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 5 12 449
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 0 0 1 507 0 2 15 1,002
Asset-Liability Management for Long-Term Insurance Business 0 0 0 57 1 2 12 132
Asset-liability management for long-term insurance business 0 0 0 0 0 7 17 43
De Voordelen van de Solidariteitsreserve Ontrafeld 0 0 0 0 0 2 7 8
De voordelen van de solidariteitsreserve ontrafeld 0 1 1 1 1 4 7 9
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation 0 0 0 0 0 5 11 11
Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework 0 0 0 0 1 1 8 8
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 11 0 2 7 46
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 0 14 0 3 8 44
Fast drift approximated pricing in the BGM model 0 0 0 711 0 3 13 1,758
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 4 7 57
Level-Slope-Curvature - Fact or Artefact? 0 0 0 801 1 4 17 1,750
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 26 0 0 4 100
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 0 0 2 12 15
Market-Consistent Valuation of Pension Liabilities 0 0 0 2 0 1 1 8
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints 0 0 0 12 0 3 7 41
Observational Equivalence of Discrete String Models and Market Models 0 0 0 0 0 2 4 11
Observational Equivalence of Discrete String Models and Market Models 0 0 0 5 0 1 5 65
Pricing Double Barrier Options: An Analytical Approach 0 0 0 677 1 8 18 1,196
Pricing Double Barrier Options: An Analytical Approach 1 1 2 2,555 2 7 13 6,483
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 0 0 758 0 3 9 2,007
Risico en Rendement in Balans voor Verzekeraars 0 0 0 61 0 2 7 276
Risk Managing Bermudan Swaptions in the Libor BGM Model 0 0 0 867 0 5 9 2,111
Risk managing bermudan swaptions in the libor BGM model 0 0 0 37 0 5 11 163
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 1 3 11
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 0 0 2 4 12
Solidariteitsreserve: Doelen en evenwichtigheid 0 0 0 4 0 0 1 10
Time-Consistent Actuarial Valuations 0 0 0 27 1 3 9 63
Time-Consistent and Market-Consistent Evaluations 0 0 0 19 0 3 10 74
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 1 0 4 13 19
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 0 17 1 4 15 70
Total Working Papers 1 2 4 7,340 9 100 296 18,052

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 1 1 22 0 1 10 120
A comparison of single factor Markov-functional and multi factor market models 0 0 0 30 0 2 5 129
A gradient method for high-dimensional BSDEs 0 0 0 2 0 1 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 1 6 17
Analytical approximations for prices of swap rate dependent embedded options in insurance products 0 0 0 48 0 3 6 144
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL 0 0 0 5 1 10 26 51
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 6 1 2 12 46
Fast drift-approximated pricing in the BGM model 0 0 0 0 0 2 12 12
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 22 1 1 6 95
Level-Slope-Curvature - Fact or Artefact? 0 0 1 77 0 5 15 304
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 0 16 2 5 88 163
Market Value of Insurance Contracts with Profit Sharing 0 0 1 1 0 2 10 11
Markov-functional interest rate models 0 2 6 2,205 2 7 28 4,597
Mathematical foundation of convexity correction 1 5 12 100 1 10 32 297
Modeling non-monotone risk aversion using SAHARA utility functions 0 1 2 22 1 7 18 119
Narrative-based robust stochastic optimization 0 0 0 6 1 5 12 25
Near-optimal asset allocation in financial markets with trading constraints 0 0 0 4 0 3 12 31
On the Applicability of the Wang Transform for Pricing Financial Risks 0 0 1 10 2 5 9 36
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 169 1 5 14 440
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 6 18 63
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 0 0 0 192 1 3 20 408
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 211 0 1 9 454
Pricing and hedging guaranteed annuity options via static option replication 1 1 1 186 1 3 7 519
Pricing and hedging in incomplete markets with model uncertainty 0 0 0 8 1 4 15 47
Pricing double barrier options using Laplace transforms 1 1 3 1,051 2 4 17 2,555
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 0 0 2 93 1 3 12 265
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 0 18 0 3 10 101
Robust hedging in incomplete markets 0 0 0 5 1 6 9 27
Robust long-term interest rate risk hedging in incomplete bond markets 0 0 1 2 0 1 4 9
Sustainability of participation in collective pension schemes: An option pricing approach 0 0 0 9 0 3 11 52
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 0 0 4 0 2 8 40
Time-consistent actuarial valuations 0 0 0 21 0 4 15 86
Time-consistent and market-consistent actuarial valuation of the participating pension contract 0 0 0 0 0 2 6 10
Transaction costs and efficiency of portfolio strategies 0 0 0 25 0 1 10 77
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices 0 0 0 23 1 5 8 102
What does a term structure model imply about very long-term interest rates? 1 1 1 12 3 8 13 44
Total Journal Articles 4 12 32 4,614 24 136 521 11,510
1 registered items for which data could not be found
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Statistics updated 2026-06-04