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

DOI10.1016/J.INSMATHECO.2015.11.005zbMATH Open1348.91132OpenAlexW2195049919MaRDI QIDQ282263FDOQ282263

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

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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)

Cites Work

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Cited In (16)

• Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty
• Optimal financing and dividend policy with Markovian switching regimes
• Moment-constrained optimal dividends: precommitment and consistent planning
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic analysis for optimal dividends in a dual risk model
• On the dividends of the risk model with Markovian barrier
• Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
• 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
• Optimal dividends and capital injection under dividend restrictions
• Equilibrium dividend strategies in the dual model with a random time horizon
• Fiscal stimulus as an optimal control problem
• Optimal financing and dividend strategies with time inconsistency in a regime switching economy
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences

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