Risico en Rendement in Balans voor Verzekeraars

Antoon Pelsser

ERIM Inaugural Address Series Research in Management from 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.

Abstract: Antoon Pelsser (1968) is Head of the Asset-Liability Matching department of ING-Insurance. The ALM department advises the board on the optimal asset allocation to cover the insurance liabilities. The department is also responsible for the calculation of market values and risk measures of insurance contracts. He also holds a part-time position as Professor of Mathematical Finance at the Econometric Institute at the Erasmus University in Rotterdam. His research interests focus on pricing models for interest rate derivatives, the pricing of insurance contracts and Asset-Liability Management of insurance contracts. He has published in several academic journals including Finance and Stochastics, Journal of Derivatives, European Journal of Operational Research and European Finance Review. He is also author of the book Efficient Methods for Valuing Interest Rate Derivatives, published by Springer Verlag.

Keywords: asset liability management; business cinance; corporation finance; corporate finance and governance; financial management; investment policy; investments for insurance companies (search for similar items in EconPapers)
JEL-codes: C50 G22 G3 G31 M (search for similar items in EconPapers)
Date: 2003-05-02
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