Prof. dr. A.A.J. (Antoon) Pelsser
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Bezoekadres
- Roetersstraat 11
Postadres
- Postbus 15867
1001 NJ Amsterdam
Contactgegevens
-
Publicaties
2020
Balter, A. G., & Pelsser, A. (2020). Pricing and hedging in incomplete markets with model uncertainty. European Journal of Operational Research, 282(3), 911-925. https://doi.org/10.1016/j.ejor.2019.09.054 [details]- Salahnejhad Ghalehjooghi, A., & Pelsser, A. (2020). Time-consistent and market-consistent actuarial valuation of the participating pension contract. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2020.1832911
- Shen, S., Pelsser, A., & Schotman, P. (2020). Robust long-term interest rate risk hedging in incomplete bond markets. Journal of Pension Economics and Finance. https://doi.org/10.1017/S1474747220000128
2019
- Pelsser, A., & Gnameho, K. (2019). A Monte Carlo method for backward stochastic differential equations with Hermite martingales. Monte Carlo Methods and Applications, 25(1), 37-60. https://doi.org/10.1515/mcma-2019-2028
2018
- Albrecher, H., Bauer, D., Embrechts, P., Filipović, D., Koch-Medina, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H., & Wagner, J. (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8(1), 9-25. https://doi.org/10.1007/s13385-018-0167-5
- Hainaut, D., Devolder, P., & Pelsser, A. (2018). Robust evaluation of SCR for participating life insurances under Solvency II. Insurance: Mathematics and Economics, 79, 107-123. https://doi.org/10.1016/j.insmatheco.2017.11.009
2016
- Pelsser, A., & Salahnejhad Ghalehjooghi, A. (2016). Time-consistent actuarial valuations. Insurance: Mathematics and Economics, 66, 97-112. https://doi.org/10.1016/j.insmatheco.2015.10.010
- Pelsser, A., & Schweizer, J. (2016). The difference between LSMC and replicating portfolio in insurance liability modeling. European Actuarial Journal, 6(2), 441-494. https://doi.org/10.1007/s13385-016-0133-z
2015
- Delong, Ł., & Pelsser, A. (2015). Instantaneous mean-variance hedging and sharpe ratio pricing in a regime-switching financial model. Stochastic Models, 31(1), 67-97. https://doi.org/10.1080/15326349.2014.967531
2014
- Chen, Z., Pelsser, A., & Ponds, E. (2014). Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework. Insurance: Mathematics and Economics, 58(1), 89-102. https://doi.org/10.1016/j.insmatheco.2014.06.007
- Pelsser, A., & Stadje, M. (2014). Time-consistent and market-consistent evaluations. Mathematical Finance, 24(1), 25-65. https://doi.org/10.1111/mafi.12026
- van Haastrecht, A., Lord, R., & Pelsser, A. (2014). Monte Carlo pricing in the Schobel-Zhu model and its extensions. Journal of Computational Finance, 17(3), 57-86. https://www.netspar.nl/publicatie/monte-carlo-pricing-in-the-schobel-zhu-model-and-its-extensions/
2011
- van Haastrecht, A., & Pelsser, A. (2011). Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. Quantitative Finance, 11(5), 665-691. https://doi.org/10.1080/14697688.2010.504734
2010
- De Jong, F., & Pelsser, A. (2010). Risk and portfolio choices in individual and collective pension plans: Comments. In Ageing, Health and Pensions in Europe: An Economic and Social Policy Perspective (pp. 64-66). Palgrave Macmillan. https://doi.org/10.1057/9780230307346
- Pietersz, R., & Pelsser, A. (2010). A comparison of single factor Markov-functional and multi factor market models. Review of Derivatives Research, 13(3), 245-272. https://doi.org/10.1007/s11147-009-9050-5
2004
- Pietersz, R., & Pelsser, A. (2004). Risk-managing bermudan swaptions in a LIBOR model. Journal of Derivatives, 11(3), 51-62. https://doi.org/10.3905/jod.2004.391035
2003
- Pelsser, A. (2003). Mathematical foundation of convexity correction. Quantitative Finance, 3(1), 59-65. https://doi.org/10.1088/1469-7688/3/1/306
- Pelsser, A. (2003). Pricing and hedging guaranteed annuity options via static option replication. Insurance: Mathematics and Economics, 33(2), 283-296. https://doi.org/10.1016/S0167-6687(03)00154-9
2002
- Bouwknegt, P., & Pelsser, A. (2002). Market value of insurance contracts with profit sharing. Journal of Risk Finance, 3(3), 60-64. https://doi.org/10.1108/eb043495
- Kerkhof, J., & Pelsser, A. (2002). Observational equivalence of discrete string models and market models. Journal of Derivatives, 10(1), 55-61. https://doi.org/10.3905/jod.2002.319190
2000
- Moraleda, J. M., & Pelsser, A. (2000). Forward versus spot interest rate models of the term structure: An empirical comparison. Journal of Derivatives, 7(3), 9-21. https://doi.org/10.3905/jod.2000.319122
1996
- Pelsser, A., & Vorst, T. (1996). Transaction costs and efficiency of portfolio strategies. European Journal of Operational Research, 91(2), 250-263. https://doi.org/10.1016/0377-2217(95)00282-0
2019
- Pelsser, A. (Author). (2019). Lucky dip. Web publication/site
2021
- van Bilsen, S., Pelsser, A. A. J., & Mehlkopf, R. (2021). De Voordelen van de Solidariteitsreserve Ontrafeld. Netspar Design Papers, 186.
Mediaoptreden
- van Bilsen, S., Mehlkopf, R. & Pelsser, A. (22-10-2021). Solidariteitsreserve kan geen pech- en gelukgeneraties voorkomen Pensioen Pro. Interview after Publication of Netspar Design Paper 186.
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list. -
Nevenwerkzaamheden
-
Universiteit Maastricht
Hoogleraar Finance and Actuarial Science
-
Universiteit Maastricht
Balter, A. G., & Pelsser, A. (2020). Pricing and hedging in incomplete markets with model uncertainty. European Journal of Operational Research, 282(3), 911-925.