We propose a hybrid classical-quantum approach for modeling transition probabilities in health an... more We propose a hybrid classical-quantum approach for modeling transition probabilities in health and disability insurance. The modeling of logistic disability inception probabilities is formulated as a support vector regression problem. Using a quantum feature map, the data are mapped to quantum states belonging to a quantum feature space, where the associated kernel is determined by the inner product between the quantum states. This quantum kernel can be efficiently estimated on a quantum computer. We conduct experiments on the IBM Yorktown quantum computer, fitting the model to disability inception data from a Swedish insurance company.
Beyond Traditional Probabilistic Methods in Economics, 2018
In this paper we examine mean-field-type games in blockchain-based distributed power networks wit... more In this paper we examine mean-field-type games in blockchain-based distributed power networks with several different entities: investors, consumers, prosumers, producers and miners. Under a simple model of jump-diffusion and regime switching processes, we identify risk-aware mean-field-type optimal strategies for the decision-makers.
Statistical Methods and Applications in Insurance and Finance, 2016
This is a short introduction to some basic aspects of statistical estimation techniques known as ... more This is a short introduction to some basic aspects of statistical estimation techniques known as graduation technique in life and disability insurance.
Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Morphisms of backward heat equations preserve, in the appropriate sense, the forward Lagrangian, ... more Morphisms of backward heat equations preserve, in the appropriate sense, the forward Lagrangian, as well as the forward (Newton’s) equations of motion for a general class of diffusions. Time reflection yields results for forward heat equations, in particular for Bernstein-Schrödinger diffusions.
ABSTRACT We suggest an explicit data-driven consistent estimator of the optimal smooth trend in a... more ABSTRACT We suggest an explicit data-driven consistent estimator of the optimal smooth trend in a multivariate Hodrick-Prescott filter, when the associated disturbances (i.e., signal and cycle components) follow a moving average, and a vector autoregressive process, respectively. This is done through deriving consistent estimators of the covariance matrices of the signal and the cycle components. We then fit some macroeconomic data to compare the performances of the associated smooth trend and business cycle with the ones obtained using the estimators of the univariate Hodrick-Prescott filter with auto-correlated disturbances.
A risk process with premiums depending on the current reserve is considered. A large deviation ap... more A risk process with premiums depending on the current reserve is considered. A large deviation approach is used to obtain upper and lower bounds for the corresponding ruin probabilities. They are expressed in terms of the entropy function of the claims distribution
We propose a hybrid classical-quantum approach for modeling transition probabilities in health an... more We propose a hybrid classical-quantum approach for modeling transition probabilities in health and disability insurance. The modeling of logistic disability inception probabilities is formulated as a support vector regression problem. Using a quantum feature map, the data are mapped to quantum states belonging to a quantum feature space, where the associated kernel is determined by the inner product between the quantum states. This quantum kernel can be efficiently estimated on a quantum computer. We conduct experiments on the IBM Yorktown quantum computer, fitting the model to disability inception data from a Swedish insurance company.
Beyond Traditional Probabilistic Methods in Economics, 2018
In this paper we examine mean-field-type games in blockchain-based distributed power networks wit... more In this paper we examine mean-field-type games in blockchain-based distributed power networks with several different entities: investors, consumers, prosumers, producers and miners. Under a simple model of jump-diffusion and regime switching processes, we identify risk-aware mean-field-type optimal strategies for the decision-makers.
Statistical Methods and Applications in Insurance and Finance, 2016
This is a short introduction to some basic aspects of statistical estimation techniques known as ... more This is a short introduction to some basic aspects of statistical estimation techniques known as graduation technique in life and disability insurance.
Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Morphisms of backward heat equations preserve, in the appropriate sense, the forward Lagrangian, ... more Morphisms of backward heat equations preserve, in the appropriate sense, the forward Lagrangian, as well as the forward (Newton’s) equations of motion for a general class of diffusions. Time reflection yields results for forward heat equations, in particular for Bernstein-Schrödinger diffusions.
ABSTRACT We suggest an explicit data-driven consistent estimator of the optimal smooth trend in a... more ABSTRACT We suggest an explicit data-driven consistent estimator of the optimal smooth trend in a multivariate Hodrick-Prescott filter, when the associated disturbances (i.e., signal and cycle components) follow a moving average, and a vector autoregressive process, respectively. This is done through deriving consistent estimators of the covariance matrices of the signal and the cycle components. We then fit some macroeconomic data to compare the performances of the associated smooth trend and business cycle with the ones obtained using the estimators of the univariate Hodrick-Prescott filter with auto-correlated disturbances.
A risk process with premiums depending on the current reserve is considered. A large deviation ap... more A risk process with premiums depending on the current reserve is considered. A large deviation approach is used to obtain upper and lower bounds for the corresponding ruin probabilities. They are expressed in terms of the entropy function of the claims distribution
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Papers by Boualem Djehiche