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

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.

MoreLess

Year of publication:	2009
Authors:	Dassios, Angelos ; Wu, Shanle
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 2, p. 195-202
Publisher:	Elsevier
Keywords:	Parisian implementation delay Single barrier strategy Surplus process

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521295