Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and...

Vegetation plays an important role in atmospheric, hydrologic and biochemical cycles and is an important indicator of the impact of climate and human factors on the environment. In this paper, a method, which combines the empirical orthogonal function (EOF) and temporal unmixing analysis (TUA)...

Problem definition: This article investigates the optimal combination of financing schemes (bank finance versus buyer finance) and outsourcing structures (consignment versus turnkey) in a three-tier supply chain composed of a capital-constrained quality-uncertain component supplier (SP), a...

Drawdowns measuring the decline in value from the historical running maxima over a given period of time, are considered as extremal events from the standpoint of risk management. To date, research on the topic has mainly focus on the side of severity by studying the first drawdown over certain...

This paper considers magnitude, asymptotics and duration of drawdowns for some Levy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Levy processes using an approximation approach. For any spectrally negative Levy process whose scale...