Selected publications

1. "Collective Longevity Swap: a Novel Longevity Risk Transfer Solution and Its Economic Pricing" (2022), joint with Hong Li and Mark Benedikt Schultze, Journal of Economic Behavior and Organization, 201(1), 227-249. [link]
2. "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]
3. "Optimal retirement products under subjective mortality beliefs" (2020), with Peter Hieber and Manuel Rach, Insurance: Mathematics and Economics, 101(A), 55-69. [link]
4. "Tontines with mixed cohorts" (2020), with Linyi Qian and Zhixin Yang, Scandinavian Actuarial Journal, 2021(5), 437-455. [link]
5. "Tonuity: a novel individual-oriented retirement plan" (2019), with Peter Hieber and Jakob Klein, ASTIN Bulletin,  49(1), 5-30. [link]. (ASTIN Bulletin PBSS Prize 2019)
6. "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].
7. "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link]
8. "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link]
9. "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]
10. "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]
11. "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]
12. "A risk-based model for the valuation of pension insurance" (2011),  Insurance: Mathematics and Economics, 49(3), 401-409. [link]
13. "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]
14. "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. "Life reinsurance under perfect and asymmetric information" (2023), joint with Maria Hinken and Yang Shen, accepted by Scandinavian Actuarial Journal. [link]
2. "Optimal investment under partial information and robust VaR-type constraint" (2023), joint with Nicole Bäuerle, International Journal of Theoretical and Applied Finance, 2350017. [link]
3. "Who Chooses Which Retirement Income? A CPT-based Analysis” (2023), joint with Manuel Rach, accepted by Review of Behavioral Economics. [link]
4. "Actuarial fairness and social welfare in mixed-cohort tontines" (2023), with Manuel Rach, accepted by Insurance: Mathematics and Economics. [link]
5. "On the Unfairness of Actuarial Fair Annuities" (2023), with Steven Vanduffel, accepted by Decision in Economics and Finance. [link]
6. "Intergenerational risk sharing in a deinfed contribution pension system: Analysis with Bayesian optimization" (2023), with Motonobu Kanagawa and Fangyuan Zhang, accepted by ASTIN Bulletin. [link]
7. "How does the insurer's mobile application sales strategy perform?" (2023), with Yusha Chen, Finbarr Murphy, Wei Xu and Xian Xu, accepted by Journal of Risk and Insurance. [link]
8. "Optimal longevity risk transfer under asymmetric information" (2023), joint with Hong Li and Mark Benedikt Schultze, Economic Modelling, 120, 106179. [link]
9. "Optimal collective investment: an analysis of individual welfare" (2023), joint with Nicole Branger, Antje B. Mahayni and Thai Nguyen, Mathematics and Financial Economics, 17(1), 101-125. [link]
10. "Collective Longevity Swap: a Novel Longevity Risk Transfer Solution and Its Economic Pricing" (2022), joint with Hong Li and Mark Benedikt Schultze, Journal of Economic Behavior and Organization201(1), 227-249. [link]
11. "On the impact of low interest rate on common withdrawal rules in old age" (2022), joint with Stefan Schelling and Nils Sørensen, European Journal of Finance, 0(0), 1-23. [link]
12. "Care-dependent Tontines" (2022), with Yusha Chen and Xian Xu, Insurance: Mathematics and Economics, 106, 69-89. [link]
13. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance" (2022), with Thai Nguyen and Thorsten Sehner, Risks, 10(4), 78. [link]
14. "Optimal investment with time-varying stochastic endowments" (2022), joint with Christoph Belak, Carla Mereu, and Robert Stelzer, SIAM Journal on Financial Mathematics, 13(3), 969-1003. [link]
15. "On The Investment Strategies in Occupational Pension Plans" (2021), with Frank Bosserhoff, Nils Sørensen and Mitja Stadje, Quantitative Finance, 22(5), 889-905.[link]
16. "Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan" (2021), with Hong Li and Mark Schultze, Scandinavian Actuarial Journal, 2022(2), 139-164. [link]
17. "Fees in tontines" (2021), with Montserrat Guillen nd Manuel Rach, Insurance: Mathematics and Economics, 100, 89-106.[link]
18. "Valuation of long-term care options embedded in life annuities" (2021),  with Michel Fuino, Thorsten Sehner and Joël Wagner, Annals of Actuarial Science, 16(1), 68-94. [link]
19. "On retirement time decision making" (2021), with Felix Hentschel and Mogens Steffensen, Insurance: Mathematics and Economics, 100, 107-129.[link]
20. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules" (2021), with Thai Nguyen and Manuel Rach, Annals of Operations Research, 302, 85–109. [Link]
21. "Bequest-embedded annuities and tontines" (2021), with Manuel Rach, Asia-Pacific Journal of Risk and Insurance, 16(1), 1-46. [Link] (St. John's University's Greenberg School of Risk Management's Award for Best APJRI Paper 2022)
22. "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]
23. "Indifference Pricing under SAHARA Utility" (2021), with Thai Nguyen and Nils Sørensen, Journal of Computational and Applied Mathematcs, 388, 113288. [Link]
24. "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]
25. "Optimal retirement products under subjective mortality beliefs" (2021), with Peter Hieber and Manuel Rach, Insurance: Mathematics and Economics, 101(A), 55-69. [link]
26. "Tontines with mixed cohorts" (2020), with Linyi Qian and Zhixin Yang, Scandinavian Actuarial Journal, 2021(5), 437-455.  [Link]
27. "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]
28. "On the Optimal Combination of Annuities and Tontines" (2020), with Manuel Rach and Thorsten Sehner, ASTIN Bulletin 50(1), 95-129. [link]. (ASTIN Bulletin PBSS Prize 2021).
29. "Regulatory measures for distressed insurance undertakings: A comparative study" (2020), with Peter Hieber and Lars Lämmlein,  Scandinavian Actuarial Journal, Issue 1, 30-43. [link].
30. "Options on tontines: an innovative way of combining annuities and tontines" (2019), with Manuel Rach, Insurance: Mathematics and Economics 89, 182-192.[link].
31. "Tonuity: a novel individual-oriented retirement plan" (2019), with Peter Hieber and Jakob Klein, ASTIN Bulletin,  49(1), 5-30. [link]. (ASTIN Bulletin PBSS Prize 2019).
32. "Optimal retirement planning under partial information" (2019), with Nicole Bäuerle, Statistics & Risk Modeling 36, 37-56 [link].
33. "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].
34. "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").
35. "Risk management with multiple VaR constraints" (2018), with Thai Nguyen and Mitja Stadje, Mathematical Methods of Operations Research, 88(2), 297-337 [link].
36. "Optimal investment under VaR-Regulation and Minimum Insurance" (2018), with Thai Nguyen and Mitja Stadje, Insurance: Mathematics and Economics, 79, 194-209. [link]
37. "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]
38. "Solvency requirement in a unisex mortality model" (2018), with Montserrat Guillen and Elena Vigna, ASTIN Bulletin, 48(3), 1219-1243 [link].
39. "A unisex stochastic mortality model to comply with EU Gender Directive" (2017), with Elena Vigna , Insurance: Mathematics and Economics, 73, 124-136. [link]
40. "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link]
41. "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting" (2016), with Lukasz Delong, Insurance: Mathematics and Economics, 71, 342–352. [full appendix] [link]
42. "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link]
43. "Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model" (2015), with Lukasz Delong, ASTIN Bulletin, 45(2), 397-419. [link]
44. "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]
45. "Optimal supervisory rules for pension funds under diverse pension security mechanisms" (2015), with Simona Clever, European Actuarial Journal, 5(1), 29-53. [link]
46. "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]
47. "Mergers and Acquisitions: collar contracts" (2015), with Christian Hilpert, Journal of Risk, 17(4), 101-133. [link]
48. "Incentive compatible compensation and regulation" (2014),  Applied Economics, 46(25), 3074-3081. [link]
49. "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]
50. "Optimal stock option schemes for managers" (2014), with Markus Pelger, Review of Managerial Science, 8, 437-464. [link]
51. "New performance-vested stock option schemes" (2013), with Markus Pelger and Klaus Sandmann, Applied Financial Economics 23(8), 709-727. [link]
52. "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]
53. "Valuation of hybrid pension liabilities" (2013), with Dirk Broeders and David Rijsbergen, Applied Financial Economics, 23(15), 1215-1229. [link]
54. "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]
55. "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]
56. "Parisian exchange option" (2011), with Michael Suchanecki, Quantitative Finance, 11(8), 1207-1220. [link]
57. "A risk-based model for the valuation of pension insurance" (2011),  Insurance: Mathematics and Economics, 49(3), 401-409. [link]
58. "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]
59. "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]
60. "On the regulator-insurer-interaction in a structural model"  (2009), with Carole Bernard,  Journal of Computational and Applied Mathematics, 233, 3-15. [link]
61. "Knightian uncertainty and insurance regulation decision" (2009),  with Xia Su, Decisions in Economics and Finance, 32, 13-33. [link]
62. "On the cost of regulation under Solvency II" (2008),  with Carole Bernard and Antoon Pelsser, Life and Pensions, 4(6), 36-40. [link
63. "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008), Insurance: Mathematics and Economics, 42, 1035-1049. [link]
64. "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]
65.  "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. "The Tontine Puzzle", with Manuel Rach.
2. "On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization", with Mitja Stadje and Fangyuan Zhang, submitted. 
3. "Linking risk management under expected shortfall to loss-averse behavior", with Thai Nguyen, submitted.
4. "Rainbow over Paris", with Evangelia Petrou and Michael Suchanecki; preprint. 
5.

"How relative compensation leads to bad management", with Markus Pelger, preprint.