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Jinxia Zhu: Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
time: Dec 26, 2019

Time:December 24, 20199:00-10:30

Location:1710, building B,Feicuihu Campusscience and education building

Speaker: JinxiaZhu, senior lecturer, doctoral supervisor

From:School of risk and Actuarial Science, University of New South Wales

Organizer:School of Mathematics

Lecturer introduce:JinxiaZhu, who received her Ph.D. in Actuarial Science from the University of Hong Kong in 2008, is now a senior lecturer and doctoral supervisor in the school of risk and Actuarial Science at the University of New South Wales (UNSW Sydney), Australia. The research fields include the application of stochastic optimal control in Actuarial and financial, asset allocation, and risk theory. The research results are mainly published in the international top journals of Applied Probability and actuarial fields, including stochastic processes and their applications, European Journal of operation research, advances in applied probability, Journal of Applied Probability and insurance CE: Mathematics and economics, etc.

Description:With the advancement of behavioral economics, the of exponential discounting for decision making in neoclassical economics has been questioned since it cannot provide a realistic way to explain certain decision-making behavior. The purpose of this talk is to investigate strategic decision making on dividend distribution policies of insurance companies when the management adopts a more realistic way for discounting, namely stochastic quasi-hyperbolic discounting. The use of this more realistic way for discounting is motivated by some recent developments in behavioral economics. A game theoretic approach is adopted to establish economic equilibrium results, namely subgame perfect Markov equilibrium strategies. It is shown that (1) under certain mild technical conditions, the barrier strategy with an optimal barrier, which is widely used in the traditional approach to optimal dividend problems, is a perfect Markov equilibrium strategy, (2) the optimal barrier is lower than the barrier of an optimal strategy obtained from the respective time-consistent optimal dividend problem, and (3) the solution based on the barrier strategy does not exist in some situations.

*This is based on a joint paper with Prof. Tak Kuen Siu and Prof. Hailiang Yang.