{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T14:07:52Z","timestamp":1753884472215,"version":"3.41.2"},"reference-count":16,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,4,2]],"date-time":"2018-04-02T00:00:00Z","timestamp":1522627200000},"content-version":"vor","delay-in-days":91,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100003825","name":"Magyar Tudom\u00e1nyos Akad\u00e9mia","doi-asserted-by":"publisher","award":["BO\/00125\/15\/9"],"award-info":[{"award-number":["BO\/00125\/15\/9"]}],"id":[{"id":"10.13039\/501100003825","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Complexity"],"published-print":{"date-parts":[[2018,1]]},"abstract":"<jats:p>We propose a discrete time probabilistic model of depositor behavior which takes into account the information flow among depositors. In each time period each depositors\u2019 current state is determined in a stochastic way, based on their previous state, the state of other connected depositors, and the strategy of the bank. The bank offers payment to impatient depositors (those who want to withdraw their funds) who accept or decline them with certain probability, depending on the offered amount. Our principal aim is to see what are the optimal offers of the bank if it wants to keep the expected chance of a bank run under a certain level and minimize its expected payments, while taking into account the connection structure of the depositors. We show that in the case of the proposed model this question results in a nonlinear optimization problem with nonlinear constraints and that the method is capable of accounting for time\u2010varying resource limits of the bank. Optimal offers increase (a) in the degree of the depositor, (b) in the probability of being hit by a liquidity shock, and (c) in the effect of a neighboring impatient depositor.<\/jats:p>","DOI":"10.1155\/2018\/9434608","type":"journal-article","created":{"date-parts":[[2018,4,2]],"date-time":"2018-04-02T23:32:02Z","timestamp":1522711922000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Optimal Payments to Connected Depositors in Turbulent Times: A Markov Chain Approach"],"prefix":"10.1155","volume":"2018","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5917-1352","authenticated-orcid":false,"given":"D\u00e1vid","family":"Csercsik","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Hubert J\u00e1nos","family":"Kiss","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2018,4,2]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_8_1_2","DOI":"10.1086\/261155"},{"doi-asserted-by":"publisher","key":"e_1_2_8_2_2","DOI":"10.1016\/S0022-0531(02)00017-0"},{"doi-asserted-by":"publisher","key":"e_1_2_8_3_2","DOI":"10.1257\/aer.99.4.1588"},{"unstructured":"Argentina\u2019s debt: At last - a deal with holdout bondholders is expensive but worth it The Economist 5 March 2016.","key":"e_1_2_8_4_2"},{"doi-asserted-by":"publisher","key":"e_1_2_8_5_2","DOI":"10.1257\/aer.90.5.1110"},{"doi-asserted-by":"crossref","unstructured":"IyerR.andPuriM. Understanding bank runs: the importance of depositor-bank relationships and networks National Bureau of Economic Research 2008 https:\/\/doi.org\/10.1257\/aer.102.4.1414 2-s2.0-84862612131.","key":"e_1_2_8_6_2","DOI":"10.3386\/w14280"},{"doi-asserted-by":"publisher","key":"e_1_2_8_7_2","DOI":"10.1002\/j.2325-8012.2007.tb00820.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_8_2","DOI":"10.1016\/j.jebo.2009.03.009"},{"doi-asserted-by":"publisher","key":"e_1_2_8_9_2","DOI":"10.1016\/j.jfi.2008.06.002"},{"doi-asserted-by":"publisher","key":"e_1_2_8_10_2","DOI":"10.1111\/j.1538-4616.2012.00548.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_11_2","DOI":"10.1016\/j.jebo.2014.01.019"},{"doi-asserted-by":"publisher","key":"e_1_2_8_12_2","DOI":"10.1016\/S0304-3932(97)00033-0"},{"unstructured":"Steven G Johnson The nlopt nonlinear-optimization package http:\/\/ab-initio.mit.edu\/nlopt.","key":"e_1_2_8_13_2"},{"key":"e_1_2_8_14_2","first-page":"8","volume-title":"Foundations of Computer-Aided Process Operations","author":"Jonathan Currie","year":"2012"},{"doi-asserted-by":"publisher","key":"e_1_2_8_15_2","DOI":"10.1098\/rspb.1999.0716"},{"doi-asserted-by":"publisher","key":"e_1_2_8_16_2","DOI":"10.1111\/rssa.12044"}],"container-title":["Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2018\/9434608.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2018\/9434608.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2018\/9434608","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T22:52:00Z","timestamp":1723157520000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1155\/2018\/9434608"}},"subtitle":[],"editor":[{"given":"Ahmet","family":"Sensoy","sequence":"additional","affiliation":[],"role":[{"role":"editor","vocabulary":"crossref"}]}],"short-title":[],"issued":{"date-parts":[[2018,1]]},"references-count":16,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["10.1155\/2018\/9434608"],"URL":"https:\/\/doi.org\/10.1155\/2018\/9434608","archive":["Portico"],"relation":{},"ISSN":["1076-2787","1099-0526"],"issn-type":[{"type":"print","value":"1076-2787"},{"type":"electronic","value":"1099-0526"}],"subject":[],"published":{"date-parts":[[2018,1]]},"assertion":[{"value":"2017-08-25","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-02-19","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-02","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"9434608"}}