Łukasz Delong SGH

Łukasz Delong

SGH Warsaw School of Economics Collegium of Economic Analysis Institute of Econometrics, Division of Probabilistic Methods

I am working as Associate Professor at SGH Warsaw School of Economics. I have PhD in Mathematics and Habilitation Degree in Economics. I am an actuary with license no. 130 issued by the Polish Financial Supervisor and Vice-President of the Polish Society of Actuaries. My scientific research includes different areas of actuarial mathematics with emphasis on stochastic modelling of financial risks in insurance. I am Editor of ASTIN Bulletin – The Journal of International Actuarial Association.

Highlights:

05.09 – The registration for joint AFIR-ASTIN symposium is open, register here

04.09 – My new paper on one-year risk and ultimate risk is available, read the paper

24.05 – My presentation wins the award for the best paper presented in AFIR-ERM in Florence, read the paper

Workshop/course presentations:

 

2018, 2015, 2013, 2011, Actuarial Methods, Warsaw, Poland (60-hours course for applicants for full members of the Polish Society of Actuaries),

 

2018, Actuarial Methods, Warsaw, Poland (four-days course for actuaries and statisticians of the Polish Financial Supervisor),

 

2015, Stochastic Calculus and Stochastic Modelling in Finance, Warsaw, Poland (two-days course for actuaries and risk analysts of PZU SA),

 

2013, Monte Carlo Methods and Stochastic Modelling, 24th Warsaw Actuarial Summer School, Warsaw, Poland (three-days course for actuaries),

 

2013, Applications of Backward Stochastic Differential Equations with Jumps to Pricing and Hedging of Contingent Claims in Incomplete Markets, 2nd School in Risk Management, Insurance and Finance, St. Petersburg, Russia (one-day course for students, academics and actuaries),

 

2011, Statistics in Finance, Warsaw, Poland (one-day course for applicants for investment advisors organized by The Capital Market Institute),

 

2005, Profit tests as internal company’s models for testing profitability of insurance products – development and implementation, Warsaw, Poland (one-day course for actuaries organized by the Polish Chamber of Insurance).

 

 

Conference presentations:

 

2019, 23rd IME Conference, Munich, Germany, Fair valuation of insurance liability cash flow streams in continuous time,

 

2019, AFIR-ERM Colloquium, Florence, Italy, Fair valuation of insurance liability cash flow streams in continuous time,

 

2018, Workshop for Young Mathematicians organized by German Society of Actuaries, Ulm, Germany, Fair valuation of insurance liability cash flow streams in continuous time (invited talk),

 

2018, Actuarial and Financial Mathematics Conference, Brussels, Belgium, Time-inconsistent optimization problems in insurance and finance (invited talk),

 

2017, 12th Conference on Actuarial Statistics, Warsaw, Poland, Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient,

 

2017, 21st IME Conference, Vienna, Austria, Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient,

 

2017, 55th School of Mathematics, Warsaw, Poland, Risk measures, correlations and diversification (invited talk),

 

2016, 3rd EAJ Conference, Lyon, France, Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting,

 

2016, 20th IME Conference, Atlanta, USA, Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting,

 

2014, 18th IME Conference, Shanghai, China, Pricing and hedging of variable annuities with state-dependent fees,

 

2014, 10th Conference on Actuarial Statistics, Warsaw, Poland, Pricing and hedging of variable annuities with state-dependent fees,

 

2013, 17th IME Conference, Copenhagen, Denmark, Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked insurance claims,

 

2013, 22nd AFIR Colloquium, Lyon, France, Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked insurance claims,

 

2013, 1st German-Polish Joint Conference on Probability and Mathematical Statistics, Toruń, Poland, Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked insurance claims (invited talk),

 

2013, 6th General AMaMeF Conference, Warsaw, Poland, Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked insurance claims,

 

2012, 2th Conference on Probability, Będlewo, Poland, Pricing and hedging methods for insurance and financial products (invited talk),

 

2012, 8th Conference on Actuarial Statistics, Warsaw, Poland, Pricing and hedging methods for insurance and financial products,

 

2012, Actuarial and Financial Conference, Brussels, Belgium, No-good-deal, local mean-variance and ambiguity risk pricing and hedging of an insurance payment process,

 

2011, 15th IME Conference, Triest, Italy, No-good-deal, local mean-variance and ambiguity risk pricing and hedging of an insurance payment process,

 

2011, Workshop on Stochastic Models and Control, Bad Herrenalb, Germany, Time-delayed BSDEs: the theory and applications (invited talk),

 

2011, Actuarial and Financial Mathematics Conference, Brussels, Belgium, Applications of time-delayed BSDEs to pricing, hedging and management of insurance and financial risks,

 

2010, 5th Conference on Actuarial Statistics, Wrocław, Poland, Applications of time-delayed BSDEs to pricing, hedging and management of insurance and financial risks,

 

2010, 14th IME Conference, Toronto, Canada, Applications of time-delayed BSDEs to pricing, hedging and management of insurance and financial risks,

 

2010, 5th General AmaMeF Conference, Bled, Slovenia, Time-delayed BSDEs, with applications to finance and insurance,

 

2009, 5th Conference on Actuarial Statistics, Warsaw, Poland, Applications of backward stochastic differential equations to insurance and finance,

 

2009, 13th IME Conference, Istanbul, Turkey, Optimal investment strategies for an index-linked insurance payment process under stochastic intensity,

 

2008, 4th Conference on Actuarial Statistics, Warsaw, Poland, Optimal investment strategies for an index-linked insurance payment process under stochastic intensity,

 

2007, 11th IME Conference, Piraeus, Greece, Mean-variance optimization problems for an accumulation phase in a defined benefit plan,

 

2007, 16th AFIR Colloquium, Stockholm, Sweden, Indifference pricing of a life insurance portfolio with systematic mortality risk in a market driven by a Lévy process,

 

2007, 3rd Conference on Actuarial Statistics, Wrocław, Poland, Mean-variance optimization problems for an accumulation phase in a defined benefit plan,

 

2007, 2nd General AMaMeF Conference, Będlewo, Poland, Indifference pricing of a life insurance portfolio with systematic mortality risk in a market driven by a Lévy process,

 

2007, 2nd General AMaMeF Conference, Będlewo, Poland, Optimal investment and consumption in Black-Scholes market with coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process, presented by Claudia Klüppelberg (as invited speaker),

 

2005, 34th Conference on Applied Mathematics, Zakopane, Poland, Indifference pricing of a life insurance policy,

 

2005, 36th ASTIN Colloquium, Zurich, Switzerland, Optimal investment strategy for a non-life insurance company: quadratic loss,

 

2005, 1st Conference on Actuarial Statistics, Wrocław, Poland, Optimal investment strategy for a non-life insurance company: quadratic loss.

Contact

Adres e-mail:
lukasz.delong-AT-sgh.waw.pl

  • Łukasz Delong
    Madalińskiego 6/8, 02-513 Warsaw
    Room: 207, 209M
    Consultancy hours: IE SGH (please send an e-mail before the meeting)