In his research, Pelsser focuses on risk management for banks, insurance companies and pension funds. A special area of attention is the impact of model uncertainty on the valuation and hedging of risks in insurance and pension contracts.

As professor by special appointment at the UvA, Pelsser will focus on the impact and consequences of model uncertainty on enterprise risk management for insurers and insurance brokers. All models are only approximations of reality. The assumptions within the model can sometimes have a major impact on the results. It is therefore important to provide insight into the extent to which model outcomes are influenced by assumptions that have been made. This can be done, for example, by calculating several alternative models that all make plausible assumptions. This enables users to distinguish between “robust” and “fragile” model outcomes, i.e. outcomes supported by multiple models versus outcomes specific to one particular model. By basing decisions on the robust outcomes, better and more stable risk management can be achieved.

About Antoon Pelsser
Since 2009, Pelsser has been professor of Finance and Actuarial Science at Maastricht University. In addition, since 2017, he has been working as an independent consultant in the field of market-consistent valuation of insurance and pension contracts. From 2012-2017, Pelsser was head of R&D at Kleynen Consultants. From 2007-2009 he was professor of Actuarial Sciences at the UvA. Pelsser has also previously worked at ING and Nationale-Nederlanden, among others.

Pelsser is a research fellow of the Netspar knowledge network. In 2018, he received a grant from Netspar for the three-year programme: Design of Pension Contracts in Incomplete Markets and under Uncertainty. He has published in leading scientific journals, including Journal of Economic Theory, Mathematical Finance, Finance and Stochastics, and Insurance: Mathematics and Economics. He is an Honorary Fellow of the Institute of Actuaries in the United Kingdom.