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1

Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

Delong, Łukasz, Pelsser, Antoon

Journal:

Stochastic Models

Année:

2015

Langue:

english

Fichier:

PDF, 229 KB

english, 2015

2

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Numerical Methods for FBSDEs

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 214 KB

english, 2013

3

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Arbitrage-Free Pricing, Perfect Hedging and Superhedging

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 292 KB

english, 2013

4

FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS

Delong, Łukasz, Dhaene, Jan, Barigou, Karim

Journal:

Année:

2019

Langue:

english

Fichier:

PDF, 454 KB

english, 2019

5

Fair valuation of insurance liability cash-flow streams in continuous time: Theory

Delong, Łukasz, Dhaene, Jan, Barigou, Karim

Journal:

Insurance: Mathematics and Economics

Année:

2019

Langue:

english

Fichier:

PDF, 467 KB

english, 2019

6

Mean–variance optimization problems for an accumulation phase in a defined benefit plan

Łukasz Delong, Russell Gerrard, Steven Haberman

Journal:

Insurance: Mathematics and Economics

Année:

2008

Langue:

english

Fichier:

PDF, 398 KB

english, 2008

7

Mean-variance portfolio selection for a non-life insurance company

Łukasz Delong, Russell Gerrard

Journal:

Mathematical Methods of Operations Research

Année:

2007

Langue:

english

Fichier:

PDF, 383 KB

english, 2007

8

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

Journal:

Insurance: Mathematics and Economics

Année:

2010

Langue:

english

Fichier:

PDF, 384 KB

english, 2010

9

On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

Łukasz Delong, Peter Imkeller

Journal:

Stochastic Processes and their Applications

Année:

2010

Langue:

english

Fichier:

PDF, 487 KB

english, 2010

10

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Stochastic Calculus

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 299 KB

english, 2013

11

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Linear BSDEs and Predictable Representations of Insurance Payment Processes

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 250 KB

english, 2013

12

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Nonlinear Expectations and g-Expectations

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 223 KB

english, 2013

13

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Combined Financial and Insurance Model

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 202 KB

english, 2013

14

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Backward Stochastic Differential Equations—The General Case

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 429 KB

english, 2013

15

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Forward-Backward Stochastic Differential Equations

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 299 KB

english, 2013

16

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Dynamic Risk Measures

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 266 KB

english, 2013

17

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Utility Maximization and Indifference Pricing and Hedging

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 251 KB

english, 2013

18

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Quadratic Pricing and Hedging

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 362 KB

english, 2013

19

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Pricing and Hedging Under a Least Favorable Measure

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 248 KB

english, 2013

20

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications || Other Classes of BSDEs

Delong, Łukasz

Année:

2013

Langue:

english

Fichier:

PDF, 330 KB

english, 2013

21

[EAA Series] Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications ||

Delong, Łukasz

Année:

2013

Fichier:

PDF, 25 KB

2013

22

Pricing and hedging of variable annuities with state-dependent fees

Delong, Łukasz

Journal:

Insurance: Mathematics and Economics

Année:

2014

Langue:

english

Fichier:

PDF, 442 KB

english, 2014

23

Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process

Delong, Łukasz

Journal:

Scandinavian Actuarial Journal

Année:

2009

Langue:

english

Fichier:

PDF, 251 KB

english, 2009

24

Backward stochastic differential equations with time delayed generators—results and counterexamples

Delong, Łukasz, Imkeller, Peter

Journal:

The Annals of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 213 KB

english, 2010

25

OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

Chen, An, Delong, Łukasz

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 316 KB

english, 2015

26

BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences

Delong, Łukasz

Journal:

Stochastic Models

Année:

2012

Langue:

english

Fichier:

PDF, 215 KB

english, 2012

27

Optimal Investment and Consumption in a Black: Scholes Market with Lévy-Driven Stochastic Coefficients

Łukasz Delong and Claudia Klüppelberg

Journal:

The Annals of Applied Probability

Année:

2008

Langue:

english

Fichier:

PDF, 1.89 MB

english, 2008

28

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting

Delong, Łukasz, Chen, An

Journal:

Insurance: Mathematics and Economics

Année:

2016

Langue:

english

Fichier:

PDF, 9.44 MB

english, 2016

29

Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients

Delong, Łukasz, Klüppelberg, Claudia

Journal:

The Annals of Applied Probability

Année:

2008

Langue:

english

Fichier:

PDF, 340 KB

english, 2008

30

Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient

Delong, Łukasz

Journal:

Mathematical Methods of Operations Research

Année:

2019

Fichier:

PDF, 601 KB

2019

31

Fair Valuation of Insurance Liability Cash-Flow Streams in Continuous Time: Theory

Delong, Lukasz, Dhaene, Jan, Barigou, Karim

Journal:

SSRN Electronic Journal

Année:

2018

Langue:

english

Fichier:

PDF, 539 KB

english, 2018