Łukasz Delong

Available identifiers

zbMath Open delong.lukaszMaRDI QIDQ354260

List of research outcomes

Publication	Date of Publication	Type
The use of autoencoders for training neural networks with mixed categorical and numerical features	2023-07-13	Paper
Collective reserving using individual claims data	2022-06-20	Paper
Making Tweedie's compound Poisson model more accessible	2021-12-17	Paper
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks	2021-12-14	Paper
Gamma mixture density networks and their application to modelling insurance claim amounts	2021-11-19	Paper
Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion	2021-08-11	Paper
ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION	2020-08-31	Paper
Fair valuation of insurance liability cash-flow streams in continuous time: theory	2019-09-19	Paper
FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS	2019-05-29	Paper
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient	2019-03-13	Paper
OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL	2018-06-04	Paper
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting	2016-12-14	Paper
Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model	2015-03-20	Paper
Pricing and hedging of variable annuities with state-dependent fees	2015-01-28	Paper
No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process	2013-12-12	Paper
Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps	2013-07-18	Paper
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance	2012-12-06	Paper
BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences	2012-08-13	Paper
Exponential utility optimization, indifference pricing and hedging for a payment process	2012-04-17	Paper
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process	2012-02-10	Paper
Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process	2011-02-22	Paper
Backward stochastic differential equations with time delayed generators -- results and counterexamples	2010-09-01	Paper
On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures	2010-08-18	Paper
Mean-variance optimization problems for an accumulation phase in a defined benefit plan	2008-08-22	Paper
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients	2008-07-01	Paper
https://portal.mardi4nfdi.de/entity/Q5448036	2008-03-20	Paper
Mean-variance portfolio selection for a non-life insurance company	2008-02-20	Paper
Optimal investment strategy for a non-life insurance company: quadratic loss	2006-05-18	Paper

Research outcomes over time

This page was built for person: Łukasz Delong