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

DOI10.1016/J.INSMATHECO.2017.02.009MaRDI QIDQ2397851zbMATH OpenOpenAlexFDO

Authors Yan Zeng, Zhifeng Hao, Shumin 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

hyperbolic discount rateoptimal dividend strategystochastic impulse controltime-inconsistent preferencestransaction costs

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

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• Hope, fear, and aspirations
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• Instantaneous Gratification *
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• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal dividend strategies with time-inconsistent preferences
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal dividends and capital injections in the dual model with diffusion
• Optimal investment policy and dividend payment strategy in an insurance company
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimality results for dividend problems in insurance
• Strategies for dividend distribution: a review
• Time-consistent portfolio management
• Time-inconsistent stochastic linear-quadratic control

Cited in

(14)

• Optimal dividend strategies with time-inconsistent preferences
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Optimal financing and dividend strategies with time inconsistency in a regime switching economy
• Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
• 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
• Optimal dividend strategy with transaction costs for an upward jump model
• 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 dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
• Optimal reinsurance-investment problem under mean-variance criterion with n risky assets

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