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

DOI10.1016/j.insmatheco.2009.05.013zbMath1231.91430MaRDI QIDQ659119

Shanle Wu, Angelos Dassios

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.013

zbMATH Keywords

surplus process; Parisian implementation delay; single barrier strategy

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Recursive formula for the double-barrier Parisian stopping time, Parisian ruin probability - the De Vylder type approximation, Modeling and asymptotic analysis of insurance company performance, The Omega-model with two bankruptcy rates, A refracted Lévy process with delayed dividend pullbacks, On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments, Parisian ruin in the dual model with applications to the \(G/M/1\) queue, A threshold-based risk process with a waiting period to pay dividends, On the dual risk model with Parisian implementation delays in dividend payments, Optimal dividend strategy under Parisian ruin with affine penalty, Parisian ruin with Erlang delay and a lower bankruptcy barrier, On the analysis of deep drawdowns for the Lévy insurance risk model, Flexibility premium of emissions permits, Dividend problem with Parisian delay for a spectrally negative Lévy risk process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Perturbed Brownian motion and its application to Parisian option pricing
• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Some characteristics of a surplus process in the presence of an upper barrier.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The expected time to ruin in a risk process with constant barrier via martingales
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Brownian Excursions and Parisian Barrier Options
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Optimization of the flow of dividends
• Entry and Exit Decision Problem with Implementation Delay
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dividends