Antoon Pelsser

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

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Known relations from the MaRDI Knowledge Graph

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