A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences

DOI10.1080/10920277.2025.2514457MaRDI QIDQ7227845zbMATH OpenFDO

Authors Pengyu Wei, Wei Wei, Charles Yang

Publication date 10 April 2026

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2025.2514457

Mathematics Subject Classification ID

Applications of game theory (91A80) Actuarial mathematics (91G05)

Cites work

• A consumption-investment problem with heterogeneous discounting
• Consumption, investment and life insurance strategies with heterogeneous discounting
• Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
• Golden Eggs and Hyperbolic Discounting
• Heterogeneous discounting in economic problems
• On the time-inconsistent deterministic linear-quadratic control
• On time-inconsistent stochastic control in continuous time
• Optimal dividend strategies with time-inconsistent preferences
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
• The golden rule when preferences are time inconsistent
• Threshold control of mutual insurance with limited commitment
• Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment

This page was built for publication: A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7227845)