Details about Łukasz Delong

Access statistics for papers by Łukasz Delong.

Last updated 2023-10-08. Update your information in the RePEc Author Service.

Short-id: pde1449

Journal Articles

2023

1. The use of autoencoders for training neural networks with mixed categorical and numerical features
   ASTIN Bulletin, 2023, 53, (2), 213-232 View citations (2)

2022

2. Collective reserving using individual claims data
   Scandinavian Actuarial Journal, 2022, 2022, (1), 1-28 View citations (2)

2021

3. Gamma Mixture Density Networks and their application to modelling insurance claim amounts
   Insurance: Mathematics and Economics, 2021, 101, (PB), 240-261 View citations (2)
4. One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model
   Risks, 2021, 9, (9), 1-29 View citations (1)

2020

5. Neural Networks for the Joint Development of Individual Payments and Claim Incurred
   Risks, 2020, 8, (2), 1-34 View citations (3)
6. ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION
   ASTIN Bulletin, 2020, 50, (2), 479-511 View citations (1)

2019

7. Fair valuation of insurance liability cash-flow streams in continuous time: Theory
   Insurance: Mathematics and Economics, 2019, 88, (C), 196-208 View citations (7)
8. Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
   Mathematical Methods of Operations Research, 2019, 89, (1), 73-113 View citations (3)

2018

9. Time-inconsistent stochastic optimal control problems in insurance and finance
   Collegium of Economic Analysis Annals, 2018, (51), 229-254

2017

10. Kalibracja dwuczynnikowego modelu chwilowej stopy procentowej typu G2++ w mierze rzeczywistej i neutralnej względem ryzyka
    Bank i Kredyt, 2017, 48, (4), 403-450

2016

11. Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
    Insurance: Mathematics and Economics, 2016, 71, (C), 342-352 View citations (7)

2014

12. Pricing and hedging of variable annuities with state-dependent fees
    Insurance: Mathematics and Economics, 2014, 58, (C), 24-33 View citations (14)

2011

13. Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
    Bank i Kredyt, 2011, 42, (1), 49-78 View citations (2)

2010

14. Applications of backward stochastic differential equations to insurance and finance
    Collegium of Economic Analysis Annals, 2010, (21), 11-26 View citations (4)

2009

15. Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
    Scandinavian Actuarial Journal, 2009, 2009, (1), 1-26 View citations (2)

2007

16. Mean-variance portfolio selection for a non-life insurance company
    Mathematical Methods of Operations Research, 2007, 66, (2), 339-367 View citations (21)