Antoon Pelsser (A.A.J.)

Research projects

• 2023-2027: Awarded a €250k research grant from Netspar for the 4-year programme: Optimal Intergenerational Risk Sharing with Reference-Dependent Preferences (shared with Servaas van Bilsen)
• 2018-2021: Awarded a €500k research grant from Netspar for the 3-year programme: Design of Pension Contracts in Incomplete Markets and under Uncertainty (shared with Frank de Jong)
• 2012-2015: NWO-TOP grant (€750 k) for the project Model Uncertainty (shared with Peter Schotman, Franz Palm and Jean-Pierre Urbain)
• 2012-2015: Work Package Leader with the Marie Curie ITN project High Performance Computing in Finance (the WP involves €400 k funding)
• 2009-2012: Awarded a €1 mln research grant from Netspar for the 3-year programme: Value and risk on the balance sheet of pension funds and insurance companies (shared with Peter Schotman and Frank de Jong)

 

Key publications

• Klerkx, R., & Pelsser, A. (2022). Narrative-based robust stochastic optimization. Journal of Economic Behavior & Organization, 196, 266-277. https://doi.org/10.1016/j.jebo.2022.02.007

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• Kamma, T., & Pelsser, A. (2022). Near-optimal asset allocation in financial markets with trading constraints. European Journal of Operational Research, 297(2), 766-781. https://doi.org/10.1016/j.ejor.2021.06.029

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• Balter, A. G., Pelsser, A., & Schotman, P. C. (2021). What does a term structure model imply about very long-term interest rates? Journal of Empirical Finance, 62, 202-219. https://doi.org/10.1016/j.jempfin.2021.03.006

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• Balter, A. G., & Pelsser, A. (2021). Quantifying ambiguity bounds via time-consistent sets of indistinguishable models. Systems & Control Letters, 149, Article 104877. https://doi.org/10.1016/j.sysconle.2021.104877

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• Shen, S., Pelsser, A., & Schotman, P. (2021). Robust long-term interest rate risk hedging in incomplete bond markets. Journal of Pension Economics & Finance, 20(2), 273-300. https://doi.org/10.1017/S1474747220000128

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Recent publications

• Pelsser, A., & Yang, L. (2025). Optimal portfolio choice under kinked power utility. Scandinavian Actuarial Journal. Advance online publication. https://doi.org/10.1080/03461238.2025.2450387

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• Pelsser, A., & Yang, L. (2024). Benchmark-driven investment for DC pension plans. Journal of Pension Economics & Finance, 23(4), 476-503. https://doi.org/10.1017/S1474747223000252

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• van Haastrecht, A., & Pelsser, A. (2024). Managing Simulation Uncertainty in Percentiles and Value-at-Risk. De Actuaris, 2024(Oktober), 28-29.

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• Gnameho, K., Stadje, M., & Pelsser, A. (2024). A gradient method for high-dimensional BSDEs. Monte Carlo Methods and Applications, 30(2), 183-203. https://doi.org/10.1515/mcma-2024-2002

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• Ghalehjooghi, A. S., & Pelsser, A. (2023). A market- and time-consistent extension for the EIOPA risk-margin. European Actuarial Journal, 13(2), 517-539. https://doi.org/10.1007/s13385-023-00343-7

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• Pelsser, A., & Néve, G. (2023). Is there a way to show which identical twin is the father of a child? New Scientist, 257(3422), 54. https://doi.org/10.1016/S0262-4079(23)00129-X

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• Klerkx, R., & Pelsser, A. (2022). Narrative-based robust stochastic optimization. Journal of Economic Behavior & Organization, 196, 266-277. https://doi.org/10.1016/j.jebo.2022.02.007

  More information about this publication
• Kamma, T., & Pelsser, A. (2022). Near-optimal asset allocation in financial markets with trading constraints. European Journal of Operational Research, 297(2), 766-781. https://doi.org/10.1016/j.ejor.2021.06.029

  More information about this publication
• Balter, A. G., Pelsser, A., & Schotman, P. C. (2021). What does a term structure model imply about very long-term interest rates? Journal of Empirical Finance, 62, 202-219. https://doi.org/10.1016/j.jempfin.2021.03.006

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• Salahnejhad Ghalehjooghi, A., & Pelsser, A. (2021). Time-consistent and market-consistent actuarial valuation of the participating pension contract. Scandinavian Actuarial Journal, 2021(4), 266-294. https://doi.org/10.1080/03461238.2020.1832911

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