Access Statistics for Antoon Pelsser

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Single Factor Markov-Functional and Multi Factor Market Models 0 0 0 158 0 7 7 444
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 1 1 1 507 2 8 16 1,000
Asset-Liability Management for Long-Term Insurance Business 0 0 0 57 2 5 10 130
Asset-liability management for long-term insurance business 0 0 0 0 1 7 10 36
De Voordelen van de Solidariteitsreserve Ontrafeld 0 0 0 0 0 2 6 6
De voordelen van de solidariteitsreserve ontrafeld 0 0 0 0 1 3 4 5
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation 0 0 0 0 1 5 6 6
Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework 0 0 0 0 2 4 7 7
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 11 2 3 5 44
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 1 14 0 1 6 41
Fast drift approximated pricing in the BGM model 0 0 0 711 0 7 10 1,755
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims 0 0 0 12 2 3 3 53
Level-Slope-Curvature - Fact or Artefact? 0 0 0 801 0 5 15 1,746
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 26 1 3 4 100
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 0 2 5 10 13
Market-Consistent Valuation of Pension Liabilities 0 0 0 2 0 0 0 7
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints 0 0 0 12 0 4 4 38
Observational Equivalence of Discrete String Models and Market Models 0 0 0 0 0 2 3 9
Observational Equivalence of Discrete String Models and Market Models 0 0 0 5 0 2 4 64
Pricing Double Barrier Options: An Analytical Approach 0 0 1 2,554 0 1 7 6,476
Pricing Double Barrier Options: An Analytical Approach 0 0 0 677 2 6 10 1,188
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 0 1 758 0 3 7 2,004
Risico en Rendement in Balans voor Verzekeraars 0 0 0 61 1 5 5 274
Risk Managing Bermudan Swaptions in the Libor BGM Model 0 0 0 867 0 1 5 2,106
Risk managing bermudan swaptions in the libor BGM model 0 0 0 37 0 5 6 158
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 2 2 10
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 1 2 10
Solidariteitsreserve: Doelen en evenwichtigheid 0 0 0 4 0 1 2 10
Time-Consistent Actuarial Valuations 0 0 1 27 0 3 7 60
Time-Consistent and Market-Consistent Evaluations 0 0 0 19 1 6 7 71
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 17 3 10 11 66
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 1 1 7 9 15
Total Working Papers 1 1 5 7,338 24 127 210 17,952

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Monte Carlo method for backward stochastic differential equations with Hermite martingales 0 0 0 21 0 5 9 119
A comparison of single factor Markov-functional and multi factor market models 0 0 0 30 0 3 3 127
A gradient method for high-dimensional BSDEs 0 0 1 2 0 5 8 13
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options 0 0 0 1 1 3 5 16
Analytical approximations for prices of swap rate dependent embedded options in insurance products 0 0 0 48 0 3 3 141
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL 0 0 0 5 1 6 16 41
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 6 1 7 10 44
Fast drift-approximated pricing in the BGM model 0 0 0 0 1 9 10 10
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 22 1 3 5 94
Level-Slope-Curvature - Fact or Artefact? 1 1 1 77 1 6 11 299
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 0 16 0 77 83 158
Market Value of Insurance Contracts with Profit Sharing 0 0 1 1 0 4 8 9
Markov-functional interest rate models 1 1 4 2,203 2 11 23 4,590
Mathematical foundation of convexity correction 1 1 10 95 3 10 27 287
Modeling non-monotone risk aversion using SAHARA utility functions 0 0 1 21 0 2 11 112
Narrative-based robust stochastic optimization 0 0 0 6 0 4 7 20
Near-optimal asset allocation in financial markets with trading constraints 0 0 0 4 0 6 10 28
On the Applicability of the Wang Transform for Pricing Financial Risks 0 1 1 10 0 2 4 31
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 169 1 7 9 435
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 1 7 13 57
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 0 0 0 192 1 6 19 405
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 211 0 5 8 453
Pricing and hedging guaranteed annuity options via static option replication 0 0 0 185 0 4 5 516
Pricing and hedging in incomplete markets with model uncertainty 0 0 1 8 1 6 12 43
Pricing double barrier options using Laplace transforms 0 0 3 1,050 0 7 16 2,551
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 0 2 2 93 0 7 9 262
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 18 0 4 7 98
Robust hedging in incomplete markets 0 0 0 5 1 2 3 21
Robust long-term interest rate risk hedging in incomplete bond markets 0 0 1 2 0 1 3 8
Sustainability of participation in collective pension schemes: An option pricing approach 0 0 0 9 0 5 8 49
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 0 0 4 1 4 7 38
Time-consistent actuarial valuations 0 0 0 21 1 8 12 82
Time-consistent and market-consistent actuarial valuation of the participating pension contract 0 0 0 0 1 3 5 8
Transaction costs and efficiency of portfolio strategies 0 0 0 25 2 4 9 76
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices 0 0 0 23 1 2 3 97
What does a term structure model imply about very long-term interest rates? 0 0 0 11 1 3 7 36
Total Journal Articles 3 6 26 4,602 23 251 408 11,374
1 registered items for which data could not be found
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Statistics updated 2026-03-04