
arXiv: 2310.09198
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For the problem with non-exponential discount, both sufficient and necessary conditions are derived, providing a thorough mathematical characterization of the equilibrium. Specifically, the equilibrium can be characterized by an extended HJB system, which is a coupled system of non-local parabolic equations with free boundaries. Finally, by showing the existence of classical solutions to the extended HJB system, the existence of equilibria is established under some additional assumptions.
Optimization and Control (math.OC), Actuarial mathematics, FOS: Mathematics, Optimal stochastic control, Free boundary problems for PDEs, singular control, free-boundary problem, equilibria, Mathematics - Optimization and Control, time-inconsistency, irreversible reinsurance
Optimization and Control (math.OC), Actuarial mathematics, FOS: Mathematics, Optimal stochastic control, Free boundary problems for PDEs, singular control, free-boundary problem, equilibria, Mathematics - Optimization and Control, time-inconsistency, irreversible reinsurance
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