2
H index
1
i10 index
124
Citations
| 2 H index 1 i10 index 124 Citations RESEARCH PRODUCTION: 20 Articles 7 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 3 |
Stochastic Processes and their Applications | 2 |
Dynamic Games and Applications | 2 |
International Journal of Stochastic Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 7 |
Year | Title of citing document |
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2021 | A martingale concept for non-monotone information in a jump process framework. (2018). Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1811.00952. Full description at Econpapers || Download paper |
2021 | Dynamics 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. Full description at Econpapers || Download paper |
2020 | Probabilistic 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2021 | Predicting 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. Full description at Econpapers || Download paper |
2020 | Managing 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. Full description at Econpapers || Download paper |
2021 | Development 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. Full description at Econpapers || Download paper |
2020 | Forward 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. Full description at Econpapers || Download paper |
2020 | Weather 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. Full description at Econpapers || Download paper |
2020 | Hierarchical 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. Full description at Econpapers || Download paper |
2020 | Managing 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. Full description at Econpapers || Download paper |
2021 | Retrospective 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. Full description at Econpapers || Download paper |
2020 | Approximate 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. Full description at Econpapers || Download paper |
2020 | Approaching 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. Full description at Econpapers || Download paper |
2020 | Ornstein-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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Optimal stopping of expected profit and cost yields in an investment under uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Risk aggregation and stochastic claims reserving in disability insurance In: Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Risk 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 | |
2014 | A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control In: Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | Risk-Sensitive Mean-Field Type Control under Partial Observation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | The Principal-Agent Problem With Time Inconsistent Utility Functions In: Papers. [Full Text][Citation analysis] | paper | 3 |
2019 | Credit Scoring by Incorporating Dynamic Networked Information In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Credit scoring by incorporating dynamic networked information.(2020) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2020 | Nonlinear reserving and multiple contract modifications in life insurance In: Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Nonlinear 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 | |
2009 | Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2016 | Aggregation of 1-year risks in life and disability insurance In: Annals of Actuarial Science. [Full Text][Citation analysis] | article | 0 |
2016 | Nonlinear reserving in life insurance: Aggregation and mean-field approximation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
1995 | Limit theorems for multitype epidemics In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
1999 | Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 1 |
2009 | Large deviations for heavy-tailed factor models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2019 | Modeling tagged pedestrian motion: A mean-field type game approach In: Transportation Research Part B: Methodological. [Full Text][Citation analysis] | article | 1 |
2006 | Approximation and optimality necessary conditions in relaxed stochastic control problems In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 1 |
2014 | A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 0 |
2014 | Mean-Field Games for Marriage In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
2020 | Mean-Field-Type Games with Jump and Regime Switching In: Dynamic Games and Applications. [Full Text][Citation analysis] | article | 2 |
2020 | Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games In: Dynamic Games and Applications. [Full Text][Citation analysis] | article | 0 |
2020 | Quenched Mass Transport of Particles Toward a Target In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 1 |
2010 | A 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] | article | 1 |
2002 | On modelling and pricing weather derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 103 |
2018 | A Hidden Markov Approach to Disability Insurance In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2009 | ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team