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Boualem Djehiche

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First Name:Boualem
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Last Name:Djehiche
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RePEc Short-ID:pdj9
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Homepage:http://www.math.kth.se/~boualem
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  1. Boualem Djehiche & Peter Helgesson, 2015. "The Principal-Agent Problem With Time Inconsistent Utility Functions," Papers 1503.05416, arXiv.org.
  2. Boualem Djehiche & Hamidou Tembine, 2014. "Risk-Sensitive Mean-Field Type Control under Partial Observation," Papers 1411.7231, arXiv.org.
  3. Boualem Djehiche & Bj\"orn L\"ofdahl, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Papers 1401.3589, arXiv.org, revised Aug 2014.
  4. Boualem Djehiche & Hamidou Tembine & Raul Tempone, 2014. "A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control," Papers 1404.1441, arXiv.org.
  5. 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.
  1. 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.
  2. 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, vol. 72(2), pages 273-310, October.
  3. 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.
  4. 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.
  5. Svensson, Jens & Djehiche, Boualem, 2009. "Large deviations for heavy-tailed factor models," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 304-311, February.
  6. 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.
  7. 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.
  8. Andersson, Håkan & Djehiche, Boualem, 1995. "Limit theorems for multitype epidemics," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 57-75, March.
4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CTA: Contract Theory & Applications (1) 2015-03-22. Author is listed
  2. NEP-GER: German Papers (1) 2014-04-11. Author is listed
  3. NEP-IAS: Insurance Economics (1) 2014-01-24. Author is listed
  4. NEP-MIC: Microeconomics (1) 2015-03-22. Author is listed
  5. NEP-RMG: Risk Management (1) 2014-01-24. Author is listed
  6. NEP-UPT: Utility Models & Prospect Theory (1) 2015-03-22. Author is listed

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