Lukasz Delong

Warsaw School of Economics (SGH) - Institute of Econometrics

Niepodleglosci 164

Warsaw, 02-554

Poland

SCHOLARLY PAPERS

10

DOWNLOADS

548

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Gamma Mixture Density Networks and their application to modelling insurance claim amounts

Number of pages: 38 Posted: 23 Nov 2020 Last Revised: 14 Apr 2021
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 146 (270,214)
Citation 2

Abstract:

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

2.

The use of autoencoders for training neural networks with mixed categorical and numerical features

Number of pages: 31 Posted: 02 Nov 2021
Lukasz Delong and Anna Kozak
Warsaw School of Economics (SGH) - Institute of Econometrics and affiliation not provided to SSRN
Downloads 83 (398,291)

Abstract:

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Autoencoders, corruption of inputs, categorical and numerical features, embeddings, representation learning.

3.

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
Ulm University - Institute of Insurance Science and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 83 (398,291)

Abstract:

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DC plans, regime switching

4.

One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model

Szatkowski, M.; Delong, Ł. One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model. Risks 2021, 9, 152. https://doi.org/10.3390/risks9090152
Number of pages: 40 Posted: 09 Mar 2021 Last Revised: 21 Sep 2021
Marcin Szatkowski and Lukasz Delong
Warsaw School of Economics (SGH) - Institute of Econometrics and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 80 (406,883)

Abstract:

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One-year risk, ultimate risk, reserve risk, emergence pattern, Mack Chain Ladder

5.

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 75 (422,010)
Citation 4

Abstract:

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

6.

One-year premium risk and emergence pattern of ultimate loss based on conditional distribution

ASTIN Bulletin: The Journal of the IAA, Volume 50, Issue 2, May 2020, pp. 479 - 511, DOI: https://doi.org/10.1017/asb.2020.10
Number of pages: 33 Posted: 17 Apr 2020 Last Revised: 21 Sep 2021
Lukasz Delong and Marcin Szatkowski
Warsaw School of Economics (SGH) - Institute of Econometrics and Warsaw School of Economics (SGH) - Institute of Econometrics
Downloads 56 (489,085)
Citation 2

Abstract:

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

7.

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 25 (649,297)
Citation 5

Abstract:

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

8.

Making Tweedie's Compound Poisson Model More Accessible

Eur. Actuar. J. (2021). https://doi.org/10.1007/s13385-021-00264-3
Posted: 01 Jul 2020 Last Revised: 17 Feb 2021
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich

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

9.

Collective Reserving using Individual Claims Data

Scandinavian Actuarial Journal 2021 https://www.tandfonline.com/doi/full/10.1080/03461238.2021.1921836
Posted: 19 May 2020 Last Revised: 11 May 2021
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich

Abstract:

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

10.

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

Risks 2020, 8(2), https://doi.org/10.3390/risks8020033
Posted: 10 Apr 2020 Last Revised: 26 Feb 2021
Lukasz Delong and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics and RiskLab, ETH Zurich

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