Details about Antoon Pelsser
Access statistics for papers by Antoon Pelsser.
Last updated 2024-09-06. Update your information in the RePEc Author Service.
Short-id: ppe38
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Working Papers
2022
- Solidariteitsreserve: Doelen en evenwichtigheid
Other publications TiSEM, Tilburg University, School of Economics and Management 
2021
- De Voordelen van de Solidariteitsreserve Ontrafeld
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2021) View citations (1)
2019
- Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
Papers, arXiv.org
2018
- Asset-Liability Management for Long-Term Insurance Business
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (10)
Also in Post-Print, HAL (2018) View citations (10)
- Robust evaluation of SCR for participating life insurances under Solvency II
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) View citations (1)
See also Journal Article Robust evaluation of SCR for participating life insurances under Solvency II, Insurance: Mathematics and Economics, Elsevier (2018) View citations (5) (2018)
2016
- Market-Consistent Valuation of Pension Liabilities
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
2014
- Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
Papers, arXiv.org View citations (1)
- Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)
Other publications TiSEM, Tilburg University, School of Economics and Management
Also in Discussion Paper, Tilburg University, Center for Economic Research (2014) View citations (15)
2013
- Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework
Other publications TiSEM, Tilburg University, School of Economics and Management
- Extrapolating the term structure of interest rates with parameter uncertainty
Papers, arXiv.org
- Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Papers, arXiv.org
- Time-Consistent and Market-Consistent Evaluations
Papers, arXiv.org View citations (15)
See also Journal Article TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS, Mathematical Finance, Wiley Blackwell (2014) View citations (31) (2014)
2011
- Time-Consistent Actuarial Valuations
Papers, arXiv.org
See also Journal Article Time-consistent actuarial valuations, Insurance: Mathematics and Economics, Elsevier (2016) View citations (9) (2016)
2005
- A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
Also in Finance, University Library of Munich, Germany (2005)
See also Journal Article A comparison of single factor Markov-functional and multi factor market models, Review of Derivatives Research, Springer (2010) (2010)
- Fast drift approximated pricing in the BGM model
Finance, University Library of Munich, Germany View citations (9)
- Level-Slope-Curvature - Fact or Artefact?
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article Level-Slope-Curvature - Fact or Artefact?, Applied Mathematical Finance, Taylor & Francis Journals (2007) View citations (9) (2007)
- Risk Managing Bermudan Swaptions in the Libor BGM Model
Finance, University Library of Munich, Germany View citations (3)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
2003
- Risico en Rendement in Balans voor Verzekeraars
ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
2002
- Observational Equivalence of Discrete String Models and Market Models
Discussion Paper, Tilburg University, Center for Economic Research View citations (5)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2002) View citations (3)
- Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article Pricing and hedging guaranteed annuity options via static option replication, Insurance: Mathematics and Economics, Elsevier (2003) View citations (26) (2003)
2000
- Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) View citations (9)
1997
- Pricing Double Barrier Options: An Analytical Approach
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
Also in Computing in Economics and Finance 1997, Society for Computational Economics View citations (4)
Journal Articles
2024
- A gradient method for high-dimensional BSDEs
Monte Carlo Methods and Applications, 2024, 30, (2), 183-203
2022
- Narrative-based robust stochastic optimization
Journal of Economic Behavior & Organization, 2022, 196, (C), 266-277
- Near-optimal asset allocation in financial markets with trading constraints
European Journal of Operational Research, 2022, 297, (2), 766-781 View citations (5)
2021
- Robust long-term interest rate risk hedging in incomplete bond markets
Journal of Pension Economics and Finance, 2021, 20, (2), 273-300
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
Scandinavian Actuarial Journal, 2021, 2021, (4), 266-294
- What does a term structure model imply about very long-term interest rates?
Journal of Empirical Finance, 2021, 62, (C), 202-219 View citations (3)
2020
- Pricing and hedging in incomplete markets with model uncertainty
European Journal of Operational Research, 2020, 282, (3), 911-925 View citations (10)
2019
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
Monte Carlo Methods and Applications, 2019, 25, (1), 37-60 View citations (1)
- Robust hedging in incomplete markets
Journal of Pension Economics and Finance, 2019, 18, (3), 473-493 View citations (1)
2018
- Robust evaluation of SCR for participating life insurances under Solvency II
Insurance: Mathematics and Economics, 2018, 79, (C), 107-123 View citations (5)
See also Working Paper Robust evaluation of SCR for participating life insurances under Solvency II, LIDAM Reprints ISBA (2018) View citations (5) (2018)
2017
- Sustainability of participation in collective pension schemes: An option pricing approach
Insurance: Mathematics and Economics, 2017, 74, (C), 182-196 View citations (6)
2016
- Time-consistent actuarial valuations
Insurance: Mathematics and Economics, 2016, 66, (C), 97-112 View citations (9)
See also Working Paper Time-Consistent Actuarial Valuations, Papers (2011) (2011)
2014
- Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework
Insurance: Mathematics and Economics, 2014, 58, (C), 89-102 View citations (4)
- TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS
Mathematical Finance, 2014, 24, (1), 25-65 View citations (31)
See also Working Paper Time-Consistent and Market-Consistent Evaluations, Papers (2013) View citations (15) (2013)
2013
- Optimal dividends and ALM under unhedgeable risk
Insurance: Mathematics and Economics, 2013, 53, (3), 515-523
2011
- Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
Journal of Futures Markets, 2011, 31, (2), 103-125 View citations (5)
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
Quantitative Finance, 2011, 11, (5), 665-691 View citations (11)
- Modeling non-monotone risk aversion using SAHARA utility functions
Journal of Economic Theory, 2011, 146, (5), 2075-2092 View citations (22)
2010
- A comparison of single factor Markov-functional and multi factor market models
Review of Derivatives Research, 2010, 13, (3), 245-272
See also Working Paper A Comparison of Single Factor Markov-Functional and Multi Factor Market Models, ERIM Report Series Research in Management (2005) (2005)
- EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (01), 1-43 View citations (14)
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Insurance: Mathematics and Economics, 2010, 47, (3), 266-277 View citations (8)
2009
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
Insurance: Mathematics and Economics, 2009, 44, (1), 124-134 View citations (2)
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
Insurance: Mathematics and Economics, 2009, 45, (3), 436-448 View citations (14)
2008
- On the Applicability of the Wang Transform for Pricing Financial Risks
ASTIN Bulletin, 2008, 38, (1), 171-181 View citations (17)
2007
- Level-Slope-Curvature - Fact or Artefact?
Applied Mathematical Finance, 2007, 14, (2), 105-130 View citations (9)
See also Working Paper Level-Slope-Curvature - Fact or Artefact?, Tinbergen Institute Discussion Papers (2005) (2005)
2006
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
Mathematical Finance, 2006, 16, (4), 673-694 View citations (15)
2004
- On the Information in the Interest Rate Term Structure and Option Prices
Review of Derivatives Research, 2004, 7, (2), 99-127 View citations (15)
- Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance
Insurance: Mathematics and Economics, 2004, 35, (2), 369-398 View citations (15)
2003
- Mathematical foundation of convexity correction
Quantitative Finance, 2003, 3, (1), 59-65 View citations (10)
- Pricing and hedging guaranteed annuity options via static option replication
Insurance: Mathematics and Economics, 2003, 33, (2), 283-296 View citations (26)
See also Working Paper Pricing and Hedging Guaranteed Annuity Options via Static Option Replication, Tinbergen Institute Discussion Papers (2002) View citations (3) (2002)
2002
- Market Value of Insurance Contracts with Profit Sharing
Journal of Risk Finance, 2002, 3, (3), 60-64
2001
- Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
Review of Finance, 2001, 5, (3), 201-237 View citations (8)
2000
- Markov-functional interest rate models
Finance and Stochastics, 2000, 4, (4), 391-408 View citations (23)
1999
- Pricing double barrier options using Laplace transforms
Finance and Stochastics, 2000, 4, (1), 95-104 View citations (19)
1996
- Transaction costs and efficiency of portfolio strategies
European Journal of Operational Research, 1996, 91, (2), 250-263 View citations (5)
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