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
ePrint ID: 51315
Date Deposited: 23 Jun 2008
Last Modified: 27 Mar 2014 18:34
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/51315

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