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

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.,Szatkowski, M., 2019, One-year premium risk and emergence pattern of ultimate loss based on conditional distribution, submitted, 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, submitted, 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,

 

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,

 

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)