The following pages link to Łukasz Delong (Q354260):
Displayed 28 items.
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps (Q354261) (← links)
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process (Q661250) (← links)
- Making Tweedie's compound Poisson model more accessible (Q825297) (← links)
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan (Q939338) (← links)
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (Q988681) (← links)
- Backward stochastic differential equations with time delayed generators -- results and counterexamples (Q990389) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion (Q2045132) (← links)
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks (Q2059681) (← links)
- Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
- Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting (Q2374126) (← links)
- Mean-variance portfolio selection for a non-life insurance company (Q2472194) (← links)
- Pricing and hedging of variable annuities with state-dependent fees (Q2513614) (← links)
- Gamma mixture density networks and their application to modelling insurance claim amounts (Q2665857) (← links)
- No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process (Q2866007) (← links)
- Exponential utility optimization, indifference pricing and hedging for a payment process (Q2880815) (← links)
- BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences (Q2904313) (← links)
- Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process (Q3077724) (← links)
- Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (Q3144061) (← links)
- OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL (Q4563743) (← links)
- Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886) (← links)
- Collective reserving using individual claims data (Q5083395) (← links)
- ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION (Q5119566) (← links)
- FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS (Q5379410) (← links)
- (Q5448036) (← links)
- Optimal investment strategy for a non-life insurance company: quadratic loss (Q5469343) (← links)
- The use of autoencoders for training neural networks with mixed categorical and numerical features (Q6174075) (← links)