Equilibrium dividend strategy with non-exponential discounting in a dual model
From MaRDI portal
Publication:274116
DOI10.1007/s10957-015-0742-8zbMath1335.91065OpenAlexW762187204MaRDI QIDQ274116
Yongwu Li, Yan Zeng, Zhong-Fei Li
Publication date: 22 April 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-015-0742-8
Hamilton-Jacobi-Bellman equationdividend paymentdual modelequilibrium strategynon-exponential discount function
Noncooperative games (91A10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (8)
On the bail-out optimal dividend problem ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ Equilibrium dividend strategies in the dual model with a random time horizon ⋮ Optimal dividends with an affine penalty
Cites Work
- Unnamed Item
- Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- A theory of Markovian time-inconsistent stochastic control in discrete time
- On finite-time ruin probabilities in a generalized dual risk model with dependence
- Investment and consumption without commitment
- Optimal dividends in the dual model
- Controlled diffusion models for optimal dividend pay-out
- Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
- Optimal dividend payout under compound Poisson income
- Optimal dividend strategies with time-inconsistent preferences
- Dividend problems in the dual risk model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- On dividend strategies with non-exponential discounting
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- Consistent Plans
- Dynamic Choices of Hyperbolic Consumers
- Optimization of the flow of dividends
- Time-Consistent Portfolio Management
- On Optimal Dividend Strategies In The Compound Poisson Model
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Consumption-Savings Decisions with Quasi-Geometric Discounting
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
This page was built for publication: Equilibrium dividend strategy with non-exponential discounting in a dual model
