Statistics and Data Science Seminar
Prof. Zhen Liu
Benedictine University
Inventory Pooling under Multivariate Fat-Tail Demands
Abstract: We study the classic inventory pooling problem by Eppen (1979) under a special
class of multivariate fat-tail distribution: Normal Inverse Gaussian (NIG) demands to
better fit real-world demand data. We obtain the optimal inventory level in a closed
form by employing standardized NIG density function, and express the optimal expected
costs in terms of unit NIG loss function. In addition to independent and identically
distributed demands, our results complement Bimpikis and Markakis (2015) by considering
correlated demands. We further discuss the transshipment problem of Dong and Rudi (2004)
under NIG demands.
Wednesday September 13, 2017 at 4:00 PM in SEO 636