Title of article :
On barrier strategy dividends with Parisian implementation delay for classical surplus processes
Author/Authors :
Dassios، نويسنده , , Angelos and Wu، نويسنده , , Shanle، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
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
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics