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...

We select mutual funds in real time by combining individual fund holdings and a large number (94) of stock characteristics to compute fund-level characteristics on the basis of the stocks they hold. We show that, first, the majority of funds are largely exposed---both positively and...