Antoon Pelsser : Citation Profile


Are you Antoon Pelsser?

Maastricht University (40% share)
Network for Studies on Pensions, Aging and Retirement (NetSPAR) (40% share)
Universiteit van Amsterdam (20% share)

11

H index

12

i10 index

316

Citations

RESEARCH PRODUCTION:

32

Articles

30

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 12
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 11 (3.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe38
   Updated: 2022-11-19    RAS profile: 2022-03-31    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Loisel, Stéphane (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Antoon Pelsser.

Is cited by:

Dhaene, Jan (11)

Schlogl, Erik (9)

Pietersz, Raoul (9)

Rayée, Grégory (7)

Nikitopoulos-Sklibosios, Christina (7)

Ballotta, Laura (4)

Sutcliffe, Charles (3)

De Waegenaere, Anja (3)

arbia, giuseppe (3)

van Wijnbergen, Sweder (3)

Oosterlee, Cornelis (3)

Cites to:

Sandmann, Klaus (14)

Duffie, Darrell (11)

Ponds, Eduard (10)

Singleton, Kenneth (9)

Cao, Charles (8)

Dybvig, Philip (8)

Dybvig, Phillip (8)

Chen, Zhiwu (8)

Jamshidian, Farshid (8)

merton, robert (7)

Scholes, Myron (7)

Main data


Where Antoon Pelsser has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics10
European Journal of Operational Research3
Journal of Pension Economics and Finance2
Review of Derivatives Research2
Finance and Stochastics2
Quantitative Finance2
Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Finance / University Library of Munich, Germany3

Recent works citing Antoon Pelsser (2022 and 2021)


YearTitle of citing document
2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

Full description at Econpapers || Download paper

2022The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343.

Full description at Econpapers || Download paper

2021Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667.

Full description at Econpapers || Download paper

2021No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

Full description at Econpapers || Download paper

2021Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576.

Full description at Econpapers || Download paper

2021Law-invariant functionals that collapse to the mean. (2020). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2009.04144.

Full description at Econpapers || Download paper

2021Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364.

Full description at Econpapers || Download paper

2022Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

Full description at Econpapers || Download paper

2021Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947.

Full description at Econpapers || Download paper

2021Distributionally robust portfolio maximisation and marginal utility pricing in discrete time. (2021). Obloj, Jan ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:2105.00935.

Full description at Econpapers || Download paper

2021A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460.

Full description at Econpapers || Download paper

2021A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2107.10891.

Full description at Econpapers || Download paper

2021Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306.

Full description at Econpapers || Download paper

2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

Full description at Econpapers || Download paper

2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

Full description at Econpapers || Download paper

2022A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

Full description at Econpapers || Download paper

2021Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. (2021). Wiesel, Johannes ; Oboj, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1454-1493.

Full description at Econpapers || Download paper

2021Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. (2021). Sanchez, Alejandra ; Oleaga, Gerardo ; Lopez, Oscar. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:395:y:2021:i:c:s0096300320308079.

Full description at Econpapers || Download paper

2022Explainable neural network for pricing and universal static hedging of contingent claims. (2022). Jain, Shashi ; Bharadwaj, Vikram ; Lokeshwar, Vikranth. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:417:y:2022:i:c:s0096300321008572.

Full description at Econpapers || Download paper

2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

Full description at Econpapers || Download paper

2021Optimal investment under ambiguous technology shocks. (2021). Osaki, Yusuke ; Asano, Takao. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:304-311.

Full description at Econpapers || Download paper

2022Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174.

Full description at Econpapers || Download paper

2022Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility. (2022). Wang, Suxin ; Zhao, Hui. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:3:p:1166-1180.

Full description at Econpapers || Download paper

2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

Full description at Econpapers || Download paper

2021Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79.

Full description at Econpapers || Download paper

2021Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247.

Full description at Econpapers || Download paper

2021Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291.

Full description at Econpapers || Download paper

2021Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13.

Full description at Econpapers || Download paper

2021Law-invariant functionals that collapse to the mean. (2021). Koch-Medina, Pablo ; Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:83-91.

Full description at Econpapers || Download paper

2021Revisiting optimal investment strategies of value-maximizing insurance firms. (2021). Iki, Mario ; Ravanelli, Claudia ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:131-151.

Full description at Econpapers || Download paper

2021Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340.

Full description at Econpapers || Download paper

2021Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

Full description at Econpapers || Download paper

2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

Full description at Econpapers || Download paper

2021Impact of interest rates on the life insurance market development: Cross-country evidence. (2021). Sampaio, Joelson Oliveira ; Frana, Joo Vinicius ; Flores, Eduardo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000659.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022Unit-Linked Tontine: Utility-Based Design, Pricing and Performance. (2022). Sehner, Thorsten ; Nguyen, Thai ; Chen, AN. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:4:p:78-:d:788706.

Full description at Econpapers || Download paper

2021A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:175-:d:646398.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

Full description at Econpapers || Download paper

2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

Full description at Econpapers || Download paper

2021Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244.

Full description at Econpapers || Download paper

2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710.

Full description at Econpapers || Download paper

2022Intergenerational Transfers in the New Dutch Pension Contract. (2022). Stalborch, Stephan ; Mehlkopf, Roel J ; Bilsen, Servaas. In: De Economist. RePEc:kap:decono:v:170:y:2022:i:1:d:10.1007_s10645-022-09399-4.

Full description at Econpapers || Download paper

2022Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1.

Full description at Econpapers || Download paper

2021Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes. (2021). Yu, Xun ; Strub, Moris S. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-020-00444-1.

Full description at Econpapers || Download paper

Works by Antoon Pelsser:


YearTitleTypeCited
2017Robust evaluation of SCR for participating life insurances under Solvency II In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper1
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
[Full Text][Citation analysis]
paper33
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2011Time-Consistent Actuarial Valuations In: Papers.
[Full Text][Citation analysis]
paper6
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2013Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims In: Papers.
[Full Text][Citation analysis]
paper0
2014Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo In: Papers.
[Full Text][Citation analysis]
paper1
2013Extrapolating the term structure of interest rates with parameter uncertainty In: Papers.
[Full Text][Citation analysis]
paper0
2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints In: Papers.
[Full Text][Citation analysis]
paper0
2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
[Full Text][Citation analysis]
article12
2019A Monte Carlo method for backward stochastic differential equations with Hermite martingales In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]
article0
2018Asset-Liability Management for Long-Term Insurance Business In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper7
2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2008On the Applicability of the Wang Transform for Pricing Financial Risks In: ASTIN Bulletin.
[Full Text][Citation analysis]
article17
2021The IFRS 17 contractual service margin: a life insurance perspective In: British Actuarial Journal.
[Full Text][Citation analysis]
article0
2019Robust hedging in incomplete markets In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]
article0
2021Robust long-term interest rate risk hedging in incomplete bond markets In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]
article0
2020Pricing and hedging in incomplete markets with model uncertainty In: European Journal of Operational Research.
[Full Text][Citation analysis]
article7
2022Near-optimal asset allocation in financial markets with trading constraints In: European Journal of Operational Research.
[Full Text][Citation analysis]
article0
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
[Full Text][Citation analysis]
article5
2021What does a term structure model imply about very long-term interest rates? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
2003Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article24
2002Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article11
2009Analytical approximations for prices of swap rate dependent embedded options in insurance products In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article2
2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article12
2010Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2014Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article4
2017Sustainability of participation in collective pension schemes: An option pricing approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article6
2011Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory.
[Full Text][Citation analysis]
article14
2003Risk managing bermudan swaptions in the libor BGM model In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper3
2005Risk Managing Bermudan Swaptions in the Libor BGM Model.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2005A Comparison of Single Factor Markov-Functional and Multi Factor Market Models In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
paper0
2010A comparison of single factor Markov-functional and multi factor market models.(2010) In: Review of Derivatives Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2005A Comparison of Single Factor Markov-functional and Multi Factor Market Models.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2003Risico en Rendement in Balans voor Verzekeraars In: ERIM Inaugural Address Series Research in Management.
[Full Text][Citation analysis]
paper0
2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
[Full Text][Citation analysis]
article14
2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis In: Review of Finance.
[Full Text][Citation analysis]
article7
Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]
paper6
1997Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
1999Pricing double barrier options using Laplace transforms In: Finance and Stochastics.
[Full Text][Citation analysis]
article19
2000Markov-functional interest rate models In: Finance and Stochastics.
[Full Text][Citation analysis]
article21
2007Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article8
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2011Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility In: Quantitative Finance.
[Full Text][Citation analysis]
article9
2003Mathematical foundation of convexity correction In: Quantitative Finance.
[Full Text][Citation analysis]
article8
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
[Full Text][Citation analysis]
paper13
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086).(2014) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
[Full Text][Citation analysis]
paper9
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis.(2000) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2002Observational Equivalence of Discrete String Models and Market Models In: Discussion Paper.
[Full Text][Citation analysis]
paper4
2002Observational Equivalence of Discrete String Models and Market Models.(2002) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2013Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework In: Other publications TiSEM.
[Full Text][Citation analysis]
paper0
2021De voordelen van de solidariteitsreserve ontrafeld In: Other publications TiSEM.
[Full Text][Citation analysis]
paper1
2021De Voordelen van de Solidariteitsreserve Ontrafeld.(2021) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Market-Consistent Valuation of Pension Liabilities In: Other publications TiSEM.
[Full Text][Citation analysis]
paper1
2011Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options In: Journal of Futures Markets.
[Full Text][Citation analysis]
article5
2005Fast drift approximated pricing in the BGM model In: Finance.
[Full Text][Citation analysis]
paper8
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article10

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team