Daniel Bauer

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Jochen RussManaging partner at „ifa Ulm“ and Professor for actuarial science at Ulm UniversityVerified email at ifa-ulm.de
Nan ZhuPenn State UniversityVerified email at psu.edu
Alexander KlingVerified email at ifa-ulm.de
George ZanjaniProfessor of Finance, University of AlabamaVerified email at gsu.edu
Rüdiger KieselProfessor, University Duisburg-Essen, House of Energy Markets and FinanceVerified email at uni-due.de
Thorsten MoenigTemple UniversityVerified email at temple.edu
Eric R. UlmVictoria University of WellingtonVerified email at vuw.ac.nz
Hongjun HaSaint Joseph's UniversityVerified email at sju.edu
Richard D PhillipsGeorgia State UniversityVerified email at gsu.edu
Fred Espen BenthDepartment of Mathematics, University of Oslo, NorwayVerified email at math.uio.no
Julian ReifAssociate Professor of Finance and Economics, University of Illinois and NBERVerified email at illinois.edu
Darius N. LakdawallaUniversity of Southern CaliforniaVerified email at healthpolicy.usc.edu
Antoon PelsserProfessor of Finance and Actuarial Science, Maastricht UniversityVerified email at maastrichtuniversity.nl
Joël WagnerUniversity of Lausanne, Faculty of Business and Economics (HEC), Department of Actuarial ScienceVerified email at unil.ch
Albrecher HansjörgProfessor of Actuarial Science, Faculty of Business and Economics (HEC), University of LausanneVerified email at unil.ch
Ralf KornProfessor für Mathematik, TU KaiserslauternVerified email at mathematik.uni-kl.de
Pablo KochProfessor of Finance and InsuranceVerified email at bf.uzh.ch
Damir FilipovicEPFL, Swiss Finance InstituteVerified email at epfl.ch
Stéphane LoiselProfesseur des universités, ISFA, Université lyon 1Verified email at univ-lyon1.fr
Shinichi KamiyaNanyang Technological UniversityVerified email at ntu.edu.sg

Daniel Bauer

Department of Risk and Insurance, University of Wisconsin-Madison

Verified email at wisc.edu - Homepage

Actuarial Science Quantitative Finance Insurance Economics Applied Statistics


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A universal pricing framework for guaranteed minimum benefits in variable annuities D Bauer, A Kling, J Russ ASTIN Bulletin-Actuarial Studies in Non Life Insurance 38 (2), 621, 2008	383	2008
On the pricing of longevity-linked securities D Bauer, M Börger, J Ruß Insurance: Mathematics and Economics 46 (1), 139-149, 2010	226*	2010
Risk-neutral valuation of participating life insurance contracts D Bauer, R Kiesel, A Kling, J Ruß Insurance: Mathematics and Economics 39 (2), 171-183, 2006	131	2006
On the calculation of the solvency capital requirement based on nested simulations D Bauer, A Reuss, D Singer Astin Bulletin 42 (02), 453-499, 2012	109	2012
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment K Zaglauer, D Bauer Insurance: Mathematics and Economics 43 (1), 29-40, 2008	82	2008
The risk of a mortality catastrophe D Bauer, F Kramer Journal of Business & Economic Statistics 34 (3), 391-405, 2016	81*	2016
Modeling the forward surface of mortality D Bauer, FE Benth, R Kiesel SIAM Journal on Financial Mathematics 3 (1), 639-666, 2012	81*	2012
Solvency II and nested simulations–a least-squares Monte Carlo approach D Bauer, D Bergmann, A Reuss Proceedings of the 2010 ICA congress, 2010	80	2010
Revisiting the risk-neutral approach to optimal policyholder behavior: A study of withdrawal guarantees in variable annuities T Moenig, D Bauer Review of Finance 20 (2), 759-794, 2016	75*	2016
The Volatility of Mortality D Bauer, M Börger, J Ruß, HJ Zwiesler Asia-Pacific Journal of Risk and Insurance 3, 2008	75	2008
The marginal cost of risk, risk measures, and capital allocation D Bauer, G Zanjani Management Science 62 (5), 1431-1457, 2016	58	2016
Policyholder exercise behavior in life insurance: The state of affairs D Bauer, J Gao, T Moenig, ER Ulm, N Zhu North American Actuarial Journal 21 (4), 485-501, 2017	48	2017
On the risk-neutral valuation of life insurance contracts with numerical methods in view D BAUER, D Bergmann, R Kiesel ASTIN Bulletin-Actuarial Studies in non LifeInsurance 40 (1), 65, 2010	48	2010
Asset-liability management for long-term insurance business H Albrecher, D Bauer, P Embrechts, D Filipović, P Koch-Medina, R Korn, ... European Actuarial Journal 8, 9-25, 2018	40	2018
A cautionary note on natural hedging of longevity risk N Zhu, D Bauer North American Actuarial Journal 18 (1), 104-115, 2014	40	2014
Applications of forward mortality factor models in life insurance practice N Zhu, D Bauer The Geneva Papers on Risk and Insurance-Issues and Practice 36, 567-594, 2011	39	2011
Assessing investment and longevity risks within immediate annuities D Bauer, F Weber Asia-Pacific Journal of Risk and Insurance 3 (1), 2008	38	2008
A least-squares Monte Carlo approach to the estimation of enterprise risk H Ha, D Bauer Finance and Stochastics 26 (3), 417-459, 2022	34*	2022
Capital allocation and its discontents D Bauer, GH Zanjani Handbook of insurance, 863-880, 2013	33	2013
Coherent pricing of life settlements under asymmetric information N Zhu, D Bauer Journal of Risk and Insurance 80 (3), 827-851, 2013	29	2013

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