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Modelo Multi-Estado de Markov em cartões de crédito

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  • Daniel Evangelista Régis
  • Rinaldo Artes

Abstract

Modelos multi-estado de Markov são utilizados na área médica para estimar as probabilidades de transição entre, por exemplo, vários estágios de uma doença, podendo o paciente recuperar-se ou morrer. O principal interesse deste trabalho é analisar a aplicação do modelo multiestado de Markov na área de risco associado ao uso de cartões de crédito, aproveitando as características de transições entre diversos estados de relacionamento entre os clientes e as instituições ao longo do tempo e, com isso, gerar modelos de escore para diversos fins. Modelos de regressão logística também são estimados a fim de comparar os resultados com os obtidos pelo modelo multi-estado de Markov.

Suggested Citation

  • Daniel Evangelista Régis & Rinaldo Artes, 2008. "Modelo Multi-Estado de Markov em cartões de crédito," Business and Economics Working Papers 023, Unidade de Negocios e Economia, Insper.
  • Handle: RePEc:aap:wpaper:023
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