77 citations · 83 across the 6 of their papers we have counts for
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q-fin.PR2011
Time-Consistent Actuarial Valuations
Antoon Pelsser
Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we invest…
q-fin.PR2011★ 77 cited
Time-Consistent and Market-Consistent Evaluations
Mitja Stadje, Antoon Pelsser
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such pa…