Research output per year
Research output per year
Personal profile
External positions
Professor of Enterprise Risk Management, University of Amsterdam
1 Jan 2020 → …
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Narrative-based robust stochastic optimization
Klerkx, R. & Pelsser, A., 1 Apr 2022, In: Journal of Economic Behavior & Organization. 196, p. 266-277 12 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Near-optimal asset allocation in financial markets with trading constraints
Kamma, T. & Pelsser, A., 1 Mar 2022, In: European Journal of Operational Research. 297, 2, p. 766-781 16 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
Balter, A. G. & Pelsser, A., Mar 2021, In: Systems & Control Letters. 149, 7 p., 104877.Research output: Contribution to journal › Article › Academic › peer-review
Open Access1 Citation (Web of Science) -
Robust long-term interest rate risk hedging in incomplete bond markets
Shen, S., Pelsser, A. & Schotman, P., Apr 2021, In: Journal of Pension Economics & Finance. 20, 2, p. 273-300 28 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile161 Downloads (Pure) -
The IFRS 17 contractual service margin: a life insurance perspective
Yousuf, W., Stansfield, J., Malde, K., Mirin, N., Walton, R., Thorpe, B., Thorpe, J., Iftode, C., Tan, L., Dyble, R., Pelsser, A., Ghosh, A., Qin, W., Berry, T. & Er, C., 2 Mar 2021, In: British Actuarial Journal. 26, e2.Research output: Contribution to journal › Article › Academic › peer-review
Open Access
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 / Advice / PR › Consultancy / Advise external parties › Academic
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Institute and Faculty of Actuaries (External organisation)
Antoon Pelsser (Member)
1 Sep 2018 → 1 Sep 2020Activity: Membership (due to research expertise) › Membership of committee › Academic
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Tales on Tails
Antoon Pelsser (Assessment committee member)
30 Aug 2018Activity: PhD examination / assessment committee › PhD (co-) supervision / assessment committee - internal promotion › Academic
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ESSAYS ON LONG- TERM MORTALITY AND INTEREST RATE RISK
Antoon Pelsser (Assessment committee member)
7 Jul 2017Activity: PhD examination / assessment committee › PhD (co-) supervision / assessment committee - internal promotion › Academic
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Risk and Uncertainty
Antoon Pelsser (Assessment committee member)
13 May 2016Activity: PhD examination / assessment committee › PhD (co-) supervision / assessment committee - internal promotion › Academic