Antoon Pelsser

Antoon Pelsser is a part-time Full Professor of Finance and Actuarial Science at Maastricht University's School of Business and Economics, specifically within the Quantitative Economics department. He holds the key domain chair position in QE Math. Economics & Game Theory. His expertise spans pricing models for interest rate derivatives, insurance/pension contract valuation, and Asset-Liability Management (ALM). He also serves as a consultant at Pelsser Consulting and is a partner at Risk-at-Work, while maintaining roles at Rabobank and Netspar.

Research focuses include market-consistent valuation, replicating portfolios, and risk management in financial markets. Notable grants include a €250k Netspar grant (2023-2027) for intergenerational risk sharing research and a €1 million Netspar grant (2009-2012) analyzing pension fund balance sheets. He collaborates extensively with institutions like Netspar and has advised on regulatory frameworks.

Teaching responsibilities include Mathematical Finance and Life Insurance courses at the master's level, alongside supervising bachelor's and master's theses. His work integrates theoretical finance with practical applications in insurance and pension systems, emphasizing robust optimization and uncertainty quantification.

External engagements include balance sheet management consulting at Rabobank and advisory roles in pension fund regulation. His research output features over 100 peer-reviewed articles addressing topics from stochastic optimization to institutional investment strategies.