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

Angelos Dassios and Shanle Wu

Insurance: Mathematics and Economics, 2009, vol. 45, issue 2, 195-202

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.

Keywords: Parisian; implementation; delay; Single; barrier; strategy; Surplus; process (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:2:p:195-202

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