Peer-to-peer lending: a growth-collapse model and its steady-state analysis (Q2084301)

The paper presents a stochastic growth-collapse model for the capital process of a peer-to-peer lending platform. New lenders arrive according to a compound Poisson-type process with a state-dependent intensity function. The growth of the lending capital is from time to time interrupted by partial collapses whose arrival intensities and sizes are also state-dependent. The main focus is on the steady-state probability distribution of the cash level. The Laplace transform of the steady-state cash level in a second main model was obtained, in which there is a background process that alternates between two period types. The authors believe that their models are also relevant for the literature on storage processes, as they involve quite general mechanisms of upward jumps and downward jumps with a dependence on the storage level.