Delong Łukasz
Delong Łukasz
Verified email at sgh.waw.pl
Title
Cited by
Cited by
Year
Backward stochastic differential equations with jumps and their actuarial and financial applications
Ł Delong
Springer, 2013
1692013
Backward stochastic differential equations with time delayed generators—results and counterexamples
Ł Delong, P Imkeller
The Annals of Applied Probability 20 (4), 1512-1536, 2010
872010
On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
Ł Delong, P Imkeller
Stochastic Processes and their Applications 120 (9), 1748-1775, 2010
822010
Mean-variance portfolio selection for a non-life insurance company
Ł Delong, R Gerrard
Mathematical Methods of Operations Research 66 (2), 339-367, 2007
602007
Optimal investment and consumption in a Black–Scholes market with LÚvy-driven stochastic coefficients
Ł Delong, C KlŘppelberg
The Annals of Applied Probability 18 (3), 879-908, 2008
532008
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
L Delong
Arxiv preprint arXiv:1005.4417, 2010
522010
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
L Delong, R Gerrard, S Haberman
Insurance: Mathematics and Economics 42 (1), 107-118, 2008
412008
Pricing and hedging of variable annuities with state-dependent fees
Ł Delong
Insurance: Mathematics and Economics 58, 24-33, 2014
252014
Fair valuation of insurance liability cash-flow streams in continuous time: Applications
Ł Delong, J Dhaene, K Barigou
ASTIN Bulletin: The Journal of the IAA 49 (2), 299-333, 2019
21*2019
No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process
Ł Delong
ASTIN Bulletin: The Journal of the IAA 42 (1), 203-232, 2012
192012
Optimal investment for a defined-contribution pension scheme under a regime switching model
A Chen, Ł Delong
ASTIN Bulletin: The Journal of the IAA 45 (2), 397-419, 2015
182015
Optimal investment strategy for a non-life insurance company: quadratic loss
L Delong
Applicationes Mathematicae 32 (3), 263, 2005
172005
Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a LÚvy process
Ł Delong
Scandinavian Actuarial Journal 2009 (1), 1-26, 2009
142009
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
Ł Delong
Stochastic models 28 (2), 281-315, 2012
132012
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a LÚvy process
L Delong
Insurance: Mathematics and Economics 47 (3), 278-293, 2010
122010
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
Ł Delong, A Chen
Insurance: Mathematics and Economics 71, 342-352, 2016
112016
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Ł Delong
Mathematical Methods of Operations Research 89 (1), 73-113, 2019
102019
Collective reserving using individual claims data
Ł Delong, M Lindholm, MV WŘthrich
Scandinavian Actuarial Journal, 1-28, 2021
72021
Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
L Delong
Bank i Kredyt 42 (1), 49-78, 2011
62011
Optimal investment and consumption in the presence of default on a financial market driven by a LÚvy noise
Ł Delong
Ann. Univ. Mariae Curie-Sk? odowska Sect. A 60, 1-15, 2006
52006
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Articles 1–20