On dividend strategies with non-exponential discounting

DOI10.1016/J.INSMATHECO.2014.06.001zbMATH Open1304.91140arXiv1304.7878OpenAlexW2145610495MaRDI QIDQ2513612FDOQ2513612

Authors: Qian Zhao, Jiaqin Wei, Rongming Wang 

Publication date: 28 January 2015

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

Abstract: In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent control problem. The extended HJB equation is given and the verification theorem is proved for a general discount function. Considering the pseudo-exponential discount functions (Type I and Type II), we get the equilibrium dividend strategies and the equilibrium value functions by solving the extended HJB equations.

Full work available at URL: https://arxiv.org/abs/1304.7878

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zbMATH Keywords

equilibrium strategiesnon-exponential discountingdividend strategiesequilibrium HJB-equationtime inconsistence

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Application models in control theory (93C95)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Investment and consumption without commitment
• Time-consistent portfolio management
• Mean-variance portfolio optimization with state-dependent risk aversion
• Golden Eggs and Hyperbolic Discounting
• Ramsey Meets Laibson in the Neoclassical Growth Model
• Strategies for dividend distribution: a review
• Consumption and portfolio rules for time-inconsistent investors
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• On optimal dividends: from reflection to refraction

Cited In (14)

• Equilibrium dividend strategy with non-exponential discounting in a dual model
• Moment-constrained optimal dividends: precommitment and consistent planning
• Estimating discrete dividends by no-arbitrage
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• On the dividends of the risk model with Markovian barrier
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Equilibrium dividend strategies in the dual model with a random time horizon
• Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
• Time-inconsistent view on a dividend problem with penalty
• Equilibria for time-inconsistent singular control problems
• Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency

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