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.In this inaugural address Professor Pelsser investigates how one can strike a balance between investmens with a high expected return and high risk (e.g. stocks) versus low-risk investments with a low return (e.g.bonds). Using an example of a life-insurance company he shows in this
address how one can employ optimisation-techniques to make a trade-off between the desire to find an investment return as high as possible under the constraint that the insurance company should be able to meet its obligations to the policyholders under all economic circumstances