On barrier strategy dividends with Parisian implementation delay for classical surplus processes

Dassios, AngelosORCID logo; 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
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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.

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