On the Dividend Strategies with Non-Exponential Discounting

Preprint OPEN
Qian Zhao ; Jiaqin Wei ; Rongming Wang (2013)
  • Subject: Quantitative Finance - Portfolio Management
    arxiv: Computer Science::Systems and Control | Mathematics::Optimization and Control

In this paper, we study the dividend strategies for a shareholder with 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 the Markov strategies. This is a time inconsistent cont... View more
  • References (9)

    H.U. Gerber and E.S.W. Shiu. Optimal dividends: analysis with brownian motion. North American Actuarial Journal, 8(1):1-20, 2004.

    H.U. Gerber and E.S.W. Shiu. On optimal dividend strategies in the compound poisson model. North American Actuarial Journal, 10(2):76-93, 2006.

    B. Højgaard and M. Taksar. Controlling risk exposure and dividends payout schemes: insurance company example. Mathematical Finance, 9(2):153-182, 1999.

    D. Laibson. Golden eggs and hyperbolic discounting. Quarterly Journal of Economics, 112:443- 477, 1997.

    G. Loewenstein and D. Prelec. Anomalies in intertemporal choice: evidence and an interpretation. Quarterly Journal of Economics, 57:573-598, 1992.

    J. Marín-Solano and J. Navas. Consumption and portfolio rules for time-inconsistent investors. European Journal of Operational Research, 201:860-872, 2010.

    E.S. Phelps and R.A. Pollak. On second-best national saving and game-equilibrium growth. Review of Economic Studies, 35:185-199, 1968.

    R. Strotz. Myopia and inconsistency in dynamic utility maximization. Rev. Econ. Stud., 23:165-180, 1955.

    R. Thaler. Some empirical evidence on dynamic inconsistency. Economics Letters, 8:201-207, 1981.

  • Metrics
    No metrics available
Share - Bookmark