Risk analysis for a stochastic cash manangement model with two type of customers

DOI10.1016/S0167-6687(99)00037-2zbMath0990.91028OpenAlexW2043281902WikidataQ128109168 ScholiaQ128109168MaRDI QIDQ1974040

David Perry, Wolfgang Stadje

Publication date: 13 May 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00037-2

zbMATH Keywords

risk analysisBrownian motioncompound Poisson processstochastic cash managementbankruptcy timemaximum cash amountrevenue functional

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

Related Items

Hybrid optimal impulse control ⋮ First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ The asymptotic behavior of the optimal cash holding strategy under a class of utility functions ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Function space integration for annuities. ⋮ The optimal cash holding models for stochastic cash management of continuous time ⋮ A generalized impulse control model of cash management ⋮ On singular stochastic control and optimal stopping of spectrally negative jump diffusions ⋮ Optimal payout policy in presence of downside risk ⋮ The expected time to ruin in a risk process with constant barrier via martingales

Cites Work

• Unnamed Item
• Profit maximization with bankruptcy and variable scale
• A generalized cost model for stochastic clearing systems
• Semi-stationary clearing processes
• Firm behaviour under the threat of liquidation
• Controlled diffusion models for optimal dividend pay-out
• An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model
• Instantaneous Control of Brownian Motion
• Impulse Control of Brownian Motion
• Clearing Systems and (s, S) Inventory Systems with Nonlinear Costs and Positive Lead Times
• Product-form queueing networks with negative and positive customers
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• Useful martingales for stochastic storage processes with Lévy input
• Cost Models for Stochastic Clearing Systems
• The Relationship Between Risk and Maturity In A Stochastic Setting
• A STOCHASTIC CLEARING MODEL WITH A BROWNIAN AND A COMPOUND POISSON COMPONENT
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Rate modulation in dams and ruin problems
• The Workload in the M/G/1 Queue with Work Removal
• Generalizing the Pollaczek-Khintchine Formula to Account for Arbitrary Work Removal
• A Double Band Control Policy of a Brownian Perishable Inventory System