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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

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Abstract

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
Official URL: http://www.sciencedirect.com/science/journal/01676...
Additional Information: © 2009 Elsevier B.V
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Identification Number: 10.1016/j.insmatheco.2009.05.013
Date Deposited: 11 Jan 2010 10:56
Last Modified: 04 May 2017 09:36
URI: http://eprints.lse.ac.uk/id/eprint/26621

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