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Boualem Djehiche

Personal Details

First Name:Boualem
Middle Name:
Last Name:Djehiche
Suffix:
RePEc Short-ID:pdj9
[This author has chosen not to make the email address public]
http://www.math.kth.se/~boualem

Affiliation

Kungliga Tekniska Högskolan

http://www.math.kth.se
Sweden, Stockholm

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Marcus C. Christiansen & Boualem Djehiche, 2019. "Nonlinear reserving and multiple contract modifications in life insurance," Papers 1911.06159, arXiv.org, revised Mar 2020.
  2. Yibei Li & Ximei Wang & Boualem Djehiche & Xiaoming Hu, 2019. "Credit Scoring by Incorporating Dynamic Networked Information," Papers 1905.11795, arXiv.org, revised Oct 2019.
  3. Boualem Djehiche & Peter Helgesson, 2015. "The Principal-Agent Problem With Time Inconsistent Utility Functions," Papers 1503.05416, arXiv.org.
  4. Boualem Djehiche & Hamidou Tembine, 2014. "Risk-Sensitive Mean-Field Type Control under Partial Observation," Papers 1411.7231, arXiv.org.
  5. Boualem Djehiche & Bjorn Lofdahl, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Papers 1401.3589, arXiv.org, revised Aug 2014.
  6. Boualem Djehiche & Hamidou Tembine & Raul Tempone, 2014. "A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control," Papers 1404.1441, arXiv.org.
  7. Boualem Djehiche & Said Hamad`ene & Marie Am'elie Morlais, 2010. "Optimal stopping of expected profit and cost yields in an investment under uncertainty," Papers 1001.3289, arXiv.org.

Articles

  1. Djehiche, Boualem & Gozzi, Fausto & Zanco, Giovanni & Zanella, Margherita, 2022. "Optimal portfolio choice with path dependent benchmarked labor income: A mean field model," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 48-85.
  2. Boualem Djehiche & Said Hamadène & Ibtissem Hdhiri & Helmi Zaatra, 2022. "Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients," Mathematics of Operations Research, INFORMS, vol. 47(1), pages 665-689, February.
  3. Boualem Djehiche & Björn Löfdahl, 2021. "Quantum Support Vector Regression for Disability Insurance," Risks, MDPI, vol. 9(12), pages 1-9, December.
  4. Boualem Djehiche & Julian Barreiro-Gomez & Hamidou Tembine, 2020. "Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games," Dynamic Games and Applications, Springer, vol. 10(4), pages 798-818, December.
  5. Li, Yibei & Wang, Ximei & Djehiche, Boualem & Hu, Xiaoming, 2020. "Credit scoring by incorporating dynamic networked information," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1103-1112.
  6. Bruno Bouchard & Boualem Djehiche & Idris Kharroubi, 2020. "Quenched Mass Transport of Particles Toward a Target," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 345-374, August.
  7. Christiansen, Marcus C. & Djehiche, Boualem, 2020. "Nonlinear reserving and multiple contract modifications in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 187-195.
  8. Alain Bensoussan & Boualem Djehiche & Hamidou Tembine & Sheung Chi Phillip Yam, 2020. "Mean-Field-Type Games with Jump and Regime Switching," Dynamic Games and Applications, Springer, vol. 10(1), pages 19-57, March.
  9. Aurell, Alexander & Djehiche, Boualem, 2019. "Modeling tagged pedestrian motion: A mean-field type game approach," Transportation Research Part B: Methodological, Elsevier, vol. 121(C), pages 168-183.
  10. Boualem Djehiche & Björn Löfdahl, 2018. "A Hidden Markov Approach to Disability Insurance," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(1), pages 119-136, January.
  11. Djehiche, Boualem & Löfdahl, Björn, 2016. "Nonlinear reserving in life insurance: Aggregation and mean-field approximation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 1-13.
  12. Djehiche, Boualem & Löfdahl, Björn, 2016. "Aggregation of 1-year risks in life and disability insurance," Annals of Actuarial Science, Cambridge University Press, vol. 10(2), pages 203-221, September.
  13. Boualem Djehiche & Minyi Huang, 2016. "A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type," Dynamic Games and Applications, Springer, vol. 6(1), pages 55-81, March.
  14. Helena Aro & Boualem Djehiche & Björn Löfdahl, 2015. "Stochastic modelling of disability insurance in a multi-period framework," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(1), pages 88-106, January.
  15. Boualem Djehiche & Ali Hamdi, 2014. "A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet," International Journal of Stochastic Analysis, Hindawi, vol. 2014, pages 1-16, May.
  16. Dario Bauso & Ben Mansour Dia & Boualem Djehiche & Hamidou Tembine & Raul Tempone, 2014. "Mean-Field Games for Marriage," PLOS ONE, Public Library of Science, vol. 9(5), pages 1-15, May.
  17. Djehiche, Boualem & Löfdahl, Björn, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 100-108.
  18. Boualem Djehiche, 2011. "Nonlife actuarial models, theory, methods and evaluation by Yiu-Kuen Tse," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2011(4), pages 319-320.
  19. Boualem Djehiche & Jonas Rinné, 2010. "Can stocks help mend the asset and liability mismatch?," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2010(2), pages 148-160.
  20. Daniel Andersson & Boualem Djehiche, 2010. "A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(2), pages 273-310, October.
  21. Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009. "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-35, May.
  22. Svensson, Jens & Djehiche, Boualem, 2009. "Large deviations for heavy-tailed factor models," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 304-311, February.
  23. Boualem Djehiche & Said Hamadène, 2009. "On A Finite Horizon Starting And Stopping Problem With Risk Of Abandonment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 523-543.
  24. Boualem Djehiche, 2009. "Book Review," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2009(2), pages 168-168.
  25. Boualem Djehiche, 2008. "Book Review," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2008(4), pages 316-316.
  26. Seïd Bahlali & Brahim Mezerdi & Boualem Djehiche, 2006. "Approximation and optimality necessary conditions in relaxed stochastic control problems," International Journal of Stochastic Analysis, Hindawi, vol. 2006, pages 1-23, June.
  27. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20.
  28. Boualem Djehiche, 2001. "Book Review," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2001(2), pages 188-189.
  29. Djehiche, Boualem & Eddahbi, M'hamed, 1999. "Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space," Stochastic Processes and their Applications, Elsevier, vol. 81(1), pages 39-72, May.
  30. Boualem Djehiche & Alexander Schied, 1998. "Large Deviations for Hierarchical Systems of Interacting Jump Processes," Journal of Theoretical Probability, Springer, vol. 11(1), pages 1-24, January.
  31. Andersson, Håkan & Djehiche, Boualem, 1995. "Limit theorems for multitype epidemics," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 57-75, March.

Editorship

  1. Scandinavian Actuarial Journal, Taylor & Francis Journals.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2014-01-24 2019-06-10 2019-11-25
  2. NEP-CTA: Contract Theory and Applications (2) 2015-03-22 2019-11-25
  3. NEP-IAS: Insurance Economics (2) 2014-01-24 2019-11-25
  4. NEP-ECM: Econometrics (1) 2019-06-10
  5. NEP-GER: German Papers (1) 2014-04-11
  6. NEP-MIC: Microeconomics (1) 2015-03-22
  7. NEP-UPT: Utility Models and Prospect Theory (1) 2015-03-22

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