Research

Publications:

• • Balter, A.G., and Schweizer N. (2024). Robust decisions for heterogeneous agents via certainty equivalents, European Journal of Operational Research.

  • Balter, A.G., Schumacher J.M. and  Schweizer, N. (2024). Solving maxmin optimization problems via population games, Journal of Optimization Theory and Applications.

  • Balter, A.G., Chau K. and  Schweizer, N. (2024). Comparative risk aversion vs. threshold choice in the Omega ratio, Omega, 123.

  • Balter, A.G., Vera J. and Schweizer N. (2023). Contingent capital with stock price triggers in interbank networks, Mathematics of Operations Research, 48(1):520-543.

  • Balter, A.G. , Skovgaard Bjerre D. and M. Kallestrup-Lamb (2023). The effect of marital status on life expectancy: Is cohabitation as protective as marriage?, Journal of Demographic Economics, 89(3), 373 - 394.

  • Balter, A.G., Huisman K. and Kort P. (2022). New insights in capacity investment under uncertainty, Journal of Economic Dynamics and Control, 144, 104499. 

  • Balter, A.G., Huisman K. and Kort P. (2022). Effects of creative destruction on the size and timing of an investment, International Journal of Production Economics, 252, 108572.

  • Balter, A.G., Chau K. and  Schweizer, N. (2022). Rabin’s calibration theorem revisited, Economics Letters, 210.

  • Balter, A.G., Pelsser, A. and Schotman P. (2021). What does a term structure model imply about very long-term discount rates?, Journal of Empirical Finance, 62, 202-219.

  • Balter, A.G. and Pelsser, A. (2021). Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Systems & Control Letters, 149, 104877.

  • Balter, A.G., Mahayni, A. and Schweizer N. (2021). Time-consistency of optimal investment under smooth ambiguity, European Journal of Operational Research, 293(2), 643-657.

  • Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2021). Macro longevity risk and the choice between annuity products: Evidence from Denmark, Insurance: Mathematics and Economics, 99, 355-362.

  • Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2020). Variability in pension products: a comparison study between The Netherlands and Denmark, Annals of Actuarial Science, 14(2), 338-357.

  • Balter, A.G. and Werker, B. (2020). The effect of the assumed interest rate and smoothing on variable annuities, ASTIN Bulletin, 50(1), 131-154.

  • Balter, A.G. and Pelsser, A. (2020). Pricing and hedging in incomplete markets with model uncertainty, European Journal of Operational Research, 282(3), 911-925.

Netspar publications:

• • Balter, A.G., van den Goorbergh, R. and Schweizer N. (2024). The impact of uncertainty in risk preferences and  risk capacities on lifecycle investment, Netspar Design Paper, 237.

  • Balter, A.G. and Werker B. (2021). Toedeling van rendementen met spreiding, Netspar Design Paper, 192.

  • Balter, A.G., Bonenkamp, J. and Werker B. (2021). Transitie: gevoeligheid voor veronderstellingen en omstandigheden, Netspar Design Paper, 185.

  • Balter, A.G., De Jong, F. and Pelsser A. (2020). Risk Sharing within Pension Schemes, Netspar Design Paper, 166.

  • Balter, A.G., Beijering, L., Janssen P., De Jong, F., Joseph, A., Kamma, T. and Pelsser A. (2020). Investing for retirement with an explicit benchmark, Netspar Design Paper, 163.

  • Werker, Nijman, Lever, Kocken, van Hoogdalem, Bovenberg, Bouwman, Bonenkamp and Boeijen and Balter, (2019). De bepaling van de marktwaarde van bestaande aanspraken in een uitkeringsovereenkomst, Netspar Occasional Paper, 3.

  • Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2018). The move towards riskier pension products in the world’s best pension systems, Netspar Design Paper, 105.

  • Balter A.G., and Werker, B (2017). The effect of the assumed interest rate and smoothing on variable annuities, Netspar Design Paper, 81.

Working papers:

• • Product life cycles and investment: A real options analysis, with Kuno Huisman and Peter Kort.

  • Model ambiguity versus model misspecification in dynamic portfolio choice and asset pricing, with Pascal Maenhout and Hao Xing.

  • Dynamic stability in population games derived from social decision problems, with Hans Schumacher and Nikolaus Schweizer.

  • Robust hedging of long-term investments under interest rate risk and inflation risk, with Lieske Coumans and Frank de Jong.

Work in progress:

• • Welfare effects due to collective investments based on heterogeneous preferences, with Javier Garcia Gonzalez and Nikolaus Schweizer.

  • Systematic longevity risk: The willingness to pay, with Malene Kallestrup-Lamb and Mathias Danielsen Plovst.

  • Robust hedging of terminal wealth under interest rate risk and inflation risk with the constraint approach, with Lieske Coumans and Frank de Jong.