54 citations · 70 across the 7 of their papers we have counts for
7 papers
Measures of predictive accuracy, miscalibration and discrimination
Łukasz Delong, Mario Wüthrich
We study the evaluation of real-valued point predictors under the decision-theoretic framework of mean-consistent loss functions given by the Bregman divergences. We first derive a…
Universal Inference for Testing Calibration of Mean Estimates within the Exponential Dispersion Family
Łukasz Delong, Mario Wüthrich
Calibration of mean estimates for predictions is a crucial property in many applications, particularly in the fields of financial and actuarial decision-making. In this paper, we f…
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
Karim Barigou, Lukasz Delong
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate,…
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Łukasz Delong, Antoon Pelsser
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…
On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures
Łukasz Delong, Peter Imkeller
We investigate solutions of backward stochastic differential equations (BSDE) with time delayed generators driven by Brownian motions and Poisson random measures, that constitute t…
Backward stochastic differential equations with time delayed generators - results and counterexamples
Łukasz Delong, Peter Imkeller
We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in…