Lukasz Delong

Mean-variance portfolio selection for a non-life insurance company

Lukasz Delong, Russell Gerrard, 2007, Math. Methods Oper. Res..

Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient

Lukasz Delong, L. Delong, 2019, Math. Methods Oper. Res..

Collective reserving using individual claims data

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

Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

Lukasz Delong, Karim Barigou, L. Delong, 2020, J. Comput. Appl. Math..

Backward stochastic differential equations with time delayed generators - results and counterexamples

Lukasz Delong, Peter Imkeller, P. Imkeller, 2010, 1005.4701.

Mean-variance optimization problems for an accumulation phase in a defined benefit plan

Steven Haberman, Lukasz Delong, Russell Gerrard, 2008 .

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Lukasz Delong, L. Delong, 2010, 1005.4417.