Dynamic Credit-Collections Optimization

• 成果类型: Article
• 署名作者: Chehrazi, Naveed; Glynn, Peter W.; Weber, Thomas A.
• 署名单位: University of Texas System; University of Texas Austin; Stanford University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3070
• 发表日期: 2019
• 页码: 2737-2769
• 关键词: account valuation; Consumer credit; credit collections; Singular control; self exciting point process; stochastic optimization; control of Hawkes processes

摘要

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts in the form of a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solution to the corresponding stochastic optimal control problem is obtained using a recursive approach. For a linear cost of treatment effort, the optimal policy in the two-dimensional (intensity, balance) space is described by the frontier of a convex action region. The unique optimal policy significantly reduces a bank's loss given default and concentrates the collection effort onto the best possible actions at the best possible times so as to minimize the sum of the expected discounted outstanding balance and the discounted cost of the collection effort, thus maximizing the net value of any given delinquent credit-card account.