Zhao, Qian; Wei, Jiaqin; Wang, Rongming - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 1-13
In this paper, we study the dividend maximization problem with a 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 Markov strategies. This is a time inconsistent control problem. The equilibrium...