hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Revision Moment for the Retail Decision-Making System
Halmstad University. Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Finance Mathematics)
Halmstad University. Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Finance Mathematics)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. In the first part of the work the main principles of the parameters estimation are given. Also the change-point problem is considered for the given sample in the discrete and continuous time with using the Maximum likelihood method. In the second part of the work the disorder moment detection problem for the real-time observations is considered as a disorder problem for a non-homogeneous Poisson process. The corresponding optimal stopping problem is reduced to the free-boundary problem with a complete analytical solution for the case when the intensity of defaults increases. Thereafter a scheme of the real time detection of a disorder moment is given.

Place, publisher, year, edition, pages
2010. , 68 p.
Keyword [en]
Financial Mathematics, Loan origination, Logistic regression model, Change-point problem, Maximum likelihood method, Poisson process, Disorder problem, Non-homogeneous Poisson process, Optimal stopping problem, Free-boundary problem
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-6191OAI: oai:DiVA.org:hh-6191DiVA: diva2:359051
Presentation
2010-06-04, Haldasalen, Halmstad, 301 18, Halmstad University, 11:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-10-27 Created: 2010-10-26 Last updated: 2010-10-27Bibliographically approved

Open Access in DiVA

fulltext(624 kB)230 downloads
File information
File name FULLTEXT01.pdfFile size 624 kBChecksum SHA-512
63d3a29b2d49e8a2c197d4acd7edc9e7e8c7be3f05e1ab9237c920ff8452e05e1ee66a3d0c7bff70fdc2001af3675a6f56397d23e19784a14bf169e55b7820ca
Type fulltextMimetype application/pdf

By organisation
Halmstad UniversitySchool of Information Science, Computer and Electrical Engineering (IDE)MPE-lab
Computational MathematicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 230 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 165 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf