Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076638 | Insurance: Mathematics and Economics | 2014 | 13 Pages |
Abstract
In this paper, we study the dividend maximization problem with a non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to Markov strategies. This is a time inconsistent control problem. The equilibrium HJB-equation is given and the verification theorem is proven for a general discount function. Considering a mixture of exponential discount functions and a pseudo-exponential discount function, we get equilibrium dividend strategies and the corresponding equilibrium value functions by solving the equilibrium HJB-equations.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Qian Zhao, Jiaqin Wei, Rongming Wang,