Łukasz Delong

发表

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps

Łukasz Delong, 2013 .

Pricing and hedging of variable annuities with state-dependent fees

Łukasz Delong, Łukasz Delong, 2014 .

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

Łukasz Delong, 2010 .

Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

A. Pelsser, Łukasz Delong, 2015 .

Quadratic Pricing and Hedging

Łukasz Delong, 2013 .

Nonlinear Expectations and g-Expectations

Łukasz Delong, 2013 .

Pricing and Hedging Under a Least Favorable Measure

Łukasz Delong, 2013 .

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting

Łukasz Delong, A. Chen, 2016 .

BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences

Łukasz Delong, 2010, 1008.3722.

One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model

Łukasz Delong, M. Szatkowski, 2021, SSRN Electronic Journal.

Other Classes of BSDEs

Łukasz Delong, 2013 .

No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process

Łukasz Delong, 2012, ASTIN Bulletin.

Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities

Łukasz Delong, 2011 .

Time-inconsistent stochastic optimal control problems in insurance and finance

Łukasz Delong, 2018 .

Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process

Łukasz Delong, 2009 .

OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

Łukasz Delong, A. Chen, 2014, ASTIN Bulletin.

Asymptotic Optimality of a First-Order Approximate Strategy for an Exponential Utility Maximization Problem with a Small Coefficient of Wealth-Dependent Risk Aversion

Łukasz Delong, 2020 .

Asymptotic Optimality of a First-Order Approximate Strategy for an Exponential Utility Maximization Problem with a Small Coefficient of Wealth-Dependent Risk Aversion

Łukasz Delong, 2020, Applied Mathematics and Optimization.

Making Tweedie’s compound Poisson model more accessible

Mario V. Wuthrich, M. Wüthrich, Łukasz Delong, 2021, European Actuarial Journal.

The use of autoencoders for training neural networks with mixed categorical and numerical features

Łukasz Delong, Anna Kozak, 2023, ASTIN Bulletin.

Fair Valuation of Insurance Liability Cash-Flow Streams in Continuous Time: Theory

Jan Dhaene, Łukasz Delong, Karim Barigou, 2018, Insurance: Mathematics and Economics.

Collective reserving using individual claims data

Mario V. Wuthrich, Mathias Lindholm, Lukasz Delong, 2020, SSRN Electronic Journal.