Template-Type: ReDIF-Paper 1.0
Author-Name: Pelsser, A.A.J.
Author-Name-Last: Pelsser
Author-Name-First: Antoon
Title: Risico en Rendement in Balans voor Verzekeraars
Abstract: Antoon Pelsser (1968) is Head of the Asset-Liability Matching department of ING-Insurance. The ALM department advises the board on the optimal asset allocation to cover the insurance liabilities. The department is also responsible for the calculation of market values and risk measures of insurance contracts. He also holds a part-time position as Professor of Mathematical Finance at the Econometric Institute at the Erasmus University in Rotterdam. His research interests focus on pricing models for interest rate derivatives, the pricing of insurance contracts and Asset-Liability Management of insurance contracts. He has published in several academic journals including Finance and Stochastics, Journal of Derivatives, European Journal of Operational Research and European Finance Review. He is also author of the book Efficient Methods for Valuing Interest Rate Derivatives, published by Springer Verlag.
Creation-Date: 2003-05-02
File-URL: https://repub.eur.nl/pub/872/EIA-2003-018-F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:euriar
Number: EIA-2003-018-F&A
Classification-JEL: C50, G22, G3, G31, M
Keywords: asset liability management, business cinance, corporation finance, corporate finance and governance, financial management, investment policy, investments for insurance companies
Handle: RePEc:ems:euriar:872