Peter Hieber
Peter Hieber
Université Catholique de Louvain
Verified email at - Homepage
Cited by
Cited by
A note on first-passage times of continuously time-changed Brownian motion
P Hieber, M Scherer
Statistics & Probability Letters 82 (1), 165-172, 2012
Tonuity: A novel individual-oriented retirement plan
A Chen, P Hieber, J Klein
ASTIN Bulletin 49 (1), 5-30, 2019
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
P Hieber, R Korn, M Scherer
European Actuarial Journal 5 (1), 11-28, 2015
Efficiently pricing barrier options in a Markov-switching framework
P Hieber, M Scherer
Journal of Computational and Applied Mathematics 235 (3), 679-685, 2010
Optimal Asset Allocation in Life Insurance: The Impact of Regulation
A Chen, P Hieber
ASTIN Bulletin 46 (3), 605-626, 2016
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
A Chen, P Hieber, T Nguyen
European Journal of Operational Research 273 (3), 1119-1135, 2019
Pricing exotic options in a regime switching economy: a Fourier transform method
P Hieber
Review of Derivatives Research 21 (2), 231-252, 2018
Cliquet-style return guarantees in a regime switching Lévy model
P Hieber
Insurance: Mathematics and Economics 72, 138-147, 2017
First-passage times of regime switching models
P Hieber
Statistics & Probability Letters 92, 148-157, 2014
The risk appetite of private equity sponsors
R Braun, N Engel, P Hieber, R Zagst
Journal of Empirical Finance 18 (5), 815-832, 2011
Fair Valuation of Cliquet-Style Return Guarantees in (Homogeneous and) Heterogeneous Life Insurance Portfolios
P Hieber, J Natolski, R Werner
Scandinavian Actuarial Journal, forthcoming, 2019
Double-barrier first-passage times of jump-diffusion processes
L Fernández, P Hieber, M Scherer
Monte Carlo Methods and Applications 19 (2), 107-141, 2013
A correction note on: When the “bull” meets the “bear”—a first passage time problem for a hidden Markov process
P Hieber
Methodology and Computing in Applied Probability 16 (3), 771-776, 2014
Efficiently pricing double barrier derivatives in stochastic volatility models
M Escobar, P Hieber, M Scherer
Review of Derivatives Research 17 (2), 191-216, 2014
Modeling credit portfolio derivatives, including both a default and a prepayment feature
P Hieber, M Scherer
Applied Stochastic Models in Business and Industry 29 (5), 479-495, 2013
Optimal retirement products under subjective mortality beliefs
A Chen, P Hieber, M Rach
Available at SSRN 3287699, 2019
Portfolio optimization in a multidimensional structural-default model with a focus on private equity
M Escobar, P Hieber, M Scherer, L Seco
The Journal of Private Equity 15 (1), 26-35, 2011
Regulatory measures for distressed insurance undertakings: a comparative study
A Chen, P Hieber, L Lämmlein
Scandinavian Actuarial Journal 2020 (1), 30-43, 2020
Valuation of Hybrid Financial and Actuarial Products in Life Insurance: A Universal 3-Step Method
G Deelstra, P Devolder, K Gnameho, P Hieber
Available at SSRN 3307061, 2018
Optimal retirement products under money and mortality illusion.
A Chen, P Hieber, M Rach
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