What does a term structure model imply about very long-term interest rates?

Autor: Antoon Pelsser, Anne G. Balter, Peter C. Schotman

Publikováno v: Journal of Empirical Finance, 62, 202-219. Elsevier

The purpose of the paper is to extrapolate the yield curve. Taking data from time series of observed yields up to 20 years, what are model implied yields for longer maturities? We use a standard Gaussian essentially ane model that we estimate by Baye

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3488ff24a0d3675b47fb3b234ac187fb
https://doi.org/10.1016/j.jempfin.2021.03.006

The effect of the assumed interest rate and smoothing in variable annuities

Autor: Bas J. M. Werker, Anne G. Balter

Publikováno v: ASTIN Bulletin, 50(1), 131-154. Peeters Publishers

In this paper, we consider the risk–return trade-off for variable annuities in a Black–Scholes setting. Our analysis is based on a novel explicit allocation of initial wealth over the payments at various horizons. We investigate the relationship

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a1739fda5e26e584c945a93474f89a59
https://doi.org/10.1017/asb.2019.27

Time-consistency of optimal investment under smooth ambiguity

Autor: Anne G. Balter, Antje Mahayni, Nikolaus Schweizer

Publikováno v: European Journal of Operational Research, 293(2), 643-657. Elsevier Science BV

We study portfolio choice in a Black-Scholes world under drift uncertainty. Preferences towards risk and ambiguity are modeled using the smooth ambiguity approach under a double power utility assumption and a normal distribution assumption on the unk

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6773a41a62982c7ab4e9938caeebf32
https://research.tilburguniversity.edu/en/publications/b712c02b-ffc9-4bae-b4e3-5d628ce1f3bd

Variability in pension products:A comparison study between the Netherlands and Denmark

Autor: Malene Kallestrup-Lamb, Anne G. Balter, Jesper Rangvid

Publikováno v: Balter, A G, Kallestrup-Lamb, M & Rangvid, J 2020, ' Variability in pension products : A comparison study between the Netherlands and Denmark ', Annals of Actuarial Science, vol. 14, no. 2, pp. 338-357 . https://doi.org/10.1017/S1748499520000056
Annals of Actuarial Science, 14(2), 338-357

The Danish and the Dutch pension systems are often referred to as “among the best in the world”. We compare pension systems and pension products in Denmark and The Netherlands. We focus on the shifts that have taken place in both countries, from

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::240b2269f8d90c9ae14e7dc34f8686ed
https://pure.au.dk/portal/da/publications/variability-in-pension-products(f1c24ae6-062a-41fd-ae3d-e84813771bd1).html

Robust Stochastic Optimisation with Indistinguishable Models

Autor: Anne G. Balter, Antoon Pelsser

Publikováno v: SSRN Electronic Journal.

Models can be wrong and recognising their limitations is important in financial and economic decision making under uncertainty. Finding the explicit specification of the uncertainty set has been difficult so far. We develop a method that provides a c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::72b4358ecbcf3c3fe99d7be1c2562363
https://doi.org/10.2139/ssrn.2613843