报 告 人：曾燕博士（中山大学）

报告题目：Optimal dividend strategy for ageneral diffusion process with time-inconsistent preferences and penalty costfor ruin

报告时间：2017年12月14日上午10:00-11:00

报告地点：知新楼B-1238

报告摘要：

This paper considers the optimal dividendstrategy for a company whose surplus follows a general diffusion process. Thecompany's manager, who has time inconsistent preferences, seeks the optimaldividend strategy and is subjected to a penalty cost when the company goesbankruptcy. We tackle the optimization problem by assuming that the manager istime-consistent, naive or sophisticated, and we obtain analytical solutions,respectively. Our results show that the sophisticated manager tends to pay outdividends earlier than the naive manager, who in turn tends to pay outdividends earlier than the time-consistent manager, and that managers with ahigher level of time inconsistency tend to pay out dividends earlier; incontrasts, the penalty cost leads to delay in dividend payments. Finally, weprovide several examples to illustrate our results. (Coauthors: Shumin Chen,Zhongfei Li)

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