Time-inconsistent view on a dividend problem with penalty
From MaRDI portal
Publication:6096077
Abstract: We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the dividends and the penalty, which causes time-inconsistency. This allows to study different types of constraints. For the diffusion approximation of the classical surplus process we derive an explicit equilibrium dividend strategy and the associated value function. Inspired by duality arguments, we can identify a particular equilibrium strategy such that for a given initial surplus the imposed constraint is fulfilled. Furthermore, we illustrate our findings with a numerical example.
Recommendations
- Optimal dividend strategies with time-inconsistent preferences
- The dividend problem with a finite horizon
- Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
- On optimal dividends with exponential and linear penalty payments
- Dividend problems in the diffusion model with interest and exponentially distributed observation time
- Optimal dividends with an affine penalty
- Dividend problems in the dual model with diffusion and exponentially distributed observation time
- On optimal dividends with penalty payments in the Cramér-Lundberg model
- Optimal dividend and capital injection problems in the dual diffusion model with time-inconsistent preferences
- Optimal dividends with exponential and linear penalty payments in a dual model
Cites work
- A regular equilibrium solves the extended HJB system
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
- An optimal consumption problem in finite time with a constraint on the ruin probability
- Controlled diffusion models for optimal dividend pay-out
- Dividend maximization under consideration of the time value of ruin
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3563431 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- Investment and consumption without commitment
- Moment-constrained optimal dividends: precommitment and consistent planning
- On dividend strategies with non-exponential discounting
- On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
- On time-inconsistent stochastic control in continuous time
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal dividend payments under a time of ruin constraint: exponential claims
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimality of refraction strategies for a constrained dividend problem
- Risk theory
- Time-consistent portfolio management
- Time-inconsistent optimal control problems and the equilibrium HJB equation
Cited in
(4)
This page was built for publication: Time-inconsistent view on a dividend problem with penalty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6096077)
