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:

23.04 – My new papers are available: neural networks in claims reserving part1part2 and one-year premium risk

20.02 – My paper wins the award for the best paper published in MMOR in 2019, see here

Publications

Books:

 

Delong, Ł., 2013, Backward Stochastic Differential Equations with Jumps and their Actuarial and Financial Applications, Springer, European Actuarial Academy Series, link.

 

 

Papers:

 

Delong, Ł.,Barigou, K., 2020, Pricing equity-linked life insurance contracts with multiple risk factors by neural networks, submitted, pdf,

 

Delong, Ł., Lindholm, M., Wüthrich, M.V., 2020, Making Tweedie’s compound Poisson model more accessible, submitted, pdf,

 

Delong, Ł., Lindholm, M., Wüthrich, M.V., 2020, Collective reserving using individual claims data, submitted, pdf,

 

Delong, Ł., Wüthrich, M.V., 2020, Neural networks for the joint development of individual payments and claim incurred, Risks 8, 1-33, pdf,

 

Delong, Ł., Szatkowski, M., 2020, One-year premium risk and emergence pattern of ultimate loss based on conditional distribution, ASTIN Bulletin 50, 479-511, pdf,

 

Delong, Ł., 2019, Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk, Applied Mathematics and Optimization, in print, pdf,

 

Delong, Ł., Dhaene J., Barigou, K., 2019, Fair valuation of insurance liability cash-flow streams in continuous time: Theory, Insurance: Mathematics and Economics 88, 196-208, pdf, (the award for the best paper presented in AFIR Colloquium in Florence in 2019)

 

Delong, Ł., Dhaene, J., Barigou, K., 2019, Fair valuation of insurance liability cash-flow streams in continuous time: Applications, ASTIN Bulletin 49, 299-333, pdf,

 

Delong, Ł., 2019, Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient, Mathematical Methods of Operations Research 89, 73-113, pdf, (the award for the best paper published in MMOR in 2019)

 

Delong, Ł., 2018, Time-inconsistent stochastic control problems in insurance and finance, Roczniki Kolegium Analiz Ekonomicznych SGH 51, 229-255, pdf,

 

Delong, Ł., Sulik, D., 2017, Calibration of two factor instantaneous interest rate model of G2++ type in real-world and risk-neutral measure, Bank i Kredyt 48, 403-450, pdf (in Polish),

 

Delong, Ł., Chen, A., 2016, Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting, Insurance: Mathematics and Economics 71, 342-352, pdf,

 

Delong, Ł., Chen, A., 2016, Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting, The extended version of the paper published in Insurance: Mathematics and Economics with proofs of the results, pdf,

 

Chen, A., Delong, Ł., 2015, Optimal investment for a defined-contribution pension scheme under a regime-switching model, ASTIN Bulletin 45, 397-419, pdf,

 

Delong, Ł., Pelsser, A., 2015, Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model, Stochastic Models 31, 67-97, pdf,

 

Delong, Ł., 2014, Pricing and hedging of variable annuities with state-dependent fees, Insurance: Mathematics and Economics 58, 24-33, pdf,

 

Delong, Ł., 2012, Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management, Applicationes Mathematicae 39, 463-488, pdf,

 

Delong, Ł., 2012, Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management, The extended version of the paper published in Applicationes Mathematicae, pdf,

 

Delong, Ł., 2012, No-good-deal, local mean variance, ambiguity pricing and hedging of an insurance payment process, ASTIN Bulletin 42, 203-232, pdf,

 

Delong, Ł., 2012, No-good-deal, local mean variance, ambiguity pricing and hedging of an insurance payment process- the extended version, The extended version of the paper published in ASTIN Bulletin, pdf,

 

Delong, Ł., 2012, BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences, Stochastic Models 28, 281-315, pdf,

 

Delong, Ł., 2012, Exponential utility maximization, indifference pricing and hedging for a payment process, Applicationes Mathematicae 39, 211-229, pdf,

 

Delong, Ł., 2011, Practical and theoretical market-consistent valuation and hedging of insurance liabilities, Bank i Kredyt 42, 49-78, pdf,

 

Delong, Ł., 2010, Applications of backward stochastic differential equations to insurance and finance, Roczniki Kolegium Analiz Ekonomicznych SGH 21, 11-26, pdf,

 

Delong, Ł., 2010, An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Levy process, Insurance: Mathematics and Economics 47, 278-293, pdf,

 

Delong, Ł., Imkeller, P., 2010, On Malliavin’s differentiability of BSDEs with time delay generators driven by Brownian motions and Poisson random measures, Stochastic Processes and their Applications 120, 1748-1175, pdf,

 

Delong, Ł., Imkeller, P., 2010, Backward stochastic differential equations with time delayed generators- results and counterexamples, The Annals of Applied Probability 20, 1512-1536, pdf,

 

Delong, L, 2009, Indifference pricing of a life insurance portfolio with systematic mortality risk in a market driven by a Lévy process, Scandinavian Actuarial Journal 1, 1-26, pdf,

 

Delong, Ł., Klüppelberg, C., 2008, Optimal investment and consumption in Black-Scholes market with Lévy-driven stochastic coefficients, The Annals of Applied Probability 18, 879-908, pdf,

 

Delong, Ł., Gerrard, R., 2008, Mean-variance portfolio selection for a non-life insurer, Mathematical Methods of Operations Research 66, 339-367, pdf,

 

Delong, Ł, Gerrard, R., Haberman, S., 2008, Mean-variance optimization problems for an accumulation phase in a defined benefit plan, Insurance: Mathematics and Economics 42,107-118, pdf,

 

Delong, Ł., 2006, Optimal investment and consumption in the present of default in a financial market driven by a Lévy process, Annales UMCS LX, 1-15, pdf,

 

Delong, Ł, 2005, Optimal investment strategy for a non-life insurance company: quadratic loss, Applicationes Mathematicae 32, 263-277, pdf,

 

Delong, Ł., Bijak, W., Mandela, M., 2004, Profit testing of life insurance products, Prace Naukowe Instytutu Zarządzania Politechniki Wrocławskiej 75, 115-131, pdf (in Polish).

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)