Boualem Djehiche : Citation Profile


Are you Boualem Djehiche?

2

H index

1

i10 index

124

Citations

RESEARCH PRODUCTION:

20

Articles

7

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 4
   Journals where Boualem Djehiche has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 8 (6.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdj9
   Updated: 2021-03-01    RAS profile: 2020-11-28    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Boualem Djehiche.

Is cited by:

Härdle, Wolfgang (7)

Musshoff, Oliver (6)

Odening, Martin (5)

López Cabrera, Brenda (5)

van Kooten, Gerrit (5)

Xu, Wei (5)

Goncu, Ahmet (4)

Osipenko, Maria (3)

Gyamerah, Samuel (2)

Hintermann, Beat (2)

Loisel, Stéphane (2)

Cites to:

Duffie, Darrell (3)

Epstein, Larry (2)

Jovanovic, Boyan (2)

Dhaene, Jan (2)

Schlicht, Ekkehart (2)

Hyndman, Rob (2)

Rodrigues-Neto, José (1)

Fershtman, Chaim (1)

Holmstrom, Bengt (1)

White, Alan (1)

Milgrom, Paul (1)

Main data


Where Boualem Djehiche has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics3
Stochastic Processes and their Applications2
Dynamic Games and Applications2
International Journal of Stochastic Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7

Recent works citing Boualem Djehiche (2021 and 2020)


YearTitle of citing document
2021A martingale concept for non-monotone information in a jump process framework. (2018). Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1811.00952.

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2021Dynamics of state-wise prospective reserves in the presence of non-monotone information. (2020). Furrer, Christian ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2003.02173.

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2020Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2020). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf497.

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2020A temperature stochastic model for option pricing and its impacts on the electricity market. (2020). Mora, José ; Prabakaran, Sellamuthu ; Garcia, Isabel C. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:58-77.

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2021Predicting mortgage early delinquency with machine learning methods. (2021). Zhao, Xinlei ; Guo, Zhengfeng ; Chen, Shunqin. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:358-372.

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2020Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach. (2020). Wiethe, Christian ; Trankler, Timm ; Toppel, Jannick ; Baltuttis, Dennik. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305131.

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2021Development of an irradiance-based weather derivative to hedge cloud risk for solar energy systems. (2021). Kern, Jordan D ; Haas, Jannik ; Colin, . In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:1230-1243.

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2020Forward and backward stochastic differential equations with normal constraints in law. (2020). Cardaliaguet, Pierre ; Briand, Philippe ; Hu, Ying ; de Raynal, Paul-Eric Chaudru. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7021-7097.

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2020Weather Risk Management in Energy Sector: The Polish Case. (2020). Wieczorek-Kosmala, Monika. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:4:p:945-:d:322950.

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2020Hierarchical Structures and Leadership Design in Mean-Field-Type Games with Polynomial Cost. (2020). Tembine, Hamidou ; Choutri, Salah Eddine ; Barreiro-Gomez, Julian ; el Oula, Zahrate. In: Games. RePEc:gam:jgames:v:11:y:2020:i:3:p:30-:d:395498.

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2020Managing Meteorological Risk through Expected Shortfall. (2020). Moretto, Enrico ; Kutrolli, Gleda ; Stefani, Silvana ; Kulakov, Sergei. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:118-:d:442528.

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2021Retrospective Reserves and Bonus with Policyholder Behavior. (2021). Nyegaard, Anna Kamille ; Falden, Debbie Kusch. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:15-:d:475059.

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2020Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games. (2020). Raginsky, Maxim ; Ar, Tamer Bas ; Basar, Tamer ; Saldi, Naci. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1596-1620.

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2020Approaching rainfall-based weather derivatives pricing and operational challenges. (2020). Salgueiro, Andrea Martinez ; Tarrazon-Rodon, Maria-Antonia. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09161-0.

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2020Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation. (2020). Matej, Kova ; Berislav, Muk. In: Croatian Review of Economic, Business and Social Statistics. RePEc:vrs:crebss:v:6:y:2020:i:1:p:27-42:n:3.

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Works by Boualem Djehiche:


YearTitleTypeCited
2010Optimal stopping of expected profit and cost yields in an investment under uncertainty In: Papers.
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paper0
2014Risk aggregation and stochastic claims reserving in disability insurance In: Papers.
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paper0
2014Risk aggregation and stochastic claims reserving in disability insurance.(2014) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 0
article
2014A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control In: Papers.
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paper2
2014Risk-Sensitive Mean-Field Type Control under Partial Observation In: Papers.
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paper1
2015The Principal-Agent Problem With Time Inconsistent Utility Functions In: Papers.
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paper3
2019Credit Scoring by Incorporating Dynamic Networked Information In: Papers.
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paper1
2020Credit scoring by incorporating dynamic networked information.(2020) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 1
article
2020Nonlinear reserving and multiple contract modifications in life insurance In: Papers.
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paper2
2020Nonlinear reserving and multiple contract modifications in life insurance.(2020) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2009Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2016Aggregation of 1-year risks in life and disability insurance In: Annals of Actuarial Science.
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article0
2016Nonlinear reserving in life insurance: Aggregation and mean-field approximation In: Insurance: Mathematics and Economics.
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article2
1995Limit theorems for multitype epidemics In: Stochastic Processes and their Applications.
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article0
1999Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space In: Stochastic Processes and their Applications.
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article1
2009Large deviations for heavy-tailed factor models In: Statistics & Probability Letters.
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article0
2019Modeling tagged pedestrian motion: A mean-field type game approach In: Transportation Research Part B: Methodological.
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article1
2006Approximation and optimality necessary conditions in relaxed stochastic control problems In: International Journal of Stochastic Analysis.
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article1
2014A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet In: International Journal of Stochastic Analysis.
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article0
2014Mean-Field Games for Marriage In: PLOS ONE.
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article0
2020Mean-Field-Type Games with Jump and Regime Switching In: Dynamic Games and Applications.
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article2
2020Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games In: Dynamic Games and Applications.
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article0
2020Quenched Mass Transport of Particles Toward a Target In: Journal of Optimization Theory and Applications.
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article1
2010A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization In: Mathematical Methods of Operations Research.
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article1
2002On modelling and pricing weather derivatives In: Applied Mathematical Finance.
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article103
2018A Hidden Markov Approach to Disability Insurance In: North American Actuarial Journal.
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article0
2009ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1

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