Antoon Pelsser : Citation Profile

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

13

H index

16

i10 index

383

Citations

RESEARCH PRODUCTION:

37

Articles

32

Papers

RESEARCH ACTIVITY:

   29 years (1996 - 2025). See details.
   Cites by year: 13
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 12 (3.04 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe38
   Updated: 2025-12-27    RAS profile: 2025-05-16    
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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)

Vanduffel, Steven (3)

Artzner, Philippe (3)

Di Marcantonio, Michele (3)

van Wijnbergen, Sweder (3)

Cites to:

Sandmann, Klaus (13)

Duffie, Darrell (13)

Detemple, Jerome (13)

Singleton, Kenneth (10)

Ponds, Eduard (10)

merton, robert (9)

Chen, Zhiwu (8)

Cochrane, John (8)

Cao, Charles (8)

Prigent, Jean-Luc (8)

Dybvig, Philip (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
Journal of Pension Economics and Finance2
Review of Derivatives Research2
Mathematical Finance2
Finance and Stochastics2
Quantitative Finance2
Monte Carlo Methods and Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7
Finance / University Library of Munich, Germany3
Tinbergen Institute Discussion Papers / Tinbergen Institute3

Recent works citing Antoon Pelsser (2025 and 2024)

YearTitle of citing document
2024Efficient hedging of life insurance portfolio for loss-averse insurers. (2024). Hainaut, Donatien ; Motte, Edouard. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024013.

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2024Participating life insurances in an equity-Libor Market Model. (2024). Devineau, Laurent ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024015.

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2025Unbiased 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. (2024). Oumgari, Mugad ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2307.14218.

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2025Mean-field Libor market model and valuation of long term guarantees. (2025). Hochgerner, Simon ; Schachinger, Gabriel ; Gach, Florian ; Kienbacher, Eva. In: Papers. RePEc:arx:papers:2310.09022.

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2024PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets. (2024). Shen, Zhenyu ; Liu, Yang. In: Papers. RePEc:arx:papers:2406.00435.

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2024Constrained portfolio optimization in a life-cycle model. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20060.

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2024Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty. (2024). Oosterlee, Cornelis W ; Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2410.21110.

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2024Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach. (2024). Nguyen, Thai ; Chau, Huy. In: Papers. RePEc:arx:papers:2412.10692.

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2025Framework for asset-liability management with fixed-term securities. (2025). Havrylenko, Yevhen. In: Papers. RePEc:arx:papers:2502.19213.

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2025The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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2024Insurance–finance arbitrage. (2024). Artzner, Philippe ; Schmidt, Thorsten ; Eisele, Karltheodor. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

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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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2025Goal-oriented preferences for green bonds: A model of sustainable investment strategies. (2025). Uddin, Gazi Salah ; Nguyen, Thai ; Chen, Yusha. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s0264999325001233.

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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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2025Optimal payoffs under smooth ambiguity. (2025). Vanduffel, Steven ; Wilke, Morten ; Chen, AN. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:754-764.

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2025A study of asset and liability management applied to Brazilian pension funds. (2025). , Joao ; Falcao, Rodrigo ; Bernardino, Wilton ; Alves, Jos Jonas ; de Souza, Filipe Costa ; Ospina, Raydonal. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:3:p:1059-1076.

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2025Singular control in a cash management model with ambiguity. (2025). Archankul, Arnon ; Ferrari, Giorgio ; Hellmann, Tobias. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:2:p:500-514.

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2024Insurer hedging amidst the interplay of black and green swans toward SDGs 3 and 7. (2024). Duan, Xiaoyu ; Chiu, Shiu-Chieh ; Chen, Shi ; Lin, Jyh-Horng. In: Energy Economics. RePEc:eee:eneeco:v:135:y:2024:i:c:s0140988324003657.

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2024Approximate utility. (2024). Dybvig, Philip. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010729.

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2024Coping with longevity via hedging: Fair dynamic valuation of variable annuities. (2024). Chen, ZE ; Yang, Tianyu ; Feng, Runhuan ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:154-169.

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2025Equilibrium intergenerational risk-sharing design for a target benefit pension plan. (2025). Zhu, Xiaobai ; Wang, Yumin ; Li, Danping ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:275-299.

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2025Identifying scenarios for the own risk and Solvency assessment of insurance companies. (2025). Aigner, Philipp. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:30-43.

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2025Approximations of multi-period liability values by simple formulas. (2025). Engler, Nils ; Lindskog, Filip. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000599.

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2025Efficient hedging of life insurance portfolio for loss-averse insurers. (2025). Hainaut, Donatien ; Motte, Edouard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000630.

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2025Liability Management and Solvency of Life Insurers in a Low-Interest Rate Environment: Evidence from Thailand. (2025). Suwanmalai, Wilaiporn ; Zaby, Simon. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:7:p:397-:d:1705090.

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2024Valuation of a Mixture of GMIB and GMDB Variable Annuity. (2024). Han, Yichen ; Li, Luyan ; Fan, Kun ; Wan, Jiaxin. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:441-:d:1329602.

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2024Simulation of square-root processes made simple: applications to the Heston model. (2024). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-04839193.

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2024Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks. (2024). Dacorogna, Michel ; Albrecher, Hansjrg. In: MPRA Paper. RePEc:pra:mprapa:122323.

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2024A semi-supervised learning approach for variance reduction in life insurance. (2024). Salhi, Yahia ; Jimenez, Martin. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04845-7.

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2024Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria. (2024). Souganidis, Panagiotis E ; Zariphopoulou, Thaleia. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:2:d:10.1007_s11579-024-00363-1.

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2025Mean-Field Libor Market Model and Valuation of Long Term Guarantees. (2025). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10146-w.

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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]		paper6
2018Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 6		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 nother version. Agregated cites: 6		article
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
[Full Text][Citation analysis]		paper36
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2011Time-Consistent Actuarial Valuations In: Papers.
[Full Text][Citation analysis]		paper10
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		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
2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation 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]		article14
2019A Monte Carlo method for backward stochastic differential equations with Hermite martingales In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article0
2024A gradient method for high-dimensional BSDEs 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]		paper14
2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		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]		article1
2019Robust hedging in incomplete markets In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article1
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]		article13
2022Near-optimal asset allocation in financial markets with trading constraints In: European Journal of Operational Research.
[Full Text][Citation analysis]		article5
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]		article3
2003Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article28
2002Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
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]		article14
2010Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
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]		article7
2022Narrative-based robust stochastic optimization In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article0
2011Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article24
2002Market Value of Insurance Contracts with Profit Sharing In: Journal of Risk Finance.
[Full Text][Citation analysis]		article0
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 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.
[Full Text][Citation analysis]		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.
[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
Fast drift-approximated pricing in the BGM model In: Journal of Computational Finance.
[Full Text][Citation analysis]		article8
2005Fast drift approximated pricing in the BGM model.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper7
1997Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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]		article9
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article12
2003Mathematical foundation of convexity correction In: Quantitative Finance.
[Full Text][Citation analysis]		article9
2021Time-consistent and market-consistent actuarial valuation of the participating pension contract In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
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 nother 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 nother 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 nother 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 nother version. Agregated cites: 1		paper
2016Market-Consistent Valuation of Pension Liabilities In: Other publications TiSEM.
[Full Text][Citation analysis]		paper1
2022Solidariteitsreserve: Doelen en evenwichtigheid In: Other publications TiSEM.
[Full Text][Citation analysis]		paper0
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
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article15

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