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Risk analysis for a stochastic cash management model with two types of customers

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  • Perry, David
  • Stadje, Wolfgang

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  • Perry, David & Stadje, Wolfgang, 2000. "Risk analysis for a stochastic cash management model with two types of customers," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 25-36, February.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:25-36
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    References listed on IDEAS

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    1. J. Michael Harrison & Michael I. Taksar, 1983. "Instantaneous Control of Brownian Motion," Mathematics of Operations Research, INFORMS, vol. 8(3), pages 439-453, August.
    2. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
    3. Paul H. Zipkin, 1992. "The Relationship Between Risk and Maturity In A Stochastic Setting," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 33-46, January.
    4. J. Michael Harrison & Thomas M. Sellke & Allison J. Taylor, 1983. "Impulse Control of Brownian Motion," Mathematics of Operations Research, INFORMS, vol. 8(3), pages 454-466, August.
    5. Shaler Stidham, 1977. "Cost Models for Stochastic Clearing Systems," Operations Research, INFORMS, vol. 25(1), pages 100-127, February.
    6. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
    7. Sid Browne, 1995. "Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Mathematics of Operations Research, INFORMS, vol. 20(4), pages 937-958, November.
    8. Shaler Stidham, 1986. "Clearing Systems and ( s , S ) Inventory Systems with Nonlinear Costs and Positive Lead Times," Operations Research, INFORMS, vol. 34(2), pages 276-280, April.
    9. Serfozo, Richard & Stidham, Shaler, 1978. "Semi-stationary clearing processes," Stochastic Processes and their Applications, Elsevier, vol. 6(2), pages 165-178, January.
    10. Radner, Roy, 1998. "Profit maximization with bankruptcy and variable scale," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 849-867, June.
    11. Paul Zipkin, 1992. "The Structure of Structured Bond Portfolio Models," Operations Research, INFORMS, vol. 40(1-supplem), pages 157-169, February.
    12. Milne, Alistair & Robertson, Donald, 1996. "Firm behaviour under the threat of liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1427-1449, August.
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    Cited by:

    1. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
    2. Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
    3. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2007. "Optimal Dividend Control in Presence of Downside Risk," Discussion Papers 14, Aboa Centre for Economics.
    4. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.

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