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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).

Record type: Monograph (Working Paper)


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.

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Published date: November 2007
Keywords: markov decision process, credit card, behavioral score, profitability, probability of default


Local EPrints ID: 51315
ISSN: 1356-3548
PURE UUID: 292106eb-fa74-4f7b-9940-9478bc15a23f

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Date deposited: 23 Jun 2008
Last modified: 17 Jul 2017 14:48

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Author: Meko M.C. So
Author: Lyn C. Thomas

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