Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

DOI10.1016/J.INSMATHECO.2015.11.005MaRDI QIDQ282263zbMATH OpenOpenAlexFDO

Authors Shumin Chen, Xi Wang, Yinglu Deng, Yan Zeng

Publication date 12 May 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.11.005

zbMATH Keywords

dual risk modeloptimal dividend-financing strategyquasi-hyperbolic discount functiontime preferencetime-inconsistent

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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Cited in

(20)

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• Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
• Optimal dividend and capital injection problems in the dual diffusion model with time-inconsistent preferences
• Optimal financing and dividend policy with Markovian switching regimes
• Asymptotic analysis for optimal dividends in a dual risk model
• Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
• Optimal financing and dividend strategies with time inconsistency in a regime switching economy
• Moment-constrained optimal dividends: precommitment and consistent planning
• scientific article; zbMATH DE number 6492429 (Why is no real title available?)
• Optimal dividend strategies with time-inconsistent preferences
• Optimal investment strategy under time-inconsistent preferences and high-water mark contract
• scientific article; zbMATH DE number 6262709 (Why is no real title available?)
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
• Fiscal stimulus as an optimal control problem
• On the dividends of the risk model with Markovian barrier
• Optimal dividends and capital injection under dividend restrictions
• Equilibrium dividend strategies in the dual model with a random time horizon

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