Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time

Zhou Zhou and Zhuo Jin

Insurance: Mathematics and Economics, 2020, vol. 94, issue C, 100-108

Abstract: This paper studies a time-inconsistent dividend problem in discrete time with nonexponential discounting. Motivated by the decreasing impatience in behaviour economics, a general discount function is used and assumed to be log sub-additive. Using a game-theoretic approach equilibrium barrier strategies are considered. It is shown that in the case of multiple equilibria, there exists an optimal one that pointwisely dominates all the other equilibria. Case studies are conducted where there is no equilibrium, multiple equilibria, and a unique equilibrium.

Keywords: Time inconsistency; Decreasing impatience; Dividend barrier; Non-exponential discounting; Equilibrium strategy (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108

DOI: 10.1016/j.insmatheco.2020.06.011

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