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Research Output

2020

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 journalArticleAcademicpeer-review

2019

Robust hedging in incomplete markets

Shen, S., Pelsser, A. & Schotman, P., Jul 2019, In : Journal of Pension Economics & Finance. 18, 3, p. 473-493 21 p.

Research output: Contribution to journalArticleAcademicpeer-review

2018

Asset-liability management for long-term insurance business

Albrecher, H., Bauer, D., Embrechts, P., Filipovic, D., Koch-Medina, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H. & Wagner, J., Jun 2018, In : European Actuarial Journal. 8, 1, p. 9-25 17 p.

Research output: Contribution to journalArticleAcademicpeer-review

Robust evaluation of SCR for participating life insurances under Solvency II

Hainaut, D., Devolder, P. & Pelsser, A., Mar 2018, In : Insurance: Mathematics and Economics. 79, p. 107-123 17 p.

Research output: Contribution to journalArticleAcademicpeer-review

2017

Sustainability of participation in collective pension schemes: An option pricing approach

Chen, D. H. J., Beetsma, R. M. W. J., Broeders, D. W. G. A. & Pelsser, A. A. J., May 2017, In : Insurance: Mathematics and Economics. 74, p. 182-196

Research output: Contribution to journalArticleAcademicpeer-review

2016

Kansloos en Geschokt

Pelsser, A. & Vellekoop, M., Jul 2016, In : De Actuaris. 23, 6, p. 50-51

Research output: Contribution to journalArticleProfessional

Market-consistent valuation of pension liabilities

Pelsser, A., Salahnejhad Ghalehjooghi, A. & van den Akker, R., 2016, Tilburg: Netspar. 38 p. (Netspar Industry Paper Series; No. 63).

Research output: Book/ReportReportProfessional

The Difference between LSMC and Replicating Portfolio in Insurance Liability Modeling

Pelsser, A. & Schweizer, J. J., Dec 2016, In : European Actuarial Journal. 6, 2, p. 441-494 54 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
188 Downloads (Pure)

Time-consistent actuarial valuations

Pelsser, A. A. J. & Salahnejhad Ghalehjooghi, A., 1 Jan 2016, In : Insurance: Mathematics and Economics. 66, 1, p. 97-112 16 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
164 Downloads (Pure)

Volkswagen in Verzekeringsland

Pelsser, A., 16 Jun 2016

Research output: Non-textual formWeb publication/siteAcademic

Open Access
2015

Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

Delong, L. & Pelsser, A., 2 Jan 2015, In : Stochastic Models. 31, 1, p. 67-97

Research output: Contribution to journalArticleAcademicpeer-review

Risk-neutral valuation of real estate derivatives

van Bragt, D., Francke, M. K., Singor, S. N. & Pelsser, A. A. J., 1 Jan 2015, In : Journal of derivatives. 23, 1, p. 89-110 22 p.

Research output: Contribution to journalArticleAcademicpeer-review

2014

Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework

Chen, Z., Pelsser, A. A. J. & Ponds, E. H. M., Sep 2014, In : Insurance: Mathematics and Economics. 58, p. 89-102 14 p.

Research output: Contribution to journalArticleAcademicpeer-review

Monte Carlo pricing in the Schobel-Zhu model and its extensions

van Haastrecht, A., Lord, R. & Pelsser, A. A. J., 1 Jan 2014, In : Journal of Computational Finance. 17, 3, p. 57-86

Research output: Contribution to journalArticleAcademicpeer-review

Time-consistent and market-consistent evaluations

Pelsser, A. A. J. & Stadje, M., 1 Jan 2014, In : Mathematical Finance. 24, 1, p. 25-65 41 p.

Research output: Contribution to journalArticleAcademicpeer-review

2013

Optimal dividends and ALM under unhedgeable risk

Pelsser, A. A. J. & Laeven, R. J. A., Nov 2013, In : Insurance: Mathematics and Economics. 53, 3, p. 515-523 9 p.

Research output: Contribution to journalArticleAcademicpeer-review

2011

Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

Pelsser, A. A. J. & van Haastrecht, A., Feb 2011, In : Journal of Futures Markets. 31, 2, p. 103-125 23 p.

Research output: Contribution to journalArticleAcademicpeer-review

Generic Pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

Pelsser, A. A. J. & van Haastrecht, A., 1 Jan 2011, In : Quantitative Finance. 11, 5, p. 665-691 27 p.

Research output: Contribution to journalArticleAcademicpeer-review

Modelling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Pelsser, A. A. J., Chen, A. & Vellekoop, M., 1 Jan 2011, In : Journal of Economic Theory. 146, 5, p. 2075-2092 18 p.

Research output: Contribution to journalArticleAcademicpeer-review

Modelonzekerheid en Waardering

Pelsser, A. A. J., 1 Jan 2011, In : TPE Digitaal. 5, 2, p. 118-134 17 p.

Research output: Contribution to journalArticleAcademic

2010

Comparison of Single-Factor Markov-functional and Multi-Factor Market Models

Pelsser, A. A. J. & Pietersz, R., 1 Jan 2010, In : Review of Derivatives Research. 13, 3, p. 245-272 28 p.

Research output: Contribution to journalArticleAcademicpeer-review

Efficient, almost exact simulation of the Heston stochastic volatility model

Pelsser, A. A. J. & van Haastrecht, A., 1 Jan 2010, In : International Journal of Theoretical and Applied Finance. 13, 1, p. 1-43 43 p.

Research output: Contribution to journalArticleAcademicpeer-review

Herziening Financieel Toetsingskader

Pelsser, A. A. J. & de Jong, F., 1 Jan 2010, In : Pensioen Bestuur en Management. 4, p. 46-48 3 p.

Research output: Contribution to journalArticleProfessional

Modelonzekerheid en Waardering

Pelsser, A. A. J., 24 Sep 2010, Maastricht: Maastricht University. 28 p.

Research output: Book/ReportInaugural speechPopular

Open Access
File
171 Downloads (Pure)

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

Pelsser, A. A. J., van Haastrecht, A. & Plat, R., 1 Jan 2010, In : Insurance: Mathematics and Economics. 47, 3, p. 266-277 12 p.

Research output: Contribution to journalArticleAcademicpeer-review

2009

Analytical approximations for prices of swap rate dependent embedded options in insurance products

Plat, R. & Pelsser, A. A. J., 1 Jan 2009, In : Insurance: Mathematics and Economics. 44, 1, p. 124-134 11 p.

Research output: Contribution to journalArticleAcademicpeer-review

Pricing long-maturity equity and FX derivatives with stochastic interest rates and stochastic equity

van Haastrecht, A., Lord, R. & Pelsser, A. A. J., 1 Jan 2009, In : Insurance: Mathematics and Economics. 45, 3, p. 436-448 13 p.

Research output: Contribution to journalArticleAcademicpeer-review

Waarom het Nederlandse pensioensysteem tegen een stootje kan

Pelsser, A. A. J., 10 Feb 2009, In : Het Financieele dagblad. p. 5-5 1 p.

Research output: Contribution to journalArticlePopular