Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficient forecasting and uncertainty quantification for large scale
  account level Monte Carlo models of debt recovery   We consider the problem of forecasting debt recovery from large portfolios of
non-performing unsecured consumer loans under management. The state of the art
in industry is to use stochastic processes to approximately model payment
behaviour of individual customers based on several covariates, including credit
scores and payment history. Monte Carlo simulation of these stochastic
processes can enable forecasting of the possible returns from portfolios of
defaulted debt, and the quantification of uncertainty.
  Despite the fact that the individual-level models are relatively simple, it
is challenging to carry out simulations at the portfolio level because of the
very large number of accounts. The accounts are also heterogeneous, with a
broad range of values for the collection variances.
  We aim to solve two main problems: efficient allocation of computational
resources in the simulations to estimate the likely collections as precisely as
possible, and quantification of the uncertainty in the forecasts. We show that
under certain conditions, robust estimators of population-level variance can be
constructed by summing over coarse unbiased estimators of the variance of
individual accounts. The proposed methods are demonstrated through application
to a model which shares key features with those that are used in practice.

17
The categories of this paper are: q-fin
32
The categories of this paper are: atom-ph
2
The categories of this paper are: math
29
The categories of this paper are: funct-an
26
The categories of this paper are: bayes-an
19
The categories of this paper are: eess
35
The categories of this paper are: mtrl-th
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
18
The categories of this paper are: econ
4
The categories of this paper are: cond-mat
3
The categories of this paper are: physics
8
The categories of this paper are: hep-ex
13
The categories of this paper are: quant-ph
33
The categories of this paper are: plasm-ph
25
The categories of this paper are: patt-sol