Article ID Journal Published Year Pages File Type
5077055 Insurance: Mathematics and Economics 2009 8 Pages PDF
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
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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