On barrier strategy dividends with Parisian implementation delay for classical surplus processes
Dassios, A.
& Wu, S.
(2009).
On barrier strategy dividends with Parisian implementation delay for classical surplus processes.
Insurance: Mathematics and Economics,
45(2), 195-202.
https://doi.org/10.1016/j.insmatheco.2009.05.013
& Wu, S.
(2009).
On barrier strategy dividends with Parisian implementation delay for classical surplus processes.
Insurance: Mathematics and Economics,
45(2), 195-202.
https://doi.org/10.1016/j.insmatheco.2009.05.013
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.