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Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency - MaRDI portal

Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency (Q1721442)

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scientific article; zbMATH DE number 7019513
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Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
scientific article; zbMATH DE number 7019513

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    Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency (English)
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    8 February 2019
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    Summary: This paper considers the optimal debt ratio, investment, and dividend payment policies for insurers with time-inconsistency. The surplus process of an insurance company is determined by the change of asset value and the change of liabilities. The asset can be invested in financial market which contains a risky asset and a risk-free asset, and when the insurer incurs a liability, he/she earns some premium. The objective is to maximize the expected nonconstant discounted utility of dividend payment until a determinate time. This is a time-inconsistent control problem. We obtain the modified HJB equation and the closed-form expressions for the optimal debt ratio, investment, and dividend payment policies under logarithmic utility.
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