Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077055 | Insurance: Mathematics and Economics | 2009 | 8 Pages |
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 bâ which maximises the expected present value of dividends.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Angelos Dassios, Shanle Wu,