Lukasz Delong

Warsaw School of Economics (SGH) - Institute of Econometrics

Niepodleglosci 164

Warsaw, 02-554

Poland

SCHOLARLY PAPERS

8

DOWNLOADS

414

SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

Collective Reserving using Individual Claims Data

Number of pages: 35 Posted: 19 May 2020
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 129 (254,213)
Citation 1

Abstract:

Loading...

claims reserving, general insurance, individual claims data, micro-level reserving, neural networks, IBNR claims, RBNS claims, chain-ladder method, over-dispersed Poisson model

2.

Optimal Investment for a Defined-Contribution Pension Scheme Under a Regime Switching Model

Number of pages: 23 Posted: 09 Jun 2014
An Chen and Lukasz Delong
University of Ulm and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 76 (358,709)

Abstract:

Loading...

DC plans, regime switching

3.

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

Number of pages: 62 Posted: 27 Nov 2018
Lukasz Delong, Jan Dhaene and Karim Barigou
Warsaw School of Economics (SGH) - Institute of Econometrics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 62 (400,026)
Citation 4

Abstract:

Loading...

Optimal Quadratic Hedging, Actuarial Valuation, Market-Consistent Valuation, Fair Valuation, Partial Differential Equation, Best Estimate, Risk Margin, Net Asset Value

4.

Making Tweedie's Compound Poisson Model More Accessible

Number of pages: 34 Posted: 01 Jul 2020
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 59 (409,910)
Citation 1

Abstract:

Loading...

compound Poisson model, gamma claim sizes, Tweedie's distribution, exponential dispersion family, generalized linear models, neural network

5.

One-Year Premium Risk and Emergence Pattern of Ultimate Loss Based on Conditional Distribution

Number of pages: 32 Posted: 17 Apr 2020
Lukasz Delong and Marcin Szatkowski
Warsaw School of Economics (SGH) - Institute of Econometrics and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 28 (543,095)

Abstract:

Loading...

One-year risk, ultimate risk, premium risk, emergence pattern, Solvency II, claims development process.

6.

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

Number of pages: 52 Posted: 27 Nov 2018
Lukasz Delong, Jan Dhaene and Karim Barigou
Warsaw School of Economics (SGH) - Institute of Econometrics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 22 (580,224)
Citation 5

Abstract:

Loading...

Optimal Quadratic Hedging, Actuarial Valuation, Market-Consistent Valuation, Partial Differential Equation, Best Estimate, Risk Margin, Net Asset Value

7.

Neural Networks for the Joint Development of Individual Payments and Claim Incurred

Number of pages: 40 Posted: 10 Apr 2020
Lukasz Delong and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics and RiskLab, ETH Zurich
Downloads 21 (593,378)

Abstract:

Loading...

Neural networks, individual claims, Reported But Not Settled claims, claims simulations

8.

Fitting Gamma Mixture Density Networks with Expectation-Maximization Algorithm

Number of pages: 36 Posted: 23 Nov 2020
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 17 (613,228)

Abstract:

Loading...

Expectation-Maximization, neural networks, boosting, mixtures of distributions