On barrier strategy dividends with Parisian implementation delay for classical surplus processes
Dassios, Angelos
; and Wu, Shanle
(2009)
On barrier strategy dividends with Parisian implementation delay for classical surplus processes
Insurance: Mathematics and Economics, 45 (2).
pp. 195-202.
ISSN 0167-6687
In this paper, we apply a single barrier strategy to optimise dividend payments in the situation where there is a time lag d > 0 between decision and implementation. Using a classical surplus process with exponentially distributed jumps, we obtain the optimal barrier b* which maximises the expected present value of dividends.
| Item Type | Article |
|---|---|
| Keywords | ISI; Parisian implementation delay; Single barrier strategy; Surplus process ID RISK PROCESS AB |
| Departments | Statistics |
| DOI | 10.1016/j.insmatheco.2009.05.013 |
| Date Deposited | 11 Jan 2010 10:56 |
| URI | https://researchonline.lse.ac.uk/id/eprint/26621 |
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ORCID: https://orcid.org/0000-0002-3968-2366