Optimizing credit limit policies to maximise customer lifetime value
So, Meko M.C. and Thomas, Lyn C. (2007) Optimizing credit limit policies to maximise customer lifetime value. Southampton, UK, University of Southampton, 20pp. (Centre for Operational Research, Management Science and Information Systems Working Papers, (CORMSIS-07-06) ).
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Description/Abstract
This paper discusses the use of Markov Decision Process (MDP) in selecting an
appropriate credit card limit policy with the objective to maximize the profit
generated from customers. It first presents the MDP model and model properties.
It then discusses the use of low default portfolio in estimating the probability of
default in the transition matrix. The optimal policies of a case study are presented
and discussed in the paper.
| Item Type: | Monograph (Working Paper) |
|---|---|
| ISSNs: | 1356-3548 (print) |
| Related URLs: | |
| Keywords: | markov decision process, credit card, behavioral score, profitability, probability of default |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 51315 |
| Date Deposited: | 23 Jun 2008 |
| Last Modified: | 02 Mar 2012 13:31 |
| Contributors: | So, Meko M.C. (Author) Thomas, Lyn C. (Author) |
| Date: | November 2007 |
| Status: | Published |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/51315 |
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