英文标题：
《Calculating optimal limits for transacting credit card customers》
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作者：
Jonathan K. Budd and Peter G. Taylor
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最新提交年份：
2015
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英文摘要：
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected outstanding balance. We derive its Laplace transform, assuming that purchases are made according to a marked point process and that there is a simplified balance control policy in place to prevent the credit limit being exceeded. We calculate optimal limits for a compound Poisson process example and show that the optimal limit scales with the distribution of the purchasing process and that the probability of exceeding the optimal limit remains constant. We establish a connection with the classic newsvendor model and use this to calculate bounds on the optimal limit for a more complicated balance control policy. Finally, we apply our model to real credit card purchase data.
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中文摘要：
我们提出了一个信用卡盈利模式，假设持卡人总是支付全部未偿余额。该模型的动机是计算一个最佳信贷限额，这需要一个预期未偿余额的表达式。我们推导了它的拉普拉斯变换，假设购买是根据一个标记点过程进行的，并且有一个简化的余额控制政策，以防止超过信贷限额。我们计算了一个复合泊松过程的最优极限，并证明了最优极限随采购过程的分布而变化，超过最优极限的概率保持不变。我们建立了一个与经典报童模型的联系，并用它来计算一个更复杂的平衡控制策略的最优极限的界限。最后，我们将我们的模型应用于真实的信用卡购买数据。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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