Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty

DOI10.1137/16M1088983MaRDI QIDQ4635250zbMATH OpenOpenAlexFDO

Authors Shumin Chen, Yan Zeng, Zhongfei Li

Publication date 16 April 2018

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16m1088983

zbMATH Keywords

transaction coststime-inconsistent preferencesoptimal dividend strategyruin penaltyhyperbolic discount function

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

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• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimization of the flow of dividends
• Time-consistent portfolio management

Cited in

(19)

• Non-exponential discounting portfolio management with habit formation
• Moment-constrained optimal dividends: precommitment and consistent planning
• Dynamic risk-sharing game and reinsurance contract design
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
• 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 dividend strategies with time-inconsistent preferences
• Optimal dividend payments under a time of ruin constraint: exponential claims
• Optimal dividend and capital injection problems in the dual diffusion model with time-inconsistent preferences
• Optimal dividend and scale of business strategies with reinsurance and premium pricing for insurance company
• Equilibrium strategies for singular dividend control problems under the mean-variance criterion
• Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
• Optimal financing and dividend strategies with time inconsistency in a regime switching economy
• Time-inconsistent view on a dividend problem with penalty
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
• Short communication: equilibrium mean-variance dividend rate strategies

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