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Author ID: delong.lukasz Recent zbMATH articles by "Delong, Łukasz"
Published as: Delong, Łukasz; Delong, Lukasz
External Links: MGP
Documents Indexed: 27 Publications since 2005, including 1 Book
Co-Authors: 11 Co-Authors with 15 Joint Publications
464 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

23 Publications have been cited 289 times in 230 Documents Cited by Year
Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps. Zbl 1369.60001
Delong, Łukasz
66
2013
Mean-variance portfolio selection for a non-life insurance company. Zbl 1148.60040
Delong, Łukasz; Gerrard, Russell
37
2007
Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144
Delong, Łukasz; Imkeller, Peter
31
2010
On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041
Delong, Łukasz; Imkeller, Peter
27
2010
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
21
2008
Mean-variance optimization problems for an accumulation phase in a defined benefit plan. Zbl 1141.91501
Delong, Łukasz; Gerrard, Russell; Haberman, Steven
20
2008
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance. Zbl 1254.49024
Delong, Łukasz
12
2012
Pricing and hedging of variable annuities with state-dependent fees. Zbl 1304.91098
Delong, Łukasz
12
2014
Optimal investment for a defined-contribution pension scheme under a regime switching model. Zbl 1390.91168
Chen, An; Delong, Łukasz
11
2015
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
11
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
8
2019
No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process. Zbl 1277.91060
Delong, Łukasz
6
2012
Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process. Zbl 1224.91055
Delong, Lukasz
5
2009
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting. Zbl 1371.91154
Delong, Łukasz; Chen, An
4
2016
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient. Zbl 1411.91277
Delong, Łukasz
3
2019
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences. Zbl 1254.60057
Delong, Łukasz
3
2012
Optimal investment strategy for a non-life insurance company: quadratic loss. Zbl 1140.91385
Delong, Łukasz
3
2005
Collective reserving using individual claims data. Zbl 07544483
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
2
2022
Optimal investment and consumption in the presence of default on a financial market by a Lévy noise. Zbl 1138.91431
Delong, Łukasz
2
2006
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process. Zbl 1231.91491
Delong, Łukasz
2
2010
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. Zbl 1345.60062
Delong, Łukasz; Pelsser, Antoon
1
2015
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. Zbl 1479.91304
Barigou, Karim; Delong, Łukasz
1
2022
Making Tweedie’s compound Poisson model more accessible. Zbl 1485.91208
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
1
2021
Collective reserving using individual claims data. Zbl 07544483
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
2
2022
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. Zbl 1479.91304
Barigou, Karim; Delong, Łukasz
1
2022
Making Tweedie’s compound Poisson model more accessible. Zbl 1485.91208
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
1
2021
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
11
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
8
2019
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient. Zbl 1411.91277
Delong, Łukasz
3
2019
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting. Zbl 1371.91154
Delong, Łukasz; Chen, An
4
2016
Optimal investment for a defined-contribution pension scheme under a regime switching model. Zbl 1390.91168
Chen, An; Delong, Łukasz
11
2015
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. Zbl 1345.60062
Delong, Łukasz; Pelsser, Antoon
1
2015
Pricing and hedging of variable annuities with state-dependent fees. Zbl 1304.91098
Delong, Łukasz
12
2014
Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps. Zbl 1369.60001
Delong, Łukasz
66
2013
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance. Zbl 1254.49024
Delong, Łukasz
12
2012
No-good-deal, local mean-variance and ambiguity risk pricing and hedging for an insurance payment process. Zbl 1277.91060
Delong, Łukasz
6
2012
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences. Zbl 1254.60057
Delong, Łukasz
3
2012
Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144
Delong, Łukasz; Imkeller, Peter
31
2010
On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041
Delong, Łukasz; Imkeller, Peter
27
2010
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process. Zbl 1231.91491
Delong, Łukasz
2
2010
Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process. Zbl 1224.91055
Delong, Lukasz
5
2009
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. Zbl 1140.93048
Delong, Łukasz; Klüppelberg, Claudia
21
2008
Mean-variance optimization problems for an accumulation phase in a defined benefit plan. Zbl 1141.91501
Delong, Łukasz; Gerrard, Russell; Haberman, Steven
20
2008
Mean-variance portfolio selection for a non-life insurance company. Zbl 1148.60040
Delong, Łukasz; Gerrard, Russell
37
2007
Optimal investment and consumption in the presence of default on a financial market by a Lévy noise. Zbl 1138.91431
Delong, Łukasz
2
2006
Optimal investment strategy for a non-life insurance company: quadratic loss. Zbl 1140.91385
Delong, Łukasz
3
2005
all top 5

Cited by 343 Authors

15 Delong, Łukasz
14 Zeng, Yan
10 Li, Zhongfei
9 Shen, Yang
7 Popier, Alexandre
6 Guambe, Calisto
6 Kufakunesu, Rodwell
6 Yao, Haixiang
6 Zhao, Hui
5 Barigou, Karim
5 Dhaene, Jan
5 Fujii, Masaaki
5 Peng, Xingchun
5 Takahashi, Akihiko
4 Chen, Ping
4 Cordoni, Francesco Giuseppe
4 Di Persio, Luca
4 Forsyth, Peter A.
4 Pelsser, Antoon A. J.
4 Pergamenshchikov, Sergeĭ Markovich
3 Arai, Takuji
3 Ceci, Claudia
3 Chen, Fenge
3 Dang, Duy Minh
3 Guo, Junyi
3 Lai, Yongzeng
3 Rong, Ximin
3 Salahnejhad Ghalehjooghi, Ahmad
3 Stadje, Mitja
3 Steinicke, Alexander
3 Wu, Lan
3 Zhao, Weidong
2 Alia, Ishak
2 Aman, Auguste
2 Berdjane, Belkacem
2 Beyers, Conrad F. J.
2 Bi, Junna
2 Bo, Lijun
2 Chen, An
2 Chen, Lv
2 Chen, Zhiping
2 Chighoub, Farid
2 Christiansen, Marcus Christian
2 Colaneri, Katia
2 Cretarola, Alessandra
2 Dai, Wanyang
2 Devolder, Pierre
2 Eddahbi, M’hamed
2 Feng, Runhuan
2 Fu, Yu
2 Geiss, Christel
2 Gerrard, Russell
2 Gnameho, Kossi
2 Hata, Hiroaki
2 Hu, Yijun
2 Imai, Yuto
2 Imkeller, Peter
2 Jin, Zhuo
2 Josa-Fombellida, Ricardo
2 Karouf, Monia
2 Kruse, Thomas
2 Li, Danping
2 Li, Shuanming
2 Li, Xun
2 Liang, Xiaoqing
2 Lin, Yijia
2 Liu, Guo
2 Luo, Peng
2 Mackay, Anne
2 Maticiuc, Lucian
2 Milevsky, Moshe Arye
2 Overbeck, Ludger
2 Pchelintsev, Evgeniĭ Anatol’evich
2 Pistorius, Martijn R.
2 Regis, Luca
2 Rincón-Zapatero, Juan Pablo
2 Röder, Jasmin A. L.
2 Schmeck, Maren Diane
2 Sohail, Ayesha
2 Spreij, Peter
2 Suzuki, Ryoichi
2 Tangpi, Ludovic
2 Tian, Ruilin
2 Tsanakas, Andreas
2 van Zyl, Gusti Augustinus Johannes
2 Viens, Frederi G.
2 Wang, Wenyuan
2 Wei, Jiaqin
2 Weng, Chengguo
2 Wu, Shuang
2 Yi, Bo
2 Zhang, Xiaoyi
1 Aazizi, Soufiane
1 Adekpedjou, Akim
1 Agarwal, Ankush
1 Agram, Nacira
1 Ahmadi, Mahdi
1 Ai, Jing
1 Aït-Sahalia, Yacine
1 Aktar, Yalçin
...and 243 more Authors
all top 5

Cited in 85 Serials

51 Insurance Mathematics & Economics
9 Scandinavian Actuarial Journal
9 ASTIN Bulletin
8 Stochastic Processes and their Applications
7 Communications in Statistics. Theory and Methods
7 Stochastics
5 Finance and Stochastics
4 Statistics & Probability Letters
4 Methodology and Computing in Applied Probability
4 Quantitative Finance
3 Journal of Mathematical Analysis and Applications
3 Journal of Computational and Applied Mathematics
3 The Annals of Applied Probability
3 European Journal of Operational Research
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Mathematical Methods of Operations Research
3 Stochastics and Dynamics
3 North American Actuarial Journal
3 Journal of Industrial and Management Optimization
3 International Journal of Stochastic Analysis
3 European Actuarial Journal
3 Probability, Uncertainty and Quantitative Risk
2 International Journal of Control
2 Applied Mathematics and Optimization
2 Journal of Optimization Theory and Applications
2 Mathematics of Operations Research
2 SIAM Journal on Control and Optimization
2 Journal of Economic Dynamics & Control
2 Journal of Theoretical Probability
2 Random Operators and Stochastic Equations
2 Bernoulli
2 Journal of Inequalities and Applications
2 International Journal of Theoretical and Applied Finance
2 The ANZIAM Journal
2 Decisions in Economics and Finance
2 Stochastic Models
2 Mathematics and Financial Economics
2 Statistics & Risk Modeling
2 East Asian Journal on Applied Mathematics
2 Modern Stochastics. Theory and Applications
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Journal of Applied Probability
1 Journal of Economic Theory
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Numerische Mathematik
1 Systems & Control Letters
1 Bulletin of the Korean Mathematical Society
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Acta Mathematicae Applicatae Sinica. English Series
1 Optimization
1 Numerical Methods for Partial Differential Equations
1 Journal of Scientific Computing
1 Annals of Operations Research
1 Japan Journal of Industrial and Applied Mathematics
1 International Journal of Computer Mathematics
1 SIAM Journal on Mathematical Analysis
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Economic Theory
1 Filomat
1 NoDEA. Nonlinear Differential Equations and Applications
1 Monte Carlo Methods and Applications
1 Applied Mathematical Finance
1 Electronic Journal of Probability
1 Mathematical Problems in Engineering
1 European Journal of Control
1 Mathematical Finance
1 Discrete Dynamics in Nature and Society
1 Statistical Inference for Stochastic Processes
1 Probability in the Engineering and Informational Sciences
1 Discrete and Continuous Dynamical Systems. Series B
1 Iranian Journal of Science and Technology. Transaction A: Science
1 Central European Journal of Mathematics
1 Asia-Pacific Financial Markets
1 SIAM Journal on Financial Mathematics
1 Science China. Mathematics
1 Asian Journal of Control
1 Afrika Matematika
1 Mathematical Control and Related Fields
1 Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika
1 JSIAM Letters
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Citations by Year