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 0 0 437
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 0 0 0 506 0 1 5 988
Asset-Liability Management for Long-Term Insurance Business 0 0 0 57 2 5 8 125
Asset-liability management for long-term insurance business 0 0 0 0 0 0 0 26
De Voordelen van de Solidariteitsreserve Ontrafeld 0 0 0 0 1 1 3 3
De voordelen van de solidariteitsreserve ontrafeld 0 0 0 0 0 0 1 2
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation 0 0 0 0 0 1 1 1
Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework 0 0 0 0 0 0 2 2
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 11 0 2 4 41
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 1 14 2 2 3 38
Fast drift approximated pricing in the BGM model 0 0 0 711 2 2 4 1,748
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 0 0 50
Level-Slope-Curvature - Fact or Artefact? 0 0 0 801 2 2 7 1,736
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 0 1 2 2 5
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 26 0 1 1 97
Market-Consistent Valuation of Pension Liabilities 0 0 0 2 0 0 1 7
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints 0 0 0 12 0 0 0 34
Observational Equivalence of Discrete String Models and Market Models 0 0 0 5 0 0 1 61
Observational Equivalence of Discrete String Models and Market Models 0 0 0 0 0 0 1 7
Pricing Double Barrier Options: An Analytical Approach 0 1 1 2,554 0 2 5 6,472
Pricing Double Barrier Options: An Analytical Approach 0 0 1 677 1 2 3 1,180
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 0 1 758 2 2 4 2,001
Risico en Rendement in Balans voor Verzekeraars 0 0 0 61 0 0 0 269
Risk Managing Bermudan Swaptions in the Libor BGM Model 0 0 0 867 1 1 6 2,104
Risk managing bermudan swaptions in the libor BGM model 0 0 0 37 0 0 1 152
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 0 2 8
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 0 1 8
Solidariteitsreserve: Doelen en evenwichtigheid 0 0 0 4 0 0 2 9
Time-Consistent Actuarial Valuations 0 0 1 27 2 2 3 56
Time-Consistent and Market-Consistent Evaluations 0 0 1 19 1 1 2 65
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 1 1 1 1 7
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 17 0 0 0 55
Total Working Papers 0 1 6 7,337 18 30 74 17,794

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 0 2 111
A comparison of single factor Markov-functional and multi factor market models 0 0 0 30 0 0 0 124
A gradient method for high-dimensional BSDEs 0 0 2 2 0 1 6 7
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options 0 0 0 1 1 1 3 13
Analytical approximations for prices of swap rate dependent embedded options in insurance products 0 0 0 48 0 0 0 138
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL 0 0 0 5 10 10 10 35
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 6 2 2 2 36
Fast drift-approximated pricing in the BGM model 0 0 0 0 1 1 1 1
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 22 1 1 3 90
Level-Slope-Curvature - Fact or Artefact? 0 0 1 76 0 0 4 291
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 0 16 2 3 7 81
Market Value of Insurance Contracts with Profit Sharing 0 1 1 1 1 2 3 4
Markov-functional interest rate models 1 2 5 2,202 4 5 14 4,577
Mathematical foundation of convexity correction 0 3 11 94 1 7 21 275
Modeling non-monotone risk aversion using SAHARA utility functions 0 0 1 21 3 8 9 110
Narrative-based robust stochastic optimization 0 0 4 6 2 2 7 15
Near-optimal asset allocation in financial markets with trading constraints 0 0 0 4 2 2 4 21
On the Applicability of the Wang Transform for Pricing Financial Risks 0 0 1 9 0 0 1 27
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 169 1 1 2 427
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 3 3 8 50
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 0 0 1 192 3 5 14 396
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 211 1 2 2 447
Pricing and hedging guaranteed annuity options via static option replication 0 0 0 185 0 0 1 512
Pricing and hedging in incomplete markets with model uncertainty 0 0 1 8 0 2 4 35
Pricing double barrier options using Laplace transforms 0 1 2 1,049 3 5 12 2,543
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 0 0 2 91 0 0 2 253
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 18 1 2 2 93
Robust hedging in incomplete markets 0 0 0 5 1 1 1 19
Robust long-term interest rate risk hedging in incomplete bond markets 0 1 1 2 0 1 2 7
Sustainability of participation in collective pension schemes: An option pricing approach 0 0 0 9 1 1 2 42
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 0 0 4 0 1 2 33
Time-consistent actuarial valuations 0 0 0 21 1 1 4 73
Time-consistent and market-consistent actuarial valuation of the participating pension contract 0 0 0 0 0 0 2 4
Transaction costs and efficiency of portfolio strategies 0 0 0 25 2 3 3 70
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices 0 0 0 23 0 0 2 94
What does a term structure model imply about very long-term interest rates? 0 0 0 11 1 2 5 33
Total Journal Articles 1 8 33 4,595 48 75 167 11,087
1 registered items for which data could not be found
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Statistics updated 2025-11-08