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

DOI10.1016/j.insmatheco.2009.05.013zbMath1231.91430OpenAlexW2063049395MaRDI 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 processParisian implementation delaysingle barrier strategy

Mathematics Subject Classification ID

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

Related Items (14)

On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ Parisian ruin probability - the De Vylder type approximation ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Modeling and asymptotic analysis of insurance company performance ⋮ Parisian ruin with Erlang delay and a lower bankruptcy barrier ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ 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 analysis of deep drawdowns for the Lévy insurance risk model ⋮ The Omega-model with two bankruptcy rates ⋮ Flexibility premium of emissions permits ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Recursive formula for the double-barrier Parisian stopping time

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