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Chen, A.; Hieber, P.
Optimal Asset Allocation in Life Insurance: The Impact of Regulation.
ASTIN Bulletin
2016
No. 3
Vol. 46
605-626
Hieber, P.
Cliquet-style return guarantees in a regime switching Lévy model
Insurance Mathematics and Economics
2017
Vol. 72
138-147
Mai, J.-F.; Scherer, M.
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
2018
Chen, A.; Hieber, P.; Nguyen, T.
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees (forthcoming)
European Journal of Operational Research
2018
Chen, A.; Hieber, P.; Klein, J.
Tonuity: A novel individual-oriented retirement plan (forthcoming)
ASTIN Bulletin
2018
Hieber, P.
Pricing exotic options in a regime switching economy: A Fourier transform method
Review of Derivatives Research
2018
Vol. 21
231-252
Hieber, P.; Natolski, J.; Werner, R.
Fair valuation of cliquet-stlye return guarantees in (homogeneous and) heterogeneous life insurance portfolios.
2018
Hüttner, A.; Mai, J-F.;
Sharp analytical lower bounds for the price of a convertible bond
The Journal of Derivatives
2018
26
2
7-18
Hüttner, A.; Mai, J-F.;
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
Journal of Statistical Computation and Simulation
2018
Hüttner, A.; Mai, J-F.; Mineo, S.
Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?
Dependence Modeling
2018
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