Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences

This paper discusses the optimal dividend and capital injection problems when an insurance company has two lines of business with common shock dependence. Suppose that manager time-inconsistent preference, which can be described by a quasi-hyperbolic discount function. The value is measured expected discounted payments minus costs injection. goal to find out strategies for maximizing company. By using stochastic control techniques, we solve in all cases time-consistent preference manager, naive sophisticated respectively. closed-form solutions functions are presented. Our results show inclined pay dividends earlier than more likely advance manager. Furthermore, provide some numerical analysis reveal sensitivity dependence intensity cost that, as increases, will give up first, followed In addition, also that: low, managers think undertakes kinds high correlation higher; while, have opposite evaluations, high.