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

Dassios, Angelos ORCID: 0000-0002-3968-2366 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

Full text not available from this repository.

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 Sep 2024 22:37
URI:	http://eprints.lse.ac.uk/id/eprint/26621

Actions (login required)

View Item