| 1. | "Linear Risk Sharing in Intergenerational Pension" (2024), joint with Michail Anthropelos, Steven Vanduffel and Morten Wilke, accepted by Scandinavian Actuarial Journal. [link] |
| 2. | "The role of health in consumption and portfolio decision-making: Insights from state-dependent models" (2024), joint with Thai Nguyen, Linyi Qian and Zhixin Yang, accepted by Journal of Computational and Applied Mathematics. [link] |
| 3. | "Optimal Payoffs under Smooth Ambiguity" (2024), joint with Steven Vanduffel and Morten Wilke, accepted by European Journal of Operational Research. [link] |
| 4. | "Risk management under weighted limited expected loss" (2024), joint with Thai Nguyen, accepted by Quantitative Finance. [link] |
| 5. | "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization" (2024), joint with Mitja Stadje and Fangyuan Zhang, accepted by Insurance: Mathematics and Economics. [link] |
| 6. | "Life reinsurance under perfect and asymmetric information" (2023), joint with Maria Hinken and Yang Shen, accepted by Scandinavian Actuarial Journal. [link] |
| 7. | "Optimal investment under partial information and robust VaR-type constraint" (2023), joint with Nicole Bäuerle, International Journal of Theoretical and Applied Finance, 2350017. [link] |
| 8. | "Who Chooses Which Retirement Income? A CPT-based Analysis” (2023), joint with Manuel Rach, accepted by Review of Behavioral Economics. [link] |
| 9. | "Actuarial fairness and social welfare in mixed-cohort tontines" (2023), joint with Manuel Rach, accepted by Insurance: Mathematics and Economics. [link] |
| 10. | "On the Unfairness of Actuarial Fair Annuities" (2023), joint with Steven Vanduffel, accepted by Decision in Economics and Finance. [link] |
| 11. | "Intergenerational risk sharing in a deinfed contribution pension system: Analysis with Bayesian optimization" (2023), joint with Motonobu Kanagawa and Fangyuan Zhang, accepted by ASTIN Bulletin. [link] |
| 12. | "How does the insurer's mobile application sales strategy perform?" (2023), joint with Yusha Chen, Finbarr Murphy, Wei Xu and Xian Xu, accepted by Journal of Risk and Insurance. [link] |
| 13. | "Optimal longevity risk transfer under asymmetric information" (2023), joint with Hong Li and Mark Benedikt Schultze, Economic Modelling, 120, 106179. [link] |
| 14. | "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] |
| 15. | "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] |
| 16. | "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] |
| 17. | "Care-dependent Tontines" (2022), with Yusha Chen and Xian Xu, Insurance: Mathematics and Economics, 106, 69-89. [link] |
| 18. | "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance" (2022), with Thai Nguyen and Thorsten Sehner, Risks, 10(4), 78. [link] |
| 19. | "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] |
| 20. | "On The Investment Strategies in Occupational Pension Plans" (2021), with Frank Bosserhoff, Nils Sørensen and Mitja Stadje, Quantitative Finance, 22(5), 889-905.[link] |
| 21. | "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] |
| 22. | "Fees in tontines" (2021), with Montserrat Guillen nd Manuel Rach, Insurance: Mathematics and Economics, 100, 89-106.[link] |
| 23. | "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] |
| 24. | "On retirement time decision making" (2021), with Felix Hentschel and Mogens Steffensen, Insurance: Mathematics and Economics, 100, 107-129.[link] |
| 25. | "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] |
| 26. | "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) |
| 27. | "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] |
| 28. | "Indifference Pricing under SAHARA Utility" (2021), with Thai Nguyen and Nils Sørensen, Journal of Computational and Applied Mathematcs, 388, 113288. [Link] |
| 29. | "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] |
| 30. | "Optimal retirement products under subjective mortality beliefs" (2021), with Peter Hieber and Manuel Rach, Insurance: Mathematics and Economics, 101(A), 55-69. [link] |
| 31. | "Tontines with mixed cohorts" (2020), with Linyi Qian and Zhixin Yang, Scandinavian Actuarial Journal, 2021(5), 437-455. [Link] |
| 32. | "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] |
| 33. | "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). |
| 34. | "Regulatory measures for distressed insurance undertakings: A comparative study" (2020), with Peter Hieber and Lars Lämmlein, Scandinavian Actuarial Journal, Issue 1, 30-43. [link]. |
| 35. | "Options on tontines: an innovative way of combining annuities and tontines" (2019), with Manuel Rach, Insurance: Mathematics and Economics 89, 182-192.[link]. |
| 36. | "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). |
| 37. | "Optimal retirement planning under partial information" (2019), with Nicole Bäuerle, Statistics & Risk Modeling 36, 37-56 [link]. |
| 38. | "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]. |
| 39. | "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"). |
| 40. | "Risk management with multiple VaR constraints" (2018), with Thai Nguyen and Mitja Stadje, Mathematical Methods of Operations Research, 88(2), 297-337 [link]. |
| 41. | "Optimal investment under VaR-Regulation and Minimum Insurance" (2018), with Thai Nguyen and Mitja Stadje, Insurance: Mathematics and Economics, 79, 194-209. [link] |
| 42. | "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] |
| 43. | "Solvency requirement in a unisex mortality model" (2018), with Montserrat Guillen and Elena Vigna, ASTIN Bulletin, 48(3), 1219-1243 [link]. |
| 44. | "A unisex stochastic mortality model to comply with EU Gender Directive" (2017), with Elena Vigna , Insurance: Mathematics and Economics, 73, 124-136. [link] |
| 45. | "Optimal investment and consumption when allowing terminal debt" (2017), with Michel Vellekoop, European Journal of Operational Research, 258, 385-397. [link] |
| 46. | "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting" (2016), with Lukasz Delong, Insurance: Mathematics and Economics, 71, 342–352. [full appendix] [link] |
| 47. | "Optimal asset allocation in life insurance: the impact of regulation" (2016), with Peter Hieber, ASTIN Bulletin, 46(3), 605-626. [link] |
| 48. | "Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model" (2015), with Lukasz Delong, ASTIN Bulletin, 45(2), 397-419. [link] |
| 49. | "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] |
| 50. | "Optimal supervisory rules for pension funds under diverse pension security mechanisms" (2015), with Simona Clever, European Actuarial Journal, 5(1), 29-53. [link] |
| 51. | "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] |
| 52. | "Mergers and Acquisitions: collar contracts" (2015), with Christian Hilpert, Journal of Risk, 17(4), 101-133. [link] |
| 53. | "Incentive compatible compensation and regulation" (2014), Applied Economics, 46(25), 3074-3081. [link] |
| 54. | "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] |
| 55. | "Optimal stock option schemes for managers" (2014), with Markus Pelger, Review of Managerial Science, 8, 437-464. [link] |
| 56. | "New performance-vested stock option schemes" (2013), with Markus Pelger and Klaus Sandmann, Applied Financial Economics, 23(8), 709-727. [link] |
| 57. | "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] |
| 58. | "Valuation of hybrid pension liabilities" (2013), with Dirk Broeders and David Rijsbergen, Applied Financial Economics, 23(15), 1215-1229. [link] |
| 59. | "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] |
| 60. | "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] |
| 61. | "Parisian exchange option" (2011), with Michael Suchanecki, Quantitative Finance, 11(8), 1207-1220. [link] |
| 62. | "A risk-based model for the valuation of pension insurance" (2011), Insurance: Mathematics and Economics, 49(3), 401-409. [link] |
| 63. | "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] |
| 64. | "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] |
| 65. | "On the regulator-insurer-interaction in a structural model" (2009), with Carole Bernard, Journal of Computational and Applied Mathematics, 233, 3-15. [link] |
| 66. | "Knightian uncertainty and insurance regulation decision" (2009), with Xia Su, Decisions in Economics and Finance, 32, 13-33. [link] |
| 67. | "On the cost of regulation under Solvency II" (2008), with Carole Bernard and Antoon Pelsser, Life and Pensions, 4(6), 36-40. [link] |
| 68. | "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008), Insurance: Mathematics and Economics, 42, 1035-1049. [link] |
| 69. | "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] |
| 70. | "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] |
