外部要因を考慮したマルコフ決定過程の個人融資における限度額の設定戦略への適用
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Published in | リアルオプション研究 Vol. 3; no. 1; pp. 107 - 122 |
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Main Authors | , , , , , |
Format | Journal Article |
Language | Japanese |
Published |
日本リアルオプション学会
2010
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Online Access | Get full text |
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Author | 加室, 吉晴 桂, 耕史 門井, 俊機 前田, 康成 中垣, 淳 鈴木, 正清 |
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Copyright | 2010 日本リアルオプション学会 |
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References | 2) So, M., and Thomas, L.C. (2007). Optimizing credit limit policies to maximize customer lifetime value. Discussion Papers in Centre for Operational Research, Management Science and Information Systems, Southampton, UK, University of Southampton, CORMSIS-07-06. 1) McNeil, A.J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management, Princeton University Press. 8) 森村英典, 高橋幸雄 (1979).「マルコフ解析」. 日科技連 7) 佐藤光男, 竹田宏, 岩崎知巳 (1989).“周期変動未知確率を含むマルコフ過程の推定と制御”.「計測自動制御学会論文集」, 25, 860-866. 4) Trench, M., Pederson, S., Lau, E., Ma, L. and Nair, S. (2003). Managing Credit Lines and Prices for Bank One Credit Cards. Interfaces, 33, 4-21. 3) So, M., and Thomas, L.C. (2008). Modeling the profitability of credit cards by Markov decision processes. Discussion Papers in Centre for Operational Research, Management Science and Information Systems, Southampton, UK, University of Southampton, CORMSIS-09-09. 5) 小野覚 (2002).「金融リスクマネジメント」. 東洋経済新報社 6) 木島正明, 小守林克哉, 阿久津なぎさ (2001).“格付け変動を利用した債権ポートフォリオの最適化”.「オペレーションズ・リサーチ」, 46, 614-621. |
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Title | 外部要因を考慮したマルコフ決定過程の個人融資における限度額の設定戦略への適用 |
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