Stochastic Optimal Control of Investment and Dividend Payment Model under Debt Control with Time-Inconsistency

Dan Zhu and Chuancun Yin

Mathematical Problems in Engineering, 2018, vol. 2018, 1-8

Abstract:

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.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7928953

DOI: 10.1155/2018/7928953

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