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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Identification Number: 10.1016/j.insmatheco.2009.05.013
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 |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 11 Jan 2010 10:56 |
| Last Modified: | 13 Nov 2023 18:57 |
| URI: | http://eprints.lse.ac.uk/id/eprint/26621 |
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