Person:375260

Available identifiers

zbMath Open pelsser.antoon-a-jMaRDI QIDQ375260

List of research outcomes

Publication	Date of Publication	Type
A market- and time-consistent extension for the EIOPA risk-margin	2024-02-21	Paper
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models	2021-11-10	Paper
Near-optimal asset allocation in financial markets with trading constraints	2021-11-09	Paper
Time-consistent and market-consistent actuarial valuation of the participating pension contract	2021-07-21	Paper
Pricing and hedging in incomplete markets with model uncertainty	2020-01-23	Paper
A Monte Carlo method for backward stochastic differential equations with Hermite martingales	2019-05-31	Paper
Mathematical foundation of convexity correction	2019-01-14	Paper
Robust evaluation of SCR for participating life insurances under Solvency II	2018-04-12	Paper
A Regress-Later Algorithm for Backward Stochastic Differential Equations	2017-06-24	Paper
The difference between LSMC and replicating portfolio in insurance liability modeling	2017-06-06	Paper
Sustainability of participation in collective pension schemes: an option pricing approach	2017-05-24	Paper
Time-consistent actuarial valuations	2016-01-05	Paper
Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model	2015-03-20	Paper
Optimal dividends and ALM under unhedgeable risk	2014-06-23	Paper
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS	2014-04-23	Paper
A tractable yield-curve model that guarantees positive interest rates	2013-10-29	Paper
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility	2012-02-10	Paper
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices	2012-02-10	Paper
Modeling non-monotone risk aversion using SAHARA utility functions	2011-10-28	Paper
A comparison of single factor Markov-functional and multi factor market models	2011-06-07	Paper
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility	2011-06-07	Paper
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL	2010-05-19	Paper
On the Applicability of the Wang Transform for Pricing Financial Risks	2009-09-13	Paper
Analytical approximations for prices of swap rate dependent embedded options in insurance products	2009-03-04	Paper
Level–Slope–Curvature – Fact or Artefact?	2007-07-16	Paper
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS	2007-02-22	Paper
Pricing rate of return guarantees in regular premium unit linked insurance	2005-01-13	Paper
On the information in the interest rate term structure and option prices	2005-01-12	Paper
Pricing and hedging guaranteed annuity options via static option replication.	2004-02-14	Paper
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis	2002-05-30	Paper
https://portal.mardi4nfdi.de/entity/Q2760400	2002-01-06	Paper
Markov-functional interest rate models	2001-03-01	Paper
https://portal.mardi4nfdi.de/entity/Q4504336	2000-09-13	Paper
Pricing double barrier options using Laplace transforms	2000-05-24	Paper
Transaction costs and efficiency of portfolio strategies	1999-11-10	Paper
https://portal.mardi4nfdi.de/entity/Q4221326	1999-01-03	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Antoon Pelsser