Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
From MaRDI portal
Publication:2397851
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
transaction coststime-inconsistent preferencesstochastic impulse controloptimal dividend strategyhyperbolic discount rate
Related Items
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
- Non-constant discounting in continuous time
- Optimal investment policy and dividend payment strategy in an insurance company
- Consumption and portfolio rules for time-inconsistent investors
- Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Optimal dividend strategies with time-inconsistent preferences
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- On dividend strategies with non-exponential discounting
- HOPE, FEAR, AND ASPIRATIONS
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- A Stochastic Extension of the Miller‐Modigliani Framework1
- Golden Eggs and Hyperbolic Discounting
- Time-Consistent Portfolio Management
- Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
- Instantaneous Gratification *
- Strategies for Dividend Distribution: A Review
- On the Time Value of Ruin
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance