On dividend strategies with non-exponential discounting

Qian Zhao, Jiaqin Wei and Rongming Wang

Insurance: Mathematics and Economics, 2014, vol. 58, issue C, 1-13

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.

Keywords: Dividend strategies; Non-exponential discounting; Time inconsistence; Equilibrium strategies; Equilibrium HJB-equation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:58:y:2014:i:c:p:1-13

DOI: 10.1016/j.insmatheco.2014.06.001

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