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 1 6 8 445
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 0 1 1 507 0 7 14 1,000
Asset-Liability Management for Long-Term Insurance Business 0 0 0 57 0 4 10 130
Asset-liability management for long-term insurance business 0 0 0 0 0 5 10 36
De Voordelen van de Solidariteitsreserve Ontrafeld 0 0 0 0 2 3 8 8
De voordelen van de solidariteitsreserve ontrafeld 0 0 0 0 0 1 3 5
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation 0 0 0 0 2 6 8 8
Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework 0 0 0 0 0 4 7 7
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 11 1 4 6 45
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 1 14 0 0 6 41
Fast drift approximated pricing in the BGM model 0 0 0 711 0 1 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 0 3 3 53
Level-Slope-Curvature - Fact or Artefact? 0 0 0 801 2 6 17 1,748
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 0 0 3 10 13
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 26 0 2 4 100
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 1 2 3 10
Observational Equivalence of Discrete String Models and Market Models 0 0 0 5 0 1 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 3 8 13 1,191
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 0 1 758 0 1 7 2,004
Risico en Rendement in Balans voor Verzekeraars 0 0 0 61 0 3 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 2 6 158
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 0 2 10
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 0 2 10
Solidariteitsreserve: Doelen en evenwichtigheid 0 0 0 4 0 0 2 10
Time-Consistent Actuarial Valuations 0 0 0 27 0 2 6 60
Time-Consistent and Market-Consistent Evaluations 0 0 0 19 1 7 8 72
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 17 2 10 13 68
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 1 2 8 11 17
Total Working Papers 0 1 4 7,338 17 105 222 17,969

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 2 9 119
A comparison of single factor Markov-functional and multi factor market models 0 0 0 30 0 2 3 127
A gradient method for high-dimensional BSDEs 0 0 0 2 1 4 8 14
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options 0 0 0 1 0 2 5 16
Analytical approximations for prices of swap rate dependent embedded options in insurance products 0 0 0 48 0 2 3 141
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL 0 0 0 5 4 10 20 45
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 6 0 4 10 44
Fast drift-approximated pricing in the BGM model 0 0 0 0 0 8 10 10
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 22 0 2 5 94
Level-Slope-Curvature - Fact or Artefact? 0 1 1 77 2 7 13 301
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 0 16 1 41 84 159
Market Value of Insurance Contracts with Profit Sharing 0 0 1 1 0 3 8 9
Markov-functional interest rate models 2 3 6 2,205 3 12 24 4,593
Mathematical foundation of convexity correction 3 4 12 98 5 15 31 292
Modeling non-monotone risk aversion using SAHARA utility functions 1 1 2 22 3 5 14 115
Narrative-based robust stochastic optimization 0 0 0 6 0 1 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 0 1 10 0 1 4 31
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 169 3 9 12 438
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 2 5 15 59
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 0 0 0 192 1 7 20 406
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 211 0 2 8 453
Pricing and hedging guaranteed annuity options via static option replication 0 0 0 185 0 2 5 516
Pricing and hedging in incomplete markets with model uncertainty 0 0 1 8 0 4 12 43
Pricing double barrier options using Laplace transforms 0 0 3 1,050 1 7 17 2,552
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 0 1 2 93 1 5 10 263
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 18 0 2 7 98
Robust hedging in incomplete markets 0 0 0 5 3 5 6 24
Robust long-term interest rate risk hedging in incomplete bond markets 0 0 1 2 0 0 3 8
Sustainability of participation in collective pension schemes: An option pricing approach 0 0 0 9 0 4 8 49
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 0 0 4 1 5 8 39
Time-consistent actuarial valuations 0 0 0 21 0 8 11 82
Time-consistent and market-consistent actuarial valuation of the participating pension contract 0 0 0 0 1 4 5 9
Transaction costs and efficiency of portfolio strategies 0 0 0 25 1 4 10 77
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices 0 0 0 23 0 2 3 97
What does a term structure model imply about very long-term interest rates? 0 0 0 11 1 2 7 37
Total Journal Articles 6 10 30 4,608 34 204 435 11,408
1 registered items for which data could not be found
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Statistics updated 2026-04-09