JProf. Dr. rer. pol. An Chen
Professor - aktiv
"Default risk, bankruptcy procedures and the market value of life insurance liabilities" (2007), with Michael Suchanecki. Insurance: Mathematics and
Economics 40(2), 231-255.
"Endowment assurance products-effectiveness of risk-minimizing strategies under Model Risk" (2008), with Antje B. Mahayni. Asia-Paciffic Journal of Risk and Insurance 2(2) , 47-74.
"Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008). Insurance: Mathematics and Economics 42, 1035-1049.
"On the cost of regulation under Solvency II" (2008), with Carole Bernard and Antoon Pelsser. Life and Pensions 4(6), 36-40.
"Knightian uncertainty and optimal regulation decisions" (2009), with Xia Su. Decisions in Economics and Finance 32, 13-33
"On the regulator-insurer-interaction in a structural model" (2009), with Carole Bernard. Journal of Computational and Applied Mathematics 233, 3-15.
"Parisian exchange option" (2009), with Michael Suchanecki. Accepted by Quantitative Finance.
PUBLICATIONS IN PROCEEDINGS
"Hedging guarantees under interest rate and mortality risk" (2007), with Antje B. Mahayni. Proceedings of 5th Actuarial and Financial Mathematics Day, February 9, 2007, Royal Flemish Academy of Belgium for Science and the Arts, Brussels, 2007, 43-54.
"Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options", with Dirk Broeders, submitted.
"Optimal casualty insurance, repair and regulation in the presence of a security market", with Philip H. Dybvig, preprint.
"An institutional comparison of pension funds and life insurance companies", with Birgit Koos and Dirk Broeders, preprint.
"In Arrear Term Structure Products: No Arbitrage Pricing Bounds and The Convexity Adjustments ", with Klaus Sandmann, preprint.
"Approximation solutions for indifference pricing under general utility functions", with Antoon Pelsser and Michel Vellekoop, preprint.
"Optimal investment under SAHARA utility", with Antoon Pelsser and Michel Vellekoop, preprint.
"Fair valuation of life insurance liabilities: integrating demographic and market risk", with Annarita Bacinello and Pietro Millossovich, preprint.