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中山大学 曾燕副教授:Optimal dividend strategy for di usion processes with time-inconsistent preferences and penalty cost for ruin

(发布于:2015-07-17 )

主讲人:中山大学  曾燕副教授

  题:Optimal dividend strategy for di usion processes with time-inconsistent preferences and penalty cost for ruin

主持人:经济数学学院 李绍文教授

  间:2015720日(星期一) 上午:10:30-11:30

  点:通博楼B412

  办:经济数学学院、科研处

主讲人介绍:

曾燕,中山大学岭南学院副教授,2011年毕业于中山大学数学与计算科学学院,获理学博士学位。2014年入选广东省高等学校千百十人才培养工程校级培养对象。目前已在Journal of Economic Dynamics and ControlInsurance: Mathematics and Economics等期刊上发表论文三十余篇,其中SCI/SSCI收录论文十余篇,主持国家自科、教育部社科、广东省社科、广东省自科等多项基金,并获得过第五届中国社会保障论坛主题征文三等奖、金融系统工程与风险管理国际学术年会优秀论文奖等奖项。

讲座内容:

The optimal dividend strategy for a company whose surplus follows a general di usion process is considered. The company's manager who has timeinconsistent preferences, seeks the optimal dividend strategy and is subjected to a constant penalty cost when the company goes bankruptcy. We tackle with the optimization problem by assuming that the manager is time-consistent, naive or sophisticated, and obtain analytical solutions, respectively. Our results show that the manager with time-inconsistent preferences tends to pay out dividends earlier than her time-consistent counterpart, and that the sophisticated manager tends to pay out dividends earlier than the naive manager. On the contrary, the penalty cost leads to delay in dividend payments. Finally, we provide several examples and numerical simulations to illustrate our results.


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