mathematics 233, 3-15. [link]
47. "Knightian uncertainty and insurance regulation decision" (2009),  with Xia Su. Decisions in Economics and Finance, 32, 13-33. [link]
48. "On the cost of regulation under Solvency II" (2008),  with Carole Bernard and Antoon Pelsser. Life and Pensions, 4(6), 36-40. [link
49. "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008). Insurance: Mathematics and Economics, 42, 1035-1049. [link]
50. "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]
51.  "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]


Other Publications

1. "Regulators under uncertainty: the impact of model uncertainty and information asymmetry'' (2010), with Xia Su. Book chapter in Risk Books and Journals.
2. "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

1. "On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization", with Mitja Stadje and Fangyuan Zhang, submitted. 
2. "Linking risk management under expected shortfall to loss-averse behavior", with Thai Nguyen, submitted.
3. "Rainbow over Paris", with Evangelia Petrou and Michael Suchanecki; preprint. 
4. "How relative compensation leads to bad management", with Markus Pelger, preprint.
5. "Target Date Funds: Marketing or Finance?", with Carla Mereu, Nils Sorensen, and Robert Stelzer, preprint.
6. "Optimal investments under linear sharing rules", with Nicole Branger, Nadine Gatzert, and Antje Mahayni, preprint.
7. "Delegation of investment management and financial fairness", with Thai Nguyen, preprint.