Markov chain model used for sensitivity analysis of paid/unpaid claims in after-payment-due process

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Markov chain model used for sensitivity analysis of paid/unpaid claims in after-payment-due process

Popis výsledku v původním jazyce

The paper uses existing Markov chain theory to analyze problem of claim payment delayed process, which serves to estimate a distribution of paid/unpaid claims after payment due. Payment condition patterns and timing of claim payments play significant role in financial management. First, the corresponding data reported in usual accounting reports are extracted to yield records of delayed payment structures. Data processing procedure issues estimations of transitions probabilities of absorption Markov chain with several transition states and two absorption ones representing paid and unpaid claims, respectively. The transition probability matrix of such absorption MC, which has a special pattern in its canonical form, enables symbolic processing of the fundamental matrix. General form of this matrix is presented in detail. Further, it is used for several numerical case studies, which are focused on sensitivity analysis of distribution of paid/unpaid claims on after payment due processes.

Název v anglickém jazyce

Markov chain model used for sensitivity analysis of paid/unpaid claims in after-payment-due process

Popis výsledku anglicky

The paper uses existing Markov chain theory to analyze problem of claim payment delayed process, which serves to estimate a distribution of paid/unpaid claims after payment due. Payment condition patterns and timing of claim payments play significant role in financial management. First, the corresponding data reported in usual accounting reports are extracted to yield records of delayed payment structures. Data processing procedure issues estimations of transitions probabilities of absorption Markov chain with several transition states and two absorption ones representing paid and unpaid claims, respectively. The transition probability matrix of such absorption MC, which has a special pattern in its canonical form, enables symbolic processing of the fundamental matrix. General form of this matrix is presented in detail. Further, it is used for several numerical case studies, which are focused on sensitivity analysis of distribution of paid/unpaid claims on after payment due processes.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

32nd International Conference Mathematical Methods in Economics Conference Proceedings

ISBN

978-80-244-4208-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

299-304

Název nakladatele

Palacký University, Olomouc

Místo vydání

Palacký University, Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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