Details about Boualem Djehiche

Access statistics for papers by Boualem Djehiche.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pdj9

Working Papers

2020

1. Nonlinear reserving and multiple contract modifications in life insurance
   Papers, arXiv.org View citations (7)
   See also Journal Article Nonlinear reserving and multiple contract modifications in life insurance, Insurance: Mathematics and Economics, Elsevier (2020) View citations (5) (2020)

2019

2. Credit Scoring by Incorporating Dynamic Networked Information
   Papers, arXiv.org View citations (1)
   See also Journal Article Credit scoring by incorporating dynamic networked information, European Journal of Operational Research, Elsevier (2020) View citations (7) (2020)

2015

3. The Principal-Agent Problem With Time Inconsistent Utility Functions
   Papers, arXiv.org View citations (5)

2014

4. A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
   Papers, arXiv.org View citations (7)
5. Risk aggregation and stochastic claims reserving in disability insurance
   Papers, arXiv.org View citations (1)
   See also Journal Article Risk aggregation and stochastic claims reserving in disability insurance, Insurance: Mathematics and Economics, Elsevier (2014) (2014)
6. Risk-Sensitive Mean-Field Type Control under Partial Observation
   Papers, arXiv.org View citations (2)

2010

7. Optimal stopping of expected profit and cost yields in an investment under uncertainty
   Papers, arXiv.org

Journal Articles

2022

1. Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
   Mathematics of Operations Research, 2022, 47, (1), 665-689
2. Optimal portfolio choice with path dependent benchmarked labor income: A mean field model
   Stochastic Processes and their Applications, 2022, 145, (C), 48-85 View citations (4)

2021

3. Quantum Support Vector Regression for Disability Insurance
   Risks, 2021, 9, (12), 1-9

2020

4. Credit scoring by incorporating dynamic networked information
   European Journal of Operational Research, 2020, 286, (3), 1103-1112 View citations (7)
   See also Working Paper Credit Scoring by Incorporating Dynamic Networked Information, Papers (2019) View citations (1) (2019)
5. Mean-Field-Type Games with Jump and Regime Switching
   Dynamic Games and Applications, 2020, 10, (1), 19-57 View citations (5)
6. Nonlinear reserving and multiple contract modifications in life insurance
   Insurance: Mathematics and Economics, 2020, 93, (C), 187-195 View citations (5)
   See also Working Paper Nonlinear reserving and multiple contract modifications in life insurance, Papers (2020) View citations (7) (2020)
7. Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games
   Dynamic Games and Applications, 2020, 10, (4), 798-818 View citations (4)
8. Quenched Mass Transport of Particles Toward a Target
   Journal of Optimization Theory and Applications, 2020, 186, (2), 345-374 View citations (5)

2019

9. Modeling tagged pedestrian motion: A mean-field type game approach
   Transportation Research Part B: Methodological, 2019, 121, (C), 168-183 View citations (2)

2018

10. A Hidden Markov Approach to Disability Insurance
    North American Actuarial Journal, 2018, 22, (1), 119-136 View citations (1)

2016

11. A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type
    Dynamic Games and Applications, 2016, 6, (1), 55-81 View citations (3)
12. Aggregation of 1-year risks in life and disability insurance
    Annals of Actuarial Science, 2016, 10, (2), 203-221
13. Nonlinear reserving in life insurance: Aggregation and mean-field approximation
    Insurance: Mathematics and Economics, 2016, 69, (C), 1-13 View citations (8)

2015

14. Stochastic modelling of disability insurance in a multi-period framework
    Scandinavian Actuarial Journal, 2015, 2015, (1), 88-106 View citations (1)

2014

15. A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet
    International Journal of Stochastic Analysis, 2014, 2014, 1-16
16. Mean-Field Games for Marriage
    PLOS ONE, 2014, 9, (5), 1-15 View citations (1)
17. Risk aggregation and stochastic claims reserving in disability insurance
    Insurance: Mathematics and Economics, 2014, 59, (C), 100-108
    See also Working Paper Risk aggregation and stochastic claims reserving in disability insurance, Papers (2014) View citations (1) (2014)

2011

18. Nonlife actuarial models, theory, methods and evaluation by Yiu-Kuen Tse
    Scandinavian Actuarial Journal, 2011, 2011, (4), 319-320

2010

19. A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
    Mathematical Methods of Operations Research, 2010, 72, (2), 273-310 View citations (2)
20. Can stocks help mend the asset and liability mismatch?
    Scandinavian Actuarial Journal, 2010, 2010, (2), 148-160

2009

21. Book Review
    Scandinavian Actuarial Journal, 2009, 2009, (2), 168-168
22. Large deviations for heavy-tailed factor models
    Statistics & Probability Letters, 2009, 79, (3), 304-311
23. Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 35 View citations (3)
24. ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (04), 523-543 View citations (3)

2008

25. Book Review
    Scandinavian Actuarial Journal, 2008, 2008, (4), 316-316

2006

26. Approximation and optimality necessary conditions in relaxed stochastic control problems
    International Journal of Stochastic Analysis, 2006, 2006, 1-23 View citations (2)

2002

27. On modelling and pricing weather derivatives
    Applied Mathematical Finance, 2002, 9, (1), 1-20 View citations (135)

2001

28. Book Review
    Scandinavian Actuarial Journal, 2001, 2001, (2), 188-189

1999

29. Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space
    Stochastic Processes and their Applications, 1999, 81, (1), 39-72 View citations (1)

1998

30. Large Deviations for Hierarchical Systems of Interacting Jump Processes
    Journal of Theoretical Probability, 1998, 11, (1), 1-24

1995

31. Limit theorems for multitype epidemics
    Stochastic Processes and their Applications, 1995, 56, (1), 57-75 View citations (2)

Editor

1. Scandinavian Actuarial Journal
   Taylor & Francis Journals