This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

In the inventory model, people usually assume that the inter-demand time is independently identical distributed which may not be true in reality. Here we study an (s,S) continuous review model for items with an exponential random lifetime and a general Markovian renewal demand process. By...

This paper considers the cost-effective inventory control of work-in-process (WIP) and finished products in a two-stage distributed manufacturing system. The first stage produces a common WIP, and the second stage consists of several production sites that produce differentiated products with...

An important issue in the management of supply chains and manufacturing systems is to control inventory costs at different locations throughout the system while satisfying an end-customer service-level requirement. The challenge involved is to solve a nonlinear constrained optimization problem...

A life annuity contract is an insurance instrument which pays pre-scheduled living benefits conditional on the survival of the annuitant. In order to manage the risk borne by annuity providers, one needs to take into account all sources of uncertainty that affect the value of future obligations...