Prof. AAJ Pelsser (b. 1968) has been appointed professor of Market-consistent Valuation of Insurance Contracts at the Faculty of Economics and Business of the Universiteit van Amsterdam as of 1 September 2006. It is a new chair.
Market-consistent valuation of insurance contracts and of pension contracts is currently attracting much interest because of international developments in the field of supervision and accounting. The European Union is currently reviewing the European supervisory model for insurers and pension funds (Solvency II) and is setting this up on a market-consistent basis. The consultations for phase II of IFRS (the new international accounting standard) also indicate that market-consistent valuation of insurance contracts is increasingly becoming the norm.
As professor of the new chair of Market-consistent Valuation of Insurance Contracts, Antoon Pelsser will follow up these developments from an academic point of view. His research will be focusing on the question of how insurers and pension funds should assess the market value of their future obligations.
Up to now this usually happened according to classical actuarial models. Developments such as declining stock markets, low interest rates and increasing life expectancy have demonstrated that this classical method can prove inadequate, and calls for fresh knowledge on risk management both for insurers and for pension funds. Pelsser has high expectations of productive collaboration between the profession of actuary and financial economists, and of the fruitful mutual influence of theory and practice. The importance of this field of research is further emphasised by Netspar’s (Network for Study on Pensions, Aging and Retirement) award of a research grant for this research of 1 million euros.
Pelsser currently works at the department of Corporate Insurance Risk Management of ING Group Amsterdam, where he is responsible for developing models for valuation of insurance contracts and for developing internal guidelines for risk management of the insurance subsidiaries of ING Group worldwide. From 2001 till 2006 he was also part-time professor at Erasmus University Rotterdam, where his research focused on valuating options contracts. Pelsser has published in renowned international journals in the fields of mathematical finance and actuarial sciences. He has also authored a book on valuating interest derivatives.