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

A stochastic cash management system is studied in which the cash flow is mo deled by the superposition of a Brownian motion with drift and a compound P oisson process with positive and negative jumps for "big" deposits and with drawals, respectively. We derive explicit formulas for the distributions of the bankruptcy time, the time until bankruptcy or the reaching of a prespe cified level, the maximum cash amount in the system, and for the expected d iscounted revenue generated by the system. (C) 2000 Elsevier Science B.V. A ll rights reserved.