Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
type: Item
instance of: scholarly article
title: Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
zbMATH Open document ID: 1427.91266
DOI: 10.1155/2018/7928953
author: Dan Zhu
author: Chuancun Yin
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7019513
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/7928953
OpenAlex ID: W2849598794
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Wikidata QID: Q129490114
description: scientific article; zbMATH DE number 7019513