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Results: 42
Number of items: 42
  • Pelsser, A. A. J., & Laeven, R. J. A. (2013). Optimal dividends and ALM under unhedgeable risk. Insurance: Mathematics & Economics, 53(3), 515-523. https://doi.org/10.1016/j.insmatheco.2013.07.007
  • Danielson, J., Laeven, R. J. A., Perotti, E., Wüthrich, M., Ayadi, R., & Pelsser, A. (2012). Countercyclical regulation in Solvency II: merits and flaws. VOX : Research-based Policy Analysis and Commentary from leading Economists, 2012(23-06-2012). http://www.voxeu.org/article/countercyclical-regulation-solvency-ii-merits-and-flaws
  • Chen, A., Pelsser, A., & Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions. Journal of Economic Theory, 146(5), 2075-2092. https://doi.org/10.1016/j.jet.2011.06.011
  • Open Access
    Plat, H. J. (2011). Essays on valuation and risk management for insurers. [Thesis, fully internal, Universiteit van Amsterdam].
  • de Jong, F., & Pelsser, A. (2010). Risk and portfolio choices in individual and collective pension plans. Comments. In L. Bovenberg, A. Van Soest, & A. Zaidi (Eds.), Ageing, Health and Pensions in Europe: An Economic and Social Policy Perspective (pp. 64-66). Palgrave Macmillan. https://doi.org/10.1057/9780230307346_3
  • van Haastrecht, A., Plat, R., & Pelsser, A. (2010). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Insurance: Mathematics & Economics, 47(3), 266-277. https://doi.org/10.1016/j.insmatheco.2010.06.007
  • van Haastrecht, A., & Pelsser, A. (2010). Efficient, almost exact simulation of the Heston stochastic volatility model. International Journal of Theoretical and Applied Finance, 13(1), 1-43. https://doi.org/10.1142/S0219024910005668
  • Open Access
    van Haastrecht, A. (2010). Pricing long-term options with stochastic volatility and stochastic interest rates. [Thesis, fully internal, Universiteit van Amsterdam]. Wohrmann Print Service.
  • Open Access
    Pietersz, R., & Pelsser, A. (2010). A comparison of single factor Markov-functional and multi factor market models. Review of Derivatives Research, 13(3), 245-272. https://doi.org/10.1007/s11147-009-9050-5
  • van Haastrecht, A., Plat, R., & Pelsser, A. (2009). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Faculteit Economie en Bedrijfskunde.
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