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

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  • Dassios, Angelos
  • Wu, Shanle
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    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4WGMB2H-1/2/7292fdc06b2b8b19522cfe06aa438608
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 45 (2009)
    Issue (Month): 2 (October)
    Pages: 195-202

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    Handle: RePEc:eee:insuma:v:45:y:2009:i:2:p:195-202

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Parisian implementation delay Single barrier strategy Surplus process;

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    1. Bar-Ilan, Avner & Strange, William C, 1996. "Investment Lags," American Economic Review, American Economic Association, vol. 86(3), pages 610-22, June.
    2. Bjarne Hø jgaard & Michael Taksar, 1999. "Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 153-182.
    3. Wang, Nan & Politis, Konstadinos, 2002. "Some characteristics of a surplus process in the presence of an upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 231-241, April.
    4. Paulsen, Jostein & Gjessing, Hakon K., 1997. "Optimal choice of dividend barriers for a risk process with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 215-223, October.
    5. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
    6. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.
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