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Details about Boualem Djehiche

E-mail:
Homepage:http://www.math.kth.se/~boualem
Workplace:Kungliga Tekniska Högskolan

Access statistics for papers by Boualem Djehiche.

Last updated 2020-09-14. Update your information in the RePEc Author Service.

Short-id: pdj9


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Working Papers

2020

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

2019

  1. Credit Scoring by Incorporating Dynamic Networked Information
    Papers, arXiv.org Downloads
    See also Journal Article in European Journal of Operational Research (2020)

2015

  1. The Principal-Agent Problem With Time Inconsistent Utility Functions
    Papers, arXiv.org Downloads View citations (2)

2014

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

2010

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

Journal Articles

2020

  1. Credit scoring by incorporating dynamic networked information
    European Journal of Operational Research, 2020, 286, (3), 1103-1112 Downloads
    See also Working Paper (2019)
  2. Mean-Field-Type Games with Jump and Regime Switching
    Dynamic Games and Applications, 2020, 10, (1), 19-57 Downloads
  3. Nonlinear reserving and multiple contract modifications in life insurance
    Insurance: Mathematics and Economics, 2020, 93, (C), 187-195 Downloads
    See also Working Paper (2020)
  4. Quenched Mass Transport of Particles Toward a Target
    Journal of Optimization Theory and Applications, 2020, 186, (2), 345-374 Downloads

2019

  1. Modeling tagged pedestrian motion: A mean-field type game approach
    Transportation Research Part B: Methodological, 2019, 121, (C), 168-183 Downloads View citations (1)

2018

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

2016

  1. Aggregation of 1-year risks in life and disability insurance
    Annals of Actuarial Science, 2016, 10, (2), 203-221 Downloads
  2. Nonlinear reserving in life insurance: Aggregation and mean-field approximation
    Insurance: Mathematics and Economics, 2016, 69, (C), 1-13 Downloads View citations (4)

2014

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

2010

  1. 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 Downloads View citations (1)

2009

  1. Large deviations for heavy-tailed factor models
    Statistics & Probability Letters, 2009, 79, (3), 304-311 Downloads
  2. Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 1-35 Downloads View citations (2)
  3. 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 Downloads View citations (1)

2006

  1. Approximation and optimality necessary conditions in relaxed stochastic control problems
    International Journal of Stochastic Analysis, 2006, 2006, 1-23 Downloads

2002

  1. On modelling and pricing weather derivatives
    Applied Mathematical Finance, 2002, 9, (1), 1-20 Downloads View citations (97)

1999

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

1995

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