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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Bar-Ilan, Avner & Strange, William C, 1996. "Investment Lags," American Economic Review, American Economic Association, vol. 86(3), pages 610-622, June.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:45:y:2009:i:2:p:195-202. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.