Prof. dr. A.A.J. (Antoon) Pelsser
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Bezoekadres
- Roetersstraat 11
Postadres
- Postbus 15867
1001 NJ Amsterdam
Contactgegevens
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Publicaties
- refereed (32)
- wetenschappelijk (4)
- vakpublicatie (4)
- populair wetenschappelijk (1)
- erkenning (2)
- supervised theses (2)
- working papers / preprints (20)
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
- van Bragt, D., Francke, M. K., Singor, S. N., & Pelsser, A. (2015). Risk-neutral valuation of real estate derivatives. Journal of Derivatives, 23(1), 89-110. https://doi.org/10.3905/jod.2015.23.1.089 [details]
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/
2013
- Pelsser, A. A. J., & Laeven, R. J. A. (2013). Optimal dividends and ALM under unhedgeable risk. Insurance: Mathematics & Economics, 53(3), 515-523. https://doi.org/10.1016/j.insmatheco.2013.07.007 [details]
2011
- Chen, A., Pelsser, A., & Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions. Journal of Economic Theory, 146(5), 2075-2092. https://doi.org/10.1016/j.jet.2011.06.011 [details]
- 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
- 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
- de Jong, F., & Pelsser, A. (2010). Risk and portfolio choices in individual and collective pension plans. Comments. In L. Bovenberg, A. Van Soest, & A. Zaidi (Eds.), Ageing, Health and Pensions in Europe: An Economic and Social Policy Perspective (pp. 64-66). Palgrave Macmillan. https://doi.org/10.1057/9780230307346_3 [details]
- van Haastrecht, A., & Pelsser, A. (2010). Efficient, almost exact simulation of the Heston stochastic volatility model. International Journal of Theoretical and Applied Finance, 13(1), 1-43. https://doi.org/10.1142/S0219024910005668 [details]
- van Haastrecht, A., Plat, R., & Pelsser, A. (2010). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Insurance: Mathematics & Economics, 47(3), 266-277. https://doi.org/10.1016/j.insmatheco.2010.06.007 [details]
2009
- Plat, R., & Pelsser, A. (2009). Analytical approximations for prices of swap rate dependent embedded options in insurance products. Insurance: Mathematics & Economics, 44(1), 124-134. https://doi.org/10.1016/j.insmatheco.2008.11.003 [details]
- van Haastrecht, A., Lord, R., Pelsser, A., & Schrager, D. (2009). Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. Insurance: Mathematics & Economics, 45(3), 436-448. https://doi.org/10.1016/j.insmatheco.2009.09.003 [details]
2008
- Pelsser, A. (2008). On the applicability of the wang transform for pricing financial risks. ASTIN Bulletin, 38(1), 171-181. https://doi.org/10.2143/AST.38.1.2030409 [details]
2007
- Lord, R., & Pelsser, A. (2007). Level-slope-curvature : fact of artefact? Applied Mathematical Finance, 14(2), 105-130. [details]
2006
- Schrager, D. F., & Pelsser, A. A. J. (2006). Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models. Mathematical Finance, 16(4), 673-694. https://doi.org/10.1111/j.1467-9965.2006.00289.x [details]
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. (2019). Lucky dip: What's the best strategy for winning the lottery? New Scientist, 243(3240), 54. https://doi.org/10.1016/S0262-4079(19)31392-2 [details]
2009
- van Haastrecht, A., & Pelsser, A. (2009). Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options. The Journal of Futures Markets, 2010. https://doi.org/10.1002/fut.20461 [details]
- van Haastrecht, A., & Pelsser, A. (2009). Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. In M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, & P. Van Goethem (Eds.), Proceedings of the 8th Actuarial and Financial Mathematics Conference (pp. 71-84). Contactforum. [details]
2008
- Pelsser, A., Bernard, C., & Chen, A. (2008). On the cost of regulation under Solvency II. Life & Pensions, 4(6), 36-40. [details]
2021
- Yang, L., Pelsser, A., & Vellekoop, M. (2021). The Recovery Potential for Underfunded Pension Plans. (Netspar Design Paper; No. 190), (Netspar Industry Series). Netspar. https://www.netspar.nl/en/publication/the-recovery-potential-for-underfunded-pension-plans/ [details]
- van Bilsen, S., Mehlkopf, R., & Pelsser, A. (2021). De Voordelen van de Solidariteitsreserve Ontrafeld. VBA Journaal, 37(148), 45-52. https://cfavba.nl/uploads/vbajournaal/compleet/2021/TOT_VBA%20Journaal%20Winter%202021%20nr%20148_DEF.pdf
2016
- Vellekoop, M., & Pelsser, A. (2016). Kansloos en geschokt. Actuaris, 23(6), 50-51. https://www.ag-ai.nl/bibliotheek-1.php?action=view&Content_Id=4277 [details]
2012
- Danielson, J., Laeven, R. J. A., Perotti, E., Wüthrich, M., Ayadi, R., & Pelsser, A. (2012). Countercyclical regulation in Solvency II: merits and flaws. VOX : Research-based Policy Analysis and Commentary from leading Economists, 2012(23-06-2012). http://www.voxeu.org/article/countercyclical-regulation-solvency-ii-merits-and-flaws [details]
2009
- Pelsser, A. A. J. (2009). Waarom het Nederlandse pensioensysteem tegen een stootje kan. Het Financieele Dagblad.
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.
- Laeven, R., Vellekoop, M., Pelsser, A. & Spierdijk, L. (01-01-2013). Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns [Print] 125 jaar Actuarieel Genootschap : 1888-2013, Actuarieel Genootschap. Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns.
2021
- van Bilsen, S., Pelsser, A. A. J., & Mehlkopf, R. (2021). De Voordelen van de Solidariteitsreserve Ontrafeld. (Netspar Design Paper; No. 186). Netspar. https://www.netspar.nl/publicatie/de-voordelen-van-de-solidariteitsreserve-ontrafeld/
2009
- van Bragt, D., Francke, M., Kramer, B., & Pelsser, A. (2009). Risk-neutral valuation of real estate derivatives. (OFRC working paper series. Technical paper; No. 2009-02). Ortec Finance Research Center. http://www1.feb.uva.nl/pp/bin/1066fulltext.pdf [details]
- van Haastrecht, A., & Pelsser, A. (2009). Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1197262 [details]
- van Haastrecht, A., Lord, R., & Pelsser, A. (2009). Monte Carlo pricing in the Schöbel-Zhu model and its extensions. Faculteit Economie en Bedrijfskunde. [details]
- van Haastrecht, A., Plat, R., & Pelsser, A. (2009). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Faculteit Economie en Bedrijfskunde. [details]
2008
- Chen, A., Pelsser, A. A. J., & Vellekoop, M. H. (2008). Approximate solutions for indifference pricing with general utility functions. Faculteit Economie en Bedrijfskunde.
- Chen, A., Pelsser, A., & Vellekoop, M. (2008). Approximate solutions for indifference pricing under general utility functions. Faculteit Economie en Bedrijfskunde. [details]
- Chen, A., Pelsser, A., & Vellekoop, M. (2008). Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions. Faculteit Economie en Bedrijfskunde. [details]
- Kleinow, T., & Pelsser, A. (2008). Utility maximization under solvency constraints and unhedgeable risks. Faculteit Economie en Bedrijfskunde. [details]
- Pelsser, A., & Vlaar, P. (2008). Market-consistent valuation of pension liabilities. (Netspar Panel Paper; No. 11). Netspar. http://www.netspar.nl/events/2008/oct16/paperpelsser.pdf [details]
- van Haastrecht, A., & Pelsser, A. (2008). Efficient, almost exact simulation of the Heston stochastic volatility model. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1131137 [details]
- van Haastrecht, A., Lord, R., Pelsser, A., & Schrager, D. (2008). Pricing long-maturity equity and FX derivatives with stochastic interest rates and stochastic equity. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1125590 [details]
2007
- Chen, A., Pelsser, A., & Vellekoop, M. (2007). Approximate Solutions for Indifference Pricing under General Utility Functions. Faculteit Economie en Bedrijfskunde. http://www1.feb.uva.nl/pp/bin/695fulltext.pdf [details]
- Pelsser, A. A. J., & Laeven, R. J. A. (2007). Optimal dividends and ALM under unhedgeable risk. Faculteit Economie en Bedrijfskunde. http://www1.feb.uva.nl/pp/bin/384fulltext.pdf [details]
- Pelsser, A. A. J., & Laeven, R. J. A. (2007). Optimal dividends and ALM under unhedgeable risk. Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/pp/bin/384fulltext.pdf [details]
- van Haastrecht, A., & Pelsser, A. A. J. (2007). Efficient simulation and calibration methods of the Heston model with correlated Gaussian rates. Faculteit Economie en Bedrijfskunde.
- van Haastrecht, A., & Pelsser, A. A. J. (2007). Efficient, almost exact simulation of the Heston stochastic volatility model. Faculteit Economie en Bedrijfskunde.
- van Haastrecht, A., & Pelsser, A. A. J. (2007). Long maturity equity options with stochastic volatility and stochastic interest rates: the Schobel-Zhu-Hull-White model. Faculteit Economie en Bedrijfskunde.
2006
- Pelsser, A. A. J., & Laeven, R. J. A. (2006). Optimal dividends and ALM under unhedgeable risk. (Working Paper). Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/pp/bin/384fulltext.pdf [details]
2005
- Schrager, D. F., & Pelsser, A. A. J. (2005). Pricing swaptions and coupon bond options in affine term structure models. Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/499fulltext.pdf [details]
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
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Universiteit Maastricht
Hoogleraar Finance and Actuarial Science
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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.