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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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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3YDGGWP-3/2/adc8e65ef00e340923b8edf391abe851
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 26 (2000)
    Issue (Month): 1 (February)
    Pages: 25-36

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    Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:25-36

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    Web page: http://www.elsevier.com/locate/inca/505554

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. 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.
    2. 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.
    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.
    4. 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.
    5. Serfozo, Richard & Stidham, Shaler, 1978. "Semi-stationary clearing processes," Stochastic Processes and their Applications, Elsevier, vol. 6(2), pages 165-178, January.
    6. Radner, Roy, 1998. "Profit maximization with bankruptcy and variable scale," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 849-867, June.
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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. 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.
    3. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2007. "Optimal Dividend Control in Presence of Downside Risk," Discussion Papers 14, Aboa Centre for Economics.

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