Antoon Pelsser
Names
| first: |
Antoon |
| middle: |
A. J. |
| last: |
Pelsser |
Identifer
Contact
Affiliations
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Maastricht University
/ School of Business and Economics (weight: 40%)
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Universiteit van Amsterdam
/ Faculteit Economie en Bedrijfskunde
/ Afdeling Kwantitatieve Economie (weight: 20%)
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Network for Studies on Pensions, Aging and Retirement (NetSPAR) (weight: 40%)
Research profile
author of:
- Robust evaluation of SCR for participating life insurances under Solvency II (RePEc:aiz:louvad:2017011)
by Hainaut, D. & Devolder, P. & Pelsser, A. - Robust evaluation of SCR for participating life insurances under Solvency II (RePEc:aiz:louvar:2018011)
by Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon - Time-Consistent and Market-Consistent Evaluations (RePEc:arx:papers:1109.1749)
by Mitja Stadje & Antoon Pelsser - Time-Consistent Actuarial Valuations (RePEc:arx:papers:1109.1751)
by Antoon Pelsser - Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims (RePEc:arx:papers:1303.4082)
by {L}ukasz Delong & Antoon Pelsser - Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo (RePEc:arx:papers:1309.5274)
by Eric Beutner & Janina Schweizer & Antoon Pelsser - Extrapolating the term structure of interest rates with parameter uncertainty (RePEc:arx:papers:1312.5073)
by Anne Balter & Antoon Pelsser & Peter Schotman - Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints (RePEc:arx:papers:1906.12317)
by Thijs Kamma & Antoon Pelsser - Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models (RePEc:bla:mathfi:v:16:y:2006:i:4:p:673-694)
by David F. Schrager & Antoon A. J. Pelsser - Time-Consistent And Market-Consistent Evaluations (RePEc:bla:mathfi:v:24:y:2014:i:1:p:25-65)
by Antoon Pelsser & Mitja Stadje - A Monte Carlo method for backward stochastic differential equations with Hermite martingales (RePEc:bpj:mcmeap:v:25:y:2019:i:1:p:37-60:n:2)
by Pelsser Antoon & Gnameho Kossi - A gradient method for high-dimensional BSDEs (RePEc:bpj:mcmeap:v:30:y:2024:i:2:p:183-203:n:1005)
by Gnameho Kossi & Stadje Mitja & Pelsser Antoon - Asset-Liability Management for Long-Term Insurance Business (RePEc:chf:rpseri:rp1769)
by Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner - On the Applicability of the Wang Transform for Pricing Financial Risks (RePEc:cup:astinb:v:38:y:2008:i:01:p:171-181_01)
by Pelsser, Antoon - The IFRS 17 contractual service margin: a life insurance perspective (RePEc:cup:bracjl:v:26:y:2021:i::p:-_2)
by Yousuf, W. & Stansfield, J. & Malde, K. & Mirin, N. & Walton, R. & Thorpe, B. & Thorpe, J. & Iftode, C. & Tan, L. & Dyble, R. & Pelsser, A. & Ghosh, A. & Qin, W. & Berry, T. & Er, C. - Robust hedging in incomplete markets (RePEc:cup:jpenef:v:18:y:2019:i:03:p:473-493_00)
by Shen, Sally & Pelsser, Antoon & Schotman, Peter - Robust long-term interest rate risk hedging in incomplete bond markets (RePEc:cup:jpenef:v:20:y:2021:i:2:p:273-300_6)
by Shen, Sally & Pelsser, Antoon & Schotman, Peter - Pricing and hedging in incomplete markets with model uncertainty (RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925)
by Balter, Anne G. & Pelsser, Antoon - Near-optimal asset allocation in financial markets with trading constraints (RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781)
by Kamma, Thijs & Pelsser, Antoon - Transaction costs and efficiency of portfolio strategies (RePEc:eee:ejores:v:91:y:1996:i:2:p:250-263)
by Pelsser, Antoon & Vorst, Ton - What does a term structure model imply about very long-term interest rates? (RePEc:eee:empfin:v:62:y:2021:i:c:p:202-219)
by Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C. - Pricing and hedging guaranteed annuity options via static option replication (RePEc:eee:insuma:v:33:y:2003:i:2:p:283-296)
by Pelsser, Antoon - Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (RePEc:eee:insuma:v:35:y:2004:i:2:p:369-398)
by Schrager, David F. & Pelsser, Antoon A.J. - Analytical approximations for prices of swap rate dependent embedded options in insurance products (RePEc:eee:insuma:v:44:y:2009:i:1:p:124-134)
by Plat, Richard & Pelsser, Antoon - Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448)
by van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David - Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (RePEc:eee:insuma:v:47:y:2010:i:3:p:266-277)
by van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon - Optimal dividends and ALM under unhedgeable risk (RePEc:eee:insuma:v:53:y:2013:i:3:p:515-523)
by Pelsser, Antoon A.J. & Laeven, Roger J.A. - Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework (RePEc:eee:insuma:v:58:y:2014:i:c:p:89-102)
by Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard - Time-consistent actuarial valuations (RePEc:eee:insuma:v:66:y:2016:i:c:p:97-112)
by Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad - Sustainability of participation in collective pension schemes: An option pricing approach (RePEc:eee:insuma:v:74:y:2017:i:c:p:182-196)
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J. - Robust evaluation of SCR for participating life insurances under Solvency II (RePEc:eee:insuma:v:79:y:2018:i:c:p:107-123)
by Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon - Narrative-based robust stochastic optimization (RePEc:eee:jeborg:v:196:y:2022:i:c:p:266-277)
by Klerkx, Rik & Pelsser, Antoon - Modeling non-monotone risk aversion using SAHARA utility functions (RePEc:eee:jetheo:v:146:y:2011:i:5:p:2075-2092)
by Chen, An & Pelsser, Antoon & Vellekoop, Michel - Market Value of Insurance Contracts with Profit Sharing (RePEc:eme:jrfpps:eb043495)
by Pieter Bouwknegt & Antoon Pelsser - Risk managing bermudan swaptions in the libor BGM model (RePEc:ems:eureir:904)
by Pietersz, R. & Pelsser, A.A.J. - A Comparison of Single Factor Markov-Functional and Multi Factor Market Models (RePEc:ems:eureri:1930)
by Pietersz, R. & Pelsser, A.A.J. - Risico en Rendement in Balans voor Verzekeraars (RePEc:ems:euriar:872)
by Pelsser, A.A.J. - Asset-liability management for long-term insurance business (RePEc:hal:journl:hal-01995785)
by Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipovic & Pablo Koch-Médina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Franck Schiller & Hato Schmeiser & Joël Wagner - A comparison of single factor Markov-functional and multi factor market models (RePEc:kap:revdev:v:13:y:2010:i:3:p:245-272)
by Raoul Pietersz & Antoon Pelsser - On the Information in the Interest Rate Term Structure and Option Prices (RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127)
by Frank de Jong & Joost Driessen & Antoon Pelsser - Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis (RePEc:oup:revfin:v:5:y:2001:i:3:p:201-237.)
by Frank De Jong & Joost Driessen & Antoon Pelsser - Pricing Double Barrier Options: An Analytical Approach (RePEc:sce:scecf7:130)
by Antoon Pelsser - Pricing double barrier options using Laplace transforms (RePEc:spr:finsto:v:4:y:2000:i:1:p:95-104)
by Antoon Pelsser - Markov-functional interest rate models (RePEc:spr:finsto:v:4:y:2000:i:4:p:391-408)
by Joanne Kennedy & Phil Hunt & Antoon Pelsser - Level-Slope-Curvature - Fact or Artefact? (RePEc:taf:apmtfi:v:14:y:2007:i:2:p:105-130)
by Roger Lord & Antoon Pelsser - Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (RePEc:taf:quantf:v:11:y:2011:i:5:p:665-691)
by Alexander van Haastrecht & Antoon Pelsser - Mathematical foundation of convexity correction (RePEc:taf:quantf:v:3:y:2003:i:1:p:59-65)
by A. Pelsser - Time-consistent and market-consistent actuarial valuation of the participating pension contract (RePEc:taf:sactxx:v:2021:y:2021:i:4:p:266-294)
by Ahmad Salahnejhad Ghalehjooghi & Antoon Pelsser - Pricing Double Barrier Options: An Analytical Approach (RePEc:tin:wpaper:19970015)
by Antoon Pelsser - Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (RePEc:tin:wpaper:20020037)
by Antoon Pelsser - Level-Slope-Curvature - Fact or Artefact? (RePEc:tin:wpaper:20050083)
by Roger Lord & Antoon Pelsser - Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) (RePEc:tiu:tiucen:0841e78f-a73b-42c1-b7d4-068244534500)
by Stadje, M.A. & Pelsser, A. - Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis (RePEc:tiu:tiucen:1fc274a2-9ac0-4d04-9386-7bb290c8d10a)
by de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A. - Observational Equivalence of Discrete String Models and Market Models (RePEc:tiu:tiucen:adbe78f4-8729-4f92-ba2b-647fa4750a9a)
by Kerkhof, F.L.J. & Pelsser, A. - Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) (RePEc:tiu:tiutis:0841e78f-a73b-42c1-b7d4-068244534500)
by Stadje, M.A. & Pelsser, A. - Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis (RePEc:tiu:tiutis:1fc274a2-9ac0-4d04-9386-7bb290c8d10a)
by de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A. - Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework (RePEc:tiu:tiutis:2429d59c-207f-46d4-9fa2-e3e97f3920a7)
by Chen, Z. & Pelsser, A. & Ponds, E.H.M. - De voordelen van de solidariteitsreserve ontrafeld (RePEc:tiu:tiutis:2dc7ff6e-cecf-439f-b6d7-83f0c8f5172d)
by Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, Antoon - De Voordelen van de Solidariteitsreserve Ontrafeld (RePEc:tiu:tiutis:410c3f2b-8998-4745-ac89-a1573c1ecdc7)
by Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, Antoon - Market-Consistent Valuation of Pension Liabilities (RePEc:tiu:tiutis:50e0b61d-73b9-49a8-9443-6953a9a43052)
by Pelsser, Antoon & Salahnejhad, Ahmad & van den Akker, Ramon - Observational Equivalence of Discrete String Models and Market Models (RePEc:tiu:tiutis:adbe78f4-8729-4f92-ba2b-647fa4750a9a)
by Kerkhof, F.L.J. & Pelsser, A. - Solidariteitsreserve: Doelen en evenwichtigheid (RePEc:tiu:tiutis:edea5254-299d-4097-92eb-83551d805627)
by Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, A. - Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options (RePEc:wly:jfutmk:v:31:y:2011:i:2:p:103-125)
by Alexander Van Haastrecht & Antoon Pelsser - Risk Managing Bermudan Swaptions in the Libor BGM Model (RePEc:wpa:wuwpfi:0502004)
by Raoul Pietersz & Antoon Pelsser - Fast drift approximated pricing in the BGM model (RePEc:wpa:wuwpfi:0502005)
by Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel - A Comparison of Single Factor Markov-functional and Multi Factor Market Models (RePEc:wpa:wuwpfi:0502008)
by Raoul Pietersz & Antoon Pelsser - Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model (RePEc:wsi:ijtafx:v:13:y:2010:i:01:n:s0219024910005668)
by Alexander Van Haastrecht & Antoon Pelsser