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)

10

H index

11

i10 index

264

Citations

RESEARCH PRODUCTION:

28

Articles

28

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 11
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 10 (3.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe38
   Updated: 2021-03-01    RAS profile: 2020-09-07    
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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 (10)

Pietersz, Raoul (9)

Schlogl, Erik (8)

Rayée, Grégory (7)

Nikitopoulos-Sklibosios, Christina (7)

De Waegenaere, Anja (3)

Ballotta, Laura (3)

Oosterlee, Cornelis (3)

Sutcliffe, Charles (3)

van Wijnbergen, Sweder (3)

Navas, Javier (2)

Cites to:

Sandmann, Klaus (14)

Duffie, Darrell (10)

Jamshidian, Farshid (9)

Cao, Charles (8)

Chen, Zhiwu (8)

Scholes, Myron (7)

Dybvig, Philip (7)

merton, robert (7)

Dybvig, Phillip (7)

Hansen, Lars (6)

Ponds, Eduard (6)

Main data


Where Antoon Pelsser has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics10
European Journal of Operational Research2
Mathematical Finance2
Review of Derivatives Research2
Finance and Stochastics2
Quantitative 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 (2021 and 2020)


YearTitle of citing document
2020Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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

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

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

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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.

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

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

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

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

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2020Individual antecedents of real options appraisal: The role of national culture and ambiguity. (2020). , Raymond ; Trigeorgis, Lenos ; Driouchi, Tarik. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1018-1032.

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2020Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

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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.

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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.

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2020Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching. (2020). He, Xin-Jiang ; Lin, Sha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315456.

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2020Valuation of caps and swaptions under a stochastic string model. (2020). Navas, Javier ; Moreno, Manuel ; Bueno-Guerrero, Alberto. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305744.

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2020Pricing 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.

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

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2020ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets. (2020). Mourtas, Spyridon D ; Katsikis, Vasilios N. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09936-5.

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2020Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2020). van Wijnbergen, Sweder. In: De Economist. RePEc:kap:decono:v:168:y:2020:i:3:d:10.1007_s10645-020-09366-x.

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2020Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?. (2020). Romaniuk, Katarzyna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00252-z.

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2020Optimal reinsurance and investment in a diffusion model. (2020). Schmidli, Hanspeter ; Brachetta, Matteo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00265-8.

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2020The value of a liability cash flow in discrete time subject to capital requirements. (2020). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00408-0.

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Works by Antoon Pelsser:


YearTitleTypeCited
2017Robust evaluation of SCR for participating life insurances under Solvency II In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper0
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 0
paper
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 0
article
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
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paper20
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
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This paper has another version. Agregated cites: 20
article
2011Time-Consistent Actuarial Valuations In: Papers.
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paper4
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 4
article
2013Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims In: Papers.
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paper0
2014Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo In: Papers.
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paper1
2013Extrapolating the term structure of interest rates with parameter uncertainty In: Papers.
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paper0
2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints In: Papers.
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paper0
2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
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article11
2019A Monte Carlo method for backward stochastic differential equations with Hermite martingales In: Monte Carlo Methods and Applications.
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article0
2018Asset-Liability Management for Long-Term Insurance Business In: Swiss Finance Institute Research Paper Series.
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paper4
2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 4
paper
2008On the Applicability of the Wang Transform for Pricing Financial Risks In: ASTIN Bulletin.
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article15
2019Robust hedging in incomplete markets In: Journal of Pension Economics and Finance.
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article0
2020Pricing and hedging in incomplete markets with model uncertainty In: European Journal of Operational Research.
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article1
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
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article5
2003Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics.
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article19
2002Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 19
paper
2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics.
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article10
2009Analytical approximations for prices of swap rate dependent embedded options in insurance products In: Insurance: Mathematics and Economics.
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article2
2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics.
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article11
2010Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics.
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article6
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
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article0
2014Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework In: Insurance: Mathematics and Economics.
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article5
2017Sustainability of participation in collective pension schemes: An option pricing approach In: Insurance: Mathematics and Economics.
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article4
2011Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory.
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article10
2003Risk managing bermudan swaptions in the libor BGM model In: Econometric Institute Research Papers.
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paper3
2005Risk Managing Bermudan Swaptions in the Libor BGM Model.(2005) In: Finance.
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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.
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2010A comparison of single factor Markov-functional and multi factor market models.(2010) In: Review of Derivatives Research.
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article
2005A Comparison of Single Factor Markov-functional and Multi Factor Market Models.(2005) In: Finance.
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paper
2003Risico en Rendement in Balans voor Verzekeraars In: ERIM Inaugural Address Series Research in Management.
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paper0
2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
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article13
2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis In: Review of Finance.
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article1
Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997.
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paper6
1997Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
1999Pricing double barrier options using Laplace transforms In: Finance and Stochastics.
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article21
2000Markov-functional interest rate models In: Finance and Stochastics.
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article21
2007Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance.
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article8
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2011Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility In: Quantitative Finance.
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article9
2003Mathematical foundation of convexity correction In: Quantitative Finance.
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article8
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
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paper13
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086).(2014) In: Other publications TiSEM.
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2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
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2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis.(2000) In: Other publications TiSEM.
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2002Observational Equivalence of Discrete String Models and Market Models In: Discussion Paper.
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2002Observational Equivalence of Discrete String Models and Market Models.(2002) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 4
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2013Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework In: Other publications TiSEM.
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2016Market-Consistent Valuation of Pension Liabilities In: Other publications TiSEM.
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2011Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options In: Journal of Futures Markets.
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article5
2005Fast drift approximated pricing in the BGM model In: Finance.
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paper8
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article8

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