Volume 6 Number 2 (Feb. 2011)
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JSW 2011 Vol.6(2): 217-224 ISSN: 1796-217X
doi: 10.4304/jsw.6.2.217-224

Fuzzy Random Dependent-Chance Programming Models of Loan Portfolio

Dongjing Pan

Department of Computer Science and Technology, Dezhou University, Dezhou Shandong 253023, China

Abstract—The environment of loan in bank is very complex, there are not only random factors but also fuzzy factors, so the return rates of loan often have fuzzy random characteristic. Mean chance is a measure of fuzzy random variable. This paper proposes two fuzzy random dependentchance programming models of loan portfolio, one is minimize the mean chance of a bad outcome under the certain expected return rate, one is maximize the mean chance of the prospective return rate under the certain expected return rate. Hybrid intelligent algorithms are employed to solve the models. Finally, two numerical examples are given to show the validity and feasibility of the models and algorithms.

Index Terms—dependent-chance programming, loan portfolio, mean chance, fuzzy random

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Cite: Dongjing Pan, "Fuzzy Random Dependent-Chance Programming Models of Loan Portfolio," Journal of Software vol. 6, no. 2, pp. 217-224, 2011.

General Information

  • ISSN: 1796-217X (Online)
  • Frequency:  Quarterly
  • Editor-in-Chief: Prof. Antanas Verikas
  • Executive Editor: Ms. Yoyo Y. Zhou
  • Abstracting/ Indexing: DBLP, EBSCO, CNKIGoogle Scholar, ProQuest, INSPEC(IET), ULRICH's Periodicals Directory, WorldCat, etc
  • E-mail: jsweditorialoffice@gmail.com
  • APC: 500USD
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