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
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 |
| Uncontrolled Keywords: | ISI; Parisian implementation delay; Single barrier strategy; Surplus process ID RISK PROCESS AB |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | UT ISI:000271335800006 |
| URL: | http://eprints.lse.ac.uk/26621/ |
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