Details about Łukasz Delong

Access statistics for papers by Łukasz Delong.

Last updated 2025-12-05. Update your information in the RePEc Author Service.

Short-id: pde1562

Working Papers

2021

1. Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
   Post-Print, HAL
   Also in Papers, arXiv.org (2021)

2011

2. Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
   Papers, arXiv.org

Journal Articles

2025

1. Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
   North American Actuarial Journal, 2025, 29, (3), 563-591

2023

2. 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

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

2021

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

2020

6. Neural Networks for the Joint Development of Individual Payments and Claim Incurred
   Risks, 2020, 8, (2), 1-34 View citations (4)
7. 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

8. FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS
   ASTIN Bulletin, 2019, 49, (2), 299-333 View citations (17)
9. Fair valuation of insurance liability cash-flow streams in continuous time: Theory
   Insurance: Mathematics and Economics, 2019, 88, (C), 196-208 View citations (7)
10. 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

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

2017

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

2016

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

2015

14. OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL
    ASTIN Bulletin, 2015, 45, (2), 397-419 View citations (10)

2014

15. Pricing and hedging of variable annuities with state-dependent fees
    Insurance: Mathematics and Economics, 2014, 58, (C), 24-33 View citations (15)

2012

16. No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process
    ASTIN Bulletin, 2012, 42, (1), 203-232 View citations (6)

2011

17. Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
    Bank i Kredyt, 2011, 42, (1), 49-78 View citations (3)

2010

18. An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
    Insurance: Mathematics and Economics, 2010, 47, (3), 278-293 View citations (1)
19. Applications of backward stochastic differential equations to insurance and finance
    Collegium of Economic Analysis Annals, 2010, (21), 11-26 View citations (4)
20. On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
    Stochastic Processes and their Applications, 2010, 120, (9), 1748-1775 View citations (26)

2009

21. 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)

2008

22. Mean-variance optimization problems for an accumulation phase in a defined benefit plan
    Insurance: Mathematics and Economics, 2008, 42, (1), 107-118 View citations (21)

2007

23. Mean-variance portfolio selection for a non-life insurance company
    Mathematical Methods of Operations Research, 2007, 66, (2), 339-367 View citations (22)