an:06004634
Zbl 1231.91430
Dassios, Angelos; Wu, Shanle
On barrier strategy dividends with Parisian implementation delay for classical surplus processes
EN
Insur. Math. Econ. 45, No. 2, 195-202 (2009).
00295220
2009
j
91G20
Parisian implementation delay; single barrier strategy; surplus process
Summary: 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 \(b^{\ast }\) which maximises the expected present value of dividends.