This is a good candidate for a window function. Also note that nulls already get sorted correctly by the DESC so no need to get 'infinity' involved, although you could write 'DESC NULLS FIRST' to be explicit about it.
with x as (select *, row_number() over (partition by id order by upper(dates) desc, lower(dates) desc) from example)
select id,value,dates from x where row_number = 1;
id | value | dates
----+-------+-------------------------
1 | b | [2010-01-01,)
2 | d | [2010-01-01,2021-01-01)
3 | g | [2013-01-01,)
4 | j | [2010-01-01,2015-01-01)
(4 rows)
Cheers,
Greg