Dr. Peter Hieber


Sprechstunde

Nach Vereinbarung (bitte kurze Anmeldung per E-Mail).

Ausbildung

  • Dr. rer. nat., Schwerpunkt: Mathematik, TU München.

  • M.Sc., Schwerpunkt: Finance and Information Management, Universität Augsburg und TU München.

  • B.Sc., Schwerpunkt: Mathematik, TU München.

Lehrtätigkeit

  • SS 2018: Selected Topics in Life and Pension Insurance

  • WS 2017/18: Personenversicherungsmathematik
  • WS 2017/18: Spezielle Aspekte der Versicherungswirtschaft (Seminar, Master)

  • SS 2017: Insurance Economics
  • SS 2017: WiMa-Praktikum

  • WS 2015/16: Selected Topics in Life and Pension Insurance
  • WS 2015/16: Spezielle Aspekte der Versicherungswirtschaft (Seminar, Master)

  • SS 2015: Ausgewählte Aspekte aus Aktuarwissenschaften: Stochastic Models in Life Insurance
  • SS 2015: Spezielle Aspekte der Versicherungswirtschaft (Seminar, Master)

  • WS 2014/15: Einführung in die Versicherungswissenschaft (Brush-up Kurs)

  • WS 2014/15: Rechnungslegung für Aktuare

Akademische Berufserfahrung

  • 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.

Forschungsinteressen

  • Actuarial Science.

  • Risk Management in Finance and Insurance.

  • Credit risk.

  • Derivative pricing.

Aktuelle Projekte

Folgende Projekte sind noch in Arbeit. Kommentare oder Anregungen sind willkommen.

  • Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products: a universal 3-step method, working paper, 2018.

  • Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under money and mortality illusion. working paper, 2018. [SSRN]

  • Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. working paper, 2018.

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

Veröffentlichungen

  • Chen, A.; Hieber, P.; Nguyen, T.: Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research, forthcoming. [Link] [SSRN]
  • Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement planASTIN Bulletin, forthcoming. [SSRN]
  • 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]
  • 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]  [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]

Dissertation

Hieber, P.: First-exit times and their applications in default risk management, TU München, 2013. [PDF]
Ausgezeichnet mit dem Gauß Nachwuchspreis 2013 und dem Hamburger Promotionspreis für Versicherungswissenschaften 2014.