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

DOI10.1016/J.INSMATHECO.2009.05.013MaRDI QIDQ659119zbMATH OpenOpenAlexFDO

Authors Angelos Dassios, Shanle Wu

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)

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• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal Dividends
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimization of the flow of dividends
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Perturbed Brownian motion and its application to Parisian option pricing
• 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

Cited in

(15)

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

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