Research output per year
Research output per year
Personal profile
External positions
Professor of Enterprise Risk Management, University of Amsterdam
1 Jan 2020 → …Research output
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Pricing and hedging in incomplete markets with model uncertainty
Balter, A. G. & Pelsser, A., 1 May 2020, In: European Journal of Operational Research. 282, 3, p. 911-925 15 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Robust long-term interest rate risk hedging in incomplete bond markets
Shen, S., Pelsser, A. & Schotman, P., 5 Jun 2020, (E-pub ahead of print) In: Journal of Pension Economics & Finance. p. 1-28 28 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
Time-consistent and market-consistent actuarial valuation of the participating pension contract
Salahnejhad Ghalehjooghi, A. & Pelsser, A., 14 Oct 2020, (E-pub ahead of print) In: Scandinavian Actuarial Journal. 29 p.Research output: Contribution to journal › Article › Academic › peer-review
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What does a term structure model imply about very long-term interest rates
Balter, A., Pelsser, A. & Schotman, P. C., 19 Nov 2020, SSRN, 36 p.Research output: Working paper › Professional
Open Access -
A Monte Carlo method for backward stochastic differential equations with Hermite martingales
Pelsser, A. & Gnameho, K., Mar 2019, In: Monte Carlo Methods and Applications. 25, 1, p. 37-60 24 p.Research output: Contribution to journal › Article › Academic › peer-review
Prizes
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Christiaan Huygens prize
Pelsser, Antoon (Recipient), 7 Oct 1999
Prize: Prize (including medals and awards) › Academic
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Institute and Faculty of Actuaries
Pelsser, Antoon (Recipient), 2015
Prize: Election to learned society › Academic
Activities
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Technical note: Kalman Filter Estimation of the KNW Model
Antoon Pelsser (Consultant / Advisor)
28 May 2019Activity: Consultancy / Advise › Academic
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Institute and Faculty of Actuaries (External organisation)
Antoon Pelsser (Member)
1 Sep 2018 → 1 Sep 2020Activity: Membership › Membership of committee › Academic
File -
Tales on Tails
Antoon Pelsser (Assessment committee member)
30 Aug 2018Activity: PhD examination › Academic
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ESSAYS ON LONG- TERM MORTALITY AND INTEREST RATE RISK
Antoon Pelsser (Assessment committee member)
7 Jul 2017Activity: PhD examination › Academic
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Risk and Uncertainty
Antoon Pelsser (Assessment committee member)
13 May 2016Activity: PhD examination › Academic