Boualem Djehiche : Citation Profile

Are you Boualem Djehiche?

3

H index

1

i10 index

139

Citations

RESEARCH PRODUCTION:

20

Articles

7

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 5
   Journals where Boualem Djehiche has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 8 (5.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdj9
   Updated: 2021-11-28    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)

Xu, Wei (5)

Odening, Martin (5)

van Kooten, Gerrit (5)

López Cabrera, Brenda (5)

Goncu, Ahmet (4)

Osipenko, Maria (3)

Hintermann, Beat (2)

Hurn, Stan (2)

Clements, Adam (2)

Cites to:

Duffie, Darrell (3)

Dhaene, Jan (2)

Epstein, Larry (2)

Jovanovic, Boyan (2)

Hyndman, Rob (2)

Schlicht, Ekkehart (2)

Kydland, Finn (1)

Кабанов, Юрий (1)

Biffis, Enrico (1)

Willems, Bert (1)

Markowitz, Harry (1)

Main data

Where Boualem Djehiche has published?

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

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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2021Supporting Financial Inclusion with Graph Machine Learning and Super-App Alternative Data. (2021). Valencia, Carlos ; Correa-Bahnsen, Alejandro ; Rodr, Andr'Es ; Roa, Luisa. In: Papers. RePEc:arx:papers:2102.09974.

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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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2021Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework. (2021). Yannacopoulos, A N ; Pappas, D ; Domazakis, G N ; Georgiou, K. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:3:p:1146-1164.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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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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2021Climate risks and weather derivatives: A copula-based pricing model. (2021). Romagnoli, Silvia ; Bressan, Giacomo Maria. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000371.

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2021Dynamics of state-wise prospective reserves in the presence of non-monotone information. (2021). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:81-98.

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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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2021Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process. (2021). Ibrahim, Ahmed ; Obukhov, Sergey ; Ali, Ziad M ; Ahmed, Emad M ; Alharbi, Talal ; Davydov, Denis Y. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:17:p:5561-:d:629768.

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2021Wind Put Barrier Options Pricing Based on the Nordix Index. (2021). Contreras, Javier ; Perez-Uribe, Miguel A ; Rodriguez, Yeny E. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1177-:d:504014.

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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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2021Cooperative Game for Fish Harvesting and Pollution Control. (2021). Dia, Ben Mansour ; Goudiaby, Mouhamadou Samsidy ; Tembine, Hamidou ; Diagne, Mamadou L. In: Games. RePEc:gam:jgames:v:12:y:2021:i:3:p:65-:d:617659.

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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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2021The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes. (2021). Li, Peng. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-020-10052-y.

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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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2021Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain). (2021). Tarrazon-Rodon, Maria-Antonia ; Salgueiro, Andrea Martnez. In: Tourism Economics. RePEc:sae:toueco:v:27:y:2021:i:4:p:591-613.

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2021Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas. (2021). Pelizzari, Cristian ; Franzoni, Simona. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03442-5.

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2021Time-dynamic evaluations under non-monotone information generated by marked point processes. (2021). Christiansen, Marcus C. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00456-5.

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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.
[Full Text][Citation analysis]		paper0
2014Risk aggregation and stochastic claims reserving in disability insurance In: Papers.
[Full Text][Citation analysis]		paper0
2014Risk aggregation and stochastic claims reserving in disability insurance.(2014) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2014A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control In: Papers.
[Full Text][Citation analysis]		paper2
2014Risk-Sensitive Mean-Field Type Control under Partial Observation In: Papers.
[Full Text][Citation analysis]		paper1
2015The Principal-Agent Problem With Time Inconsistent Utility Functions In: Papers.
[Full Text][Citation analysis]		paper3
2019Credit Scoring by Incorporating Dynamic Networked Information In: Papers.
[Full Text][Citation analysis]		paper3
2020Credit scoring by incorporating dynamic networked information.(2020) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2020Nonlinear reserving and multiple contract modifications in life insurance In: Papers.
[Full Text][Citation analysis]		paper4
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: 4		article
2009Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2016Aggregation of 1-year risks in life and disability insurance In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article0
2016Nonlinear reserving in life insurance: Aggregation and mean-field approximation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
1995Limit theorems for multitype epidemics In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
1999Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article1
2009Large deviations for heavy-tailed factor models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2019Modeling tagged pedestrian motion: A mean-field type game approach In: Transportation Research Part B: Methodological.
[Full Text][Citation analysis]		article1
2006Approximation and optimality necessary conditions in relaxed stochastic control problems In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article1
2014A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article0
2014Mean-Field Games for Marriage In: PLOS ONE.
[Full Text][Citation analysis]		article1
2020Mean-Field-Type Games with Jump and Regime Switching In: Dynamic Games and Applications.
[Full Text][Citation analysis]		article2
2020Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games In: Dynamic Games and Applications.
[Full Text][Citation analysis]		article0
2020Quenched Mass Transport of Particles Toward a Target In: Journal of Optimization Theory and Applications.
[Full Text][Citation analysis]		article1
2010A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article1
2002On modelling and pricing weather derivatives In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article111
2018A Hidden Markov Approach to Disability Insurance In: North American Actuarial Journal.
[Full Text][Citation analysis]		article0
2009ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1

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