Referral Limit Policy for the Credit Authorization Process
this paper considers the credit authorization problem in credit card companies authorization systems. Customers are classified into several risk segments according to the type of services requested and the associated credit risk of customers. Card companies need to balance the risk exposure and the quality of customer service in the decision of referral/no referral. We formulate this problem as a Markov Decision Process (MDP) and characterize the optimal policy as referral limit control for each risk segment. A numerical example is provided to verify our results.
credit card risk segment Markov decision process referral limit
Kin Keung Lai Bing Lin
Department of Management Sciences City University of Hong Kong Hong Kong, China
国际会议
北京
英文
754-757
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）