Antoon Pelsser : Citation Profile


Are you Antoon Pelsser?

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

11

H index

13

i10 index

352

Citations

RESEARCH PRODUCTION:

35

Articles

31

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 13
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 11 (3.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe38
   Updated: 2024-07-05    RAS profile: 2023-06-08    
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Relations with other researchers


Works with:

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 (10)

Pietersz, Raoul (9)

Nikitopoulos-Sklibosios, Christina (7)

Rayée, Grégory (7)

Delong, Łukasz (4)

Ballotta, Laura (4)

arbia, giuseppe (3)

Di Marcantonio, Michele (3)

Sutcliffe, Charles (3)

Oosterlee, Cornelis (3)

Cites to:

Sandmann, Klaus (14)

Duffie, Darrell (11)

Singleton, Kenneth (10)

Ponds, Eduard (10)

Detemple, Jerome (9)

Chen, Zhiwu (8)

Dybvig, Philip (8)

Prigent, Jean-Luc (8)

Dybvig, Phillip (8)

Jamshidian, Farshid (8)

Cao, Charles (8)

Main data


Where Antoon Pelsser has published?


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

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 (2024 and 2023)


YearTitle of citing document
2023A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460.

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2023A 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.

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2023Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2212.04394.

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2023Simulation schemes for the Heston model with Poisson conditioning. (2023). Kwok, Yue Kuen ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02800.

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2023Approximations of multi-period liability values by simple formulas. (2023). Lindskog, Filip ; Engler, Nils. In: Papers. RePEc:arx:papers:2301.09450.

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2023Unbiased estimators for the Heston model with stochastic interest rates. (2023). Pan, Jiangtao ; Zheng, Chao. In: Papers. RePEc:arx:papers:2301.12072.

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2024Interest rate convexity in a Gaussian framework. (2023). Oumgari, Mugad ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2307.14218.

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2023Mean-field Libor market model and valuation of long term guarantees. (2023). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2310.09022.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2024The integral of the squared Gaussian process. (2024). Reus, Lorenzo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:179:y:2024:i:c:s096007792301319x.

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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.

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2023Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348.

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2023Health insurance, portfolio choice, and retirement incentives. (2023). Marazzina, Daniele ; Biffis, Enrico ; Barucci, Emilio. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:910-921.

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2023On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962.

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2024Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

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2023Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919.

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2023Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923.

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2023Intergenerational sharing of unhedgeable inflation risk. (2023). Beetsma, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:140-160.

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2023On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach. (2023). Zhou, Kenneth Q ; Yang, Shuai. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:206-:d:1288573.

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2023Analysing Quantiles in Models of Forward Term Rates. (2023). van Appel, Jacques ; Schlogl, Erik ; McWalter, Thomas A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181.

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2023A Deep Learning Based Numerical PDE Method for Option Pricing. (2023). Li, Jichun ; Wang, Xiang. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10279-x.

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2023A stochastic Asset Liability Management model for life insurance companies. (2023). Simonella, Roberta ; di Francesco, Marco. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00411-0.

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2023Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4.

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2023Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8.

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2023Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967.

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2023Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823.

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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.
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paper3
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: LIDAM Reprints ISBA.
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This paper has nother version. Agregated cites: 3
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 nother version. Agregated cites: 3
article
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
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paper35
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 35
article
2011Time-Consistent Actuarial Valuations In: Papers.
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paper7
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 7
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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article15
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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paper9
2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 9
paper
2008On the Applicability of the Wang Transform for Pricing Financial Risks In: ASTIN Bulletin.
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article17
2021The IFRS 17 contractual service margin: a life insurance perspective In: British Actuarial Journal.
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article1
2019Robust hedging in incomplete markets In: Journal of Pension Economics and Finance.
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article1
2021Robust long-term interest rate risk hedging in incomplete bond 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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article7
2022Near-optimal asset allocation in financial markets with trading constraints In: European Journal of Operational Research.
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article3
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
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article5
2021What does a term structure model imply about very long-term interest rates? In: Journal of Empirical Finance.
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article3
2003Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics.
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article27
2002Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 27
paper
2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics.
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article11
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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article13
2010Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics.
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article8
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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article4
2017Sustainability of participation in collective pension schemes: An option pricing approach In: Insurance: Mathematics and Economics.
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article6
2022Narrative-based robust stochastic optimization In: Journal of Economic Behavior & Organization.
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article0
2011Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory.
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article19
2002Market Value of Insurance Contracts with Profit Sharing In: Journal of Risk Finance.
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article0
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 nother 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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paper0
2010A comparison of single factor Markov-functional and multi factor market models.(2010) In: Review of Derivatives Research.
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This paper has nother version. Agregated cites: 0
article
2005A Comparison of Single Factor Markov-functional and Multi Factor Market Models.(2005) In: Finance.
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This paper has nother version. Agregated cites: 0
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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article14
2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis In: Review of Finance.
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article7
Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997.
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paper7
1997Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 7
paper
1999Pricing double barrier options using Laplace transforms In: Finance and Stochastics.
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article19
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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article9
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 9
paper
2011Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility In: Quantitative Finance.
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article11
2003Mathematical foundation of convexity correction In: Quantitative Finance.
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article9
In: .
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2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
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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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This paper has nother version. Agregated cites: 9
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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 nother 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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paper0
2021De voordelen van de solidariteitsreserve ontrafeld In: Other publications TiSEM.
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paper1
2021De Voordelen van de Solidariteitsreserve Ontrafeld.(2021) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
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2016Market-Consistent Valuation of Pension Liabilities In: Other publications TiSEM.
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2022Solidariteitsreserve: Doelen en evenwichtigheid 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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article14

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