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Avtomatika i Telemekhanika, 2017, Issue 12, Pages 155–166 (Mi at14645)  
Control in Social Economic Systems

Minimizing the payments and borrower risk in a mortgage

S. A. Malakha, V. V. Servakhb

a Additional Education Organization "Perspektiva", Omsk, Russia
b Omsk Branch of Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Omsk, Russia
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Abstract: We consider a mathematical model of borrower behavior in an annuity mortgage. The price of the apartment, amount of the borrower's own capital, the probability distribution of his income at each time moment, and the interest rate are known. The problem is to find the loan size and schedule of payments that minimize both the total payment and the borrower's risk. We pay the most attention to the problem of optimal reserves of capital. We study a variation of this problem where it is allowed to open an additional credit line.
Keywords: combinatorial optimization, credit, risk, dynamic programming.
Funding agency Grant number
Russian Foundation for Basic Research 15-01-00976
Sections 1–4 were done with financial support of the Russian Foundation for Basic Research, project no. 15-01-00976.
Presented by the member of Editorial Board: A. A. Lazarev

Received: 28.01.2017
English version:
Automation and Remote Control, 2017, Volume 78, Issue 12, Pages 2222–2231
DOI: https://doi.org/10.1134/S0005117917120104
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. A. Malakh, V. V. Servakh, “Minimizing the payments and borrower risk in a mortgage”, Avtomat. i Telemekh., 2017, no. 12, 155–166; Autom. Remote Control, 78:12 (2017), 2222–2231
Citation in format AMSBIB
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