Prof. Dr. Peter Hieber

Technical University of Munich
Chair of Mathematical Finance (Prof. Zagst)

Address
Parkring 11-13
85748 Garching b. München

Contact
hieber@tum.de
Tel. +49 (89) 289 - 17403
Roomno. 2.01.05

Short CV

Peter Hieber is a visiting professor in “Risk and Insurance” at TUM. His research comprises different aspects of Insurance Mathematics with a focus on the design, pricing and risk management of insurance contracts. He is particularly interested in the modeling of financial and mortality risks, optimal control problems and risk sharing schemes within insurance portfolios. Peter studied Mathematics and Finance and Information Management (FIM) at TUM, the University of Augsburg and the University of Toronto. In 2013, he obtained a PhD in Mathematical Finance from TUM, supervised by Prof. Matthias Scherer (TUM) and co-supervised by Prof. Marcos Escobar (University of Western Ontario). Since then, he held positions in Insurance Sciences at the University of Ulm (Prof. An Chen) and the Université Catholique de Louvain (Belgium).

Dissertation

Hieber, Peter
First-exit times and their applications in default risk management
2013, awarded the GAUSS-Prize for young researchers 2013 and the Excellence Award in Insurance Science 2014

  

Courses

TU München, M.Sc. Mathematical Finance and Actuarial Science:

      

Publications in Journals

2019

  • Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal (forthcoming), 2019 more…
  • Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-stlye return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal (forthcoming), 2019 more…
  • Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan (forthcoming). ASTIN Bulletin 49 (1), 2019, 5-30 more…
  • Chen, A.; Hieber, P.; Nguyen, T.: Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research Vol. 273 (No. 3), 2019, 1119-1135 more…

2018

  • Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under money and mortality illusion. Lehrstuhl für Finanzmathematik, 2018, more…
  • Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products: a universal 3-step method. Lehrstuhl für Finanzmathematik, 2018, more…
  • Hieber, P.: Pricing exotic options in a regime switching economy: A Fourier transform method. Review of Derivatives Research (Vol. 21), 2018, 231-252 more…

2017

  • Hieber, P.: Cliquet-style return guarantees in a regime switching Lévy model. Insurance Mathematics and Economics (Vol. 72), 2017, 138-147 more…

2016

  • Chen, A.; Hieber, P.: Optimal Asset Allocation in Life Insurance: The Impact of Regulation. ASTIN Bulletin No. 3 (Vol. 46), 2016, 605-626 more…

2015

  • 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 5 (1), 2015, 11-28 more…

2014

  • Escobar, M.; Hieber, P.; Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research 17 (2), 2014, 191–216 more…
  • 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 16 (3), 2014, 771-776 more…
  • Hieber, P.: First-passage times of regime switching models. Statistics and Probability Letters 92, 2014, 148–157 more…

2013

  • Fernández, L.; Hieber, P.; Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 more…
  • Hieber, P.; Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry 29 (5), 2013, 479-495 more…

2012

  • Hieber, P.; Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics and Probability Letters 82 (1), 2012, 165-172 more…

2011

  • Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance 18 (5), 2011, 815–832 more…
  • 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 15 (1), 2011, 26–35 more…

2010

  • Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 more…