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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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 Access -
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 AccessFile41 Downloads (Pure) -
Time-consistent and market-consistent actuarial valuation of the participating pension contract
Salahnejhad Ghalehjooghi, A. & Pelsser, A., 21 Apr 2021, In: Scandinavian Actuarial Journal. 2021, 4, p. 266-294 29 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
What does a term structure model imply about very long-term interest rates?
Balter, A. G., Pelsser, A. & Schotman, P. C., Jun 2021, In: Journal of Empirical Finance. 62, p. 202-219 18 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
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
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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Tales on Tails
Antoon Pelsser (Assessment committee member)
30 Aug 2018Activity: PhD examination › 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
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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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Essays on Long-Run Risk
Antoon Pelsser (Assessment committee member)
10 Nov 2016Activity: PhD examination › Academic