Risk analysis for a stochastic cash management model with two types of customers
| Autor(en): | Perry, D Stadje, W |
Stichwörter: | bankruptcy; Brownian motion; BROWNIAN-MOTION; Business & Economics; cash management; CLEARING SYSTEMS; compound Poisson process; Economics; FIRM; first-exit time; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; maximum cash amount; revenue functional; Social Sciences, Mathematical Methods; Statistics & Probability; WORK REMOVAL | Erscheinungsdatum: | 2000 | Herausgeber: | ELSEVIER SCIENCE BV | Enthalten in: | INSURANCE MATHEMATICS & ECONOMICS | Band: | 26 | Ausgabe: | 1 | Startseite: | 25 | Seitenende: | 36 | Zusammenfassung: | A stochastic cash management system is studied in which the cash flow is modeled by the superposition of a Brownian motion with drift and a compound Poisson process with positive and negative jumps for ``big'' deposits and withdrawals, respectively. We derive explicit formulas for the distributions of the bankruptcy time, the time until bankruptcy or the reaching of a prespecified level, the maximum cash amount in the system, and for the expected discounted revenue generated by the system. (C) 2000 Elsevier Science B.V. All rights reserved. |
ISSN: | 01676687 | DOI: | 10.1016/S0167-6687(99)00037-2 |
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