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On the dual risk model with Parisian implementation delays in dividend payments
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文摘

The dual compound Poisson risk model with a dividend barrier strategy is studied.

We consider both fixed and Erlang(n) Parisian implementation delays in dividends.

Laplace transform of ruin time and expected discounted dividends are derived.

Optimal barrier maximizing dividends is found to depend on the initial surplus level.

Performance of Erlangization for n up to 100 to approximate a fixed time is assessed.

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