IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v274y2019i3p1012-1018.html
   My bibliography  Save this article

Bounds for the solution to the single-period inventory model with compound renewal process input: An application to setting credit card limits

Author

Listed:
  • Budd, J.K.
  • Taylor, P.G.

Abstract

Motivated by a desire to calculate the optimal credit limit for a credit card account in terms of the card-holder’s purchasing behaviour, we consider a single-period inventory model in which the total value of all attempted purchases increases in jumps throughout the period. If a purchase does not cause the limit to be exceeded, then that purchase is approved and the total value of approved purchases is increased by its value. On the other hand, if the limit is exceeded, then the purchase is rejected and the total value of approved purchases remains at its previous level.

Suggested Citation

  • Budd, J.K. & Taylor, P.G., 2019. "Bounds for the solution to the single-period inventory model with compound renewal process input: An application to setting credit card limits," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1012-1018.
    • Handle: RePEc:eee:ejores:v:274:y:2019:i:3:p:1012-1018
    DOI: 10.1016/j.ejor.2018.11.022
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377221718309470
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ejor.2018.11.022?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Khouja, Moutaz, 1999. "The single-period (news-vendor) problem: literature review and suggestions for future research," Omega, Elsevier, vol. 27(5), pages 537-553, October.
    2. Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
    3. Bertoin, J. & van Harn, K. & Steutel, F. W., 1999. "Renewal theory and level passage by subordinators," Statistics & Probability Letters, Elsevier, vol. 45(1), pages 65-69, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Babai, M. Zied & Ivanov, Dmitry & Kwon, Oh Kang, 2023. "Optimal ordering quantity under stochastic time-dependent price and demand with a supply disruption: A solution based on the change of measure technique," Omega, Elsevier, vol. 116(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    2. David H Collins & Richard L Warr & Aparna V Huzurbazar, 2013. "An introduction to statistical flowgraph models for engineering systems," Journal of Risk and Reliability, , vol. 227(5), pages 461-470, October.
    3. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
    4. Harrison, Peter G., 2024. "On the numerical solution of functional equations with application to response time distributions," Applied Mathematics and Computation, Elsevier, vol. 472(C).
    5. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
    6. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
    7. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
    8. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2021. "Random variate generation for exponential and gamma tilted stable distributions," LSE Research Online Documents on Economics 108593, London School of Economics and Political Science, LSE Library.
    9. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
    10. van Eekelen, Wouter, 2023. "Distributionally robust views on queues and related stochastic models," Other publications TiSEM 9b99fc05-9d68-48eb-ae8c-9, Tilburg University, School of Economics and Management.
    11. Runhuan Feng & Pingping Jiang & Hans Volkmer, 2020. "Geometric Brownian motion with affine drift and its time-integral," Papers 2012.09661, arXiv.org.
    12. Peter Braunsteins & Sophie Hautphenne & Peter G. Taylor, 2016. "The roles of coupling and the deviation matrix in determining the value of capacity in M/M/1/C queues," Queueing Systems: Theory and Applications, Springer, vol. 83(1), pages 157-179, June.
    13. Gökçe Kahveciog̃lu & Barış Balcıog̃lu, 2016. "Coping with production time variability via dynamic lead-time quotation," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 877-898, October.
    14. Zeynep Akşin & Baris Ata & Seyed Morteza Emadi & Che-Lin Su, 2017. "Impact of Delay Announcements in Call Centers: An Empirical Approach," Operations Research, INFORMS, vol. 65(1), pages 242-265, February.
    15. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org.
    16. Feng, Runhuan & Jiang, Pingping & Volkmer, Hans, 2021. "Geometric Brownian motion with affine drift and its time-integral," Applied Mathematics and Computation, Elsevier, vol. 395(C).
    17. Brian Fralix, 2018. "A new look at a smart polling model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(3), pages 339-367, December.
    18. Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021. "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers 2106.06030, arXiv.org.
    19. Oded Berman & Mahmut Parlar & David Perry & M. J. M. Posner, 2005. "Production/Clearing Models Under Continuous and Sporadic Reviews," Methodology and Computing in Applied Probability, Springer, vol. 7(2), pages 203-224, June.
    20. Brignone, Riccardo & Gonzato, Luca, 2024. "Exact simulation of the Hull and White stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:274:y:2019:i:3:p:1012-1018. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.