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, 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, Dividend problem with Parisian delay for a spectrally negative Lévy risk process

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