Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model

DOI10.1016/j.insmatheco.2017.02.009zbMath1394.91202OpenAlexW2594791375MaRDI QIDQ2397851

Yan Zeng, Zhifeng Hao, Shu-Min Chen

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.009

zbMATH Keywords

transaction coststime-inconsistent preferencesstochastic impulse controloptimal dividend strategyhyperbolic discount rate

Mathematics Subject Classification ID

Related Items (6)

Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions ⋮ Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets

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