Boualem Djehiche : Citation Profile

6

H index

1

i10 index

219

Citations

RESEARCH PRODUCTION:

38

Articles

7

Papers

1

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1995 - 2025). See details.
   Cites by year: 7
   Journals where Boualem Djehiche has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 9 (3.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdj9
   Updated: 2026-01-17    RAS profile: 2025-09-09    
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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 (12)

López Cabrera, Brenda (9)

Musshoff, Oliver (7)

Odening, Martin (6)

Osipenko, Maria (5)

van Kooten, Gerrit (5)

Xu, Wei (5)

Goncu, Ahmet (4)

Martínez-Salgueiro, Andrea (3)

Ritter, Matthias (3)

Larsson, Karl (2)

Cites to:

Dhaene, Jan (7)

Goutte, Stéphane (4)

Gozzi, Fausto (4)

Schweitzer, Mark (3)

Turunen, Jarkko (3)

Duffie, Darrell (3)

Goette, Lorenz (3)

Holden, Steinar (3)

Cartea, Álvaro (3)

Messina, Julian (3)

Groshen, Erica (3)

Main data

Where Boualem Djehiche has published?

Journals with more than one article published# docs
Scandinavian Actuarial Journal6
Stochastic Processes and their Applications4
Insurance: Mathematics and Economics4
Dynamic Games and Applications3
Mathematics2
International Journal of Stochastic Analysis2

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

Recent works citing Boualem Djehiche (2025 and 2024)

YearTitle of citing document
2024Risk valuation of quanto derivatives on temperature and electricity. (2024). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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2024Peer-induced Fairness: A Causal Approach for Algorithmic Fairness Auditing. (2024). Chen, Zexun ; Fang, Shiqi ; Ansell, Jake. In: Papers. RePEc:arx:papers:2408.02558.

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2024Quantifying Seasonal Weather Risk in Indian Markets: Stochastic Model for Risk-Averse State-Specific Temperature Derivative Pricing. (2024). Hooda, Soumil ; Sharma, Shubham ; Bansal, Kunal. In: Papers. RePEc:arx:papers:2409.04541.

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2024Canonical insurance models: stochastic equations and comparison theorems. (2024). Furrer, Christian ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2411.12522.

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2025Loss of earning capacity in Denmark -- an actuarial perspective. (2025). Sandqvist, O L ; Furrer, C. In: Papers. RePEc:arx:papers:2501.11578.

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2025Mean-field approximations in insurance. (2025). Hornung, Philipp C. In: Papers. RePEc:arx:papers:2511.04198.

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2025Stochastic Optimal Control of Interacting Particle Systems in Hilbert Spaces and Applications. (2025). Gozzi, Fausto ; de Feo, Filippo ; Wessels, Lukas. In: Papers. RePEc:arx:papers:2511.21646.

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2024Time‐inconsistent contract theory. (2024). Possama, Dylan ; Hernndez, Camilo. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:1022-1085.

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2024Climate-Linked Bonds. (2024). Broeders, Dirk ; Verhoeven, Niek ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:817.

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2025Climate-linked bonds. (2025). Verhoeven, Niek ; Dimitrov, Daniel ; Broeders, Dirk. In: Working Paper Series. RePEc:ecb:ecbwps:20253011.

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2025Community leadership in system transformation: A realist review of strategies for effective partnership between communities of color and public systems impacting children and families. (2025). Kugley, Shannon ; Dierksheide, Elizabeth ; McDaniel, Mark ; Vanmeeter, Mallory. In: Children and Youth Services Review. RePEc:eee:cysrev:v:175:y:2025:i:c:s0190740925002336.

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2024Improved credit risk prediction based on an integrated graph representation learning approach with graph transformation. (2024). Chen, Zhensong ; Wang, Yunong ; Mi, Yunlong ; Shi, Yong ; Qu, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:2:p:786-801.

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2025A secure cross-silo collaborative method for imbalanced credit scoring. (2025). Tian, Yuhang ; Wang, Zhongyi ; Li, Sihan ; Xiao, Jin. In: European Journal of Operational Research. RePEc:eee:ejores:v:326:y:2025:i:2:p:357-373.

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2025A seasonal two-factor model for solar energy production: A climate extreme events analysis. (2025). Bufalo, Michele ; Fanelli, Viviana. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004384.

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2025Hidden semi-Markov models for rainfall-related insurance claims. (2025). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:91-106.

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2024Stochastic control/stopping problem with expectation constraints. (2024). Bayraktar, Erhan ; Yao, Song. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001364.

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2025Tail Risk in Weather Derivatives. (2025). Cheng, Tuoyuan ; Poreddy, Saikiran Reddy. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:2:p:11-:d:1681037.

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2024Epidemic Models with Varying Infectivity on a Refining Spatial Grid—I—The SI Model. (2024). Yeo, Tenan ; Pardoux, Etienne ; Mougabe-Peurkor, Anicet. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2826-:d:1476468.

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2024A Systematic Literature Review of Insurance Claims Risk Measurement Using the Hidden Markov Model. (2024). Ismail, Noriszura ; Napitupulu, Herlina ; Surya, Hilda Azkiyah. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:11:p:169-:d:1504642.

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2024Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture. (2024). Bournaris, Thomas ; Nastis, Stefanos ; Vlontzos, George ; Moulogianni, Christina ; Prentzas, Angelos. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:17:p:7372-:d:1464987.

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2025Insuring the future - the insurance industry’s role in climate change mitigation. (2025). Price, Colin ; Palatnik, Ruslana Rachel ; Nabriski, Moran. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05493-5.

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2025Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems. (2025). Feo, Filippo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00456-y.

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2025Representation of stochastic optimal control problems with delay in the control variable. (2025). di Girolami, Cristina ; Rosestolato, Mauro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00465-x.

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2024A blockchain-based platform for trading weather derivatives. (2024). Silveira, Fernando Alves ; de Oliveira, Silvio Parodi. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:1:d:10.1007_s42521-022-00071-9.

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2024Mean Field Social Control for Production Output Adjustment with Noisy Sticky Prices. (2024). Wang, Bing-Chang ; Huang, Minyi. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:14:y:2024:i:3:d:10.1007_s13235-023-00512-z.

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2024Stochastic Maximum Principle for Generalized Mean-Field Delay Control Problem. (2024). Guo, Hancheng ; Xiong, Jie ; Zheng, Jiayu. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:201:y:2024:i:1:d:10.1007_s10957-024-02398-2.

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2025A robust method to date recessions and compute output gaps: the Portuguese case. (2025). Fernandes, Pedro Afonso ; Assunao, Joao B. In: Portuguese Economic Journal. RePEc:spr:portec:v:24:y:2025:i:1:d:10.1007_s10258-024-00259-4.

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2024A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations. (2024). Dorobantu, Diana ; Blanchet-Scalliet, Christophette ; Nieto, Benoit. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:2:d:10.1007_s11203-024-09307-4.

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Boualem Djehiche is editor of

Journal
Scandinavian Actuarial Journal

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]		paper2
2014Risk aggregation and stochastic claims reserving in disability insurance.(2014) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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]		paper5
2019Credit Scoring by Incorporating Dynamic Networked Information In: Papers.
[Full Text][Citation analysis]		paper9
2020Credit scoring by incorporating dynamic networked information.(2020) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2020Nonlinear reserving and multiple contract modifications in life insurance In: Papers.
[Full Text][Citation analysis]		paper8
2020Nonlinear reserving and multiple contract modifications in life insurance.(2020) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2009Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2016Aggregation of 1-year risks in life and disability insurance In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article0
2025As-if-Markov reserves for reserve-dependent payments In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2016Nonlinear reserving in life insurance: Aggregation and mean-field approximation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2025Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
2022Optimal portfolio choice with path dependent benchmarked labor income: A mean field model In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article7
2025A propagation of chaos result for weakly interacting nonlinear Snell envelopes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
1995Limit theorems for multitype epidemics In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article2
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]		article3
2024A risk based approach to the principal–agent problem In: Asian Journal of Economics and Banking.
[Full Text][Citation analysis]		article0
2025An Analytical Formula for the Transition Density of a Conic Combination of Independent Squared Bessel Processes with Time-Dependent Dimensions and Financial Applications In: Mathematics.
[Full Text][Citation analysis]		article0
2025Analytical Pricing of Commodity Futures with Correlated Jumps and Seasonal Effects: An Empirical Study of Thailand’s Natural Rubber Market In: Mathematics.
[Full Text][Citation analysis]		article0
2021Quantum Support Vector Regression for Disability Insurance In: Risks.
[Full Text][Citation analysis]		article0
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
2022Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article0
2014Mean-Field Games for Marriage In: PLOS ONE.
[Full Text][Citation analysis]		article1
Credit rating analysis based on the network of trading information In: Journal of Network Theory in Finance.
[Full Text][Citation analysis]		article0
2020Mean-Field-Type Games with Jump and Regime Switching In: Dynamic Games and Applications.
[Full Text][Citation analysis]		article5
2020Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games In: Dynamic Games and Applications.
[Full Text][Citation analysis]		article5
2016A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type In: Dynamic Games and Applications.
[Full Text][Citation analysis]		article2
2020Quenched Mass Transport of Particles Toward a Target In: Journal of Optimization Theory and Applications.
[Full Text][Citation analysis]		article6
1998Large Deviations for Hierarchical Systems of Interacting Jump Processes In: Journal of Theoretical Probability.
[Full Text][Citation analysis]		article0
2024On the value of a time-inconsistent mean-field zero-sum Dynkin game In: Mathematics and Financial Economics.
[Full Text][Citation analysis]		book0
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]		article2
2002On modelling and pricing weather derivatives In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article140
2001Book Review In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2008Book Review In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2009Book Review In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2010Can stocks help mend the asset and liability mismatch? In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2011Nonlife actuarial models, theory, methods and evaluation by Yiu-Kuen Tse In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2015Stochastic modelling of disability insurance in a multi-period framework In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article1
2018A Hidden Markov Approach to Disability Insurance In: North American Actuarial Journal.
[Full Text][Citation analysis]		article2
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]		article3

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