Daniel Bauer

Dipl. Math. oec., MS

• Contact

  • Office E06
  • Helmholtzstrasse 22
  • 89081 Ulm
  • Telefon: +49 731 50 31088
  • email:daniel.bauer@uni-ulm.de

• Research interests

  • Stochastic mortality modeling, Pricing of mortality derivatives
  • Valuation of insurance contracts

• Publications

  • Daniel Bauer, Alexander Kling, Ruediger Kiesel, and Jochen Russ:
    Risk-neutral valuation of participating life insurance contracts ,
    Insurance: Mathematics and Esonomics, 39: 171 - 183, 2006.
  • Daniel Bauer, Alexander Kling, and Jochen Russ:
    A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities ,
    German version awarded with DGVFM GAUSS award 2006.

• Working Papers

  • Daniel Bauer and Jochen Russ:
    Pricing Longevity Bonds using Implied Survival Probabilities ,
    Ulm University and Institut für Finanz- und Aktuarwissenschaften.
  • Daniel Bauer:
    An Arbitrage-Free Family of Longevity Bonds ,
    Ulm University.
  • Katharina Zaglauer and Daniel Bauer:
    Risk-Neutral Valuation of Participating Life Insurance Contracts in a Stochastic Interest Rate Environment ,
    University of Wisconsin-Milwaukee and Ulm University.

• Links

  • mortalityrisk.org
  • Institut für Finanz- und Aktuarwissenschaften