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Konferencja
I konferencja dla Młodych Matematyków Zastosowanie Matematyki - Karpacz 2000
Języki publikacji
Abstrakty
Credit risk management methods can be divided in two classes: static (optimization of credit granting) and dynamic (optimal risk management for an existing account). The methods from the second class are applied, among other things, to setting credit line limit of. This paper introduces two models. The first model of the credit line - Bierman-Hausman model (see [1]) and the general model of the credit line with random variables economical factors (in Waldmann [7]). The second of the models is nice and surprising extension of well-known classical model. It is an example of Markov decision process. The structural properties of the optimal strategies are presented. We obtain the optimal strategies using dynamic programming.
Słowa kluczowe
Rocznik
Tom
Strony
112--120
Opis fizyczny
Bibliogr. 7 poz.
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autor
- Institute of Mathematics Wrocław University of Technology, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BPW5-0006-0062