We discuss modelling and simulation of volumetric rainfall in a catchment of the Murray–Darling Basin – an important food production region in Australia that was seriously affected by a recent prolonged drought. Consequently, there has been sustained interest in development of improved water management policies. In order to model accumulated volumetric catchment rainfall over a fixed time period, it is necessary to sum weighted rainfall depths at representative sites within each sub-catchment. Since sub-catchment rainfall may be highly correlated, the use of a Gamma distribution to model rainfall at each site means that catchment rainfall is expressed as a sum of correlated Gamma random variables. We compare four different models and conclude that a joint probability distribution for catchment rainfall constructed by using a copula of maximum entropy is the most effective.

We derive a higher order nonlinear evolution equation for a broader bandwidth three-dimensional capillary–gravity wave packet, in the presence of a surface current produced by an internal wave. Instead of a set of coupled equations, a single nonlinear evolution equation is obtained by eliminating the velocity potential for the wave-induced slow motion. Finally, the equation is expressed in an integro-differential equation form, similar to Zakharov’s integral equation. Using the evolution equation derived here, we show that the two sidebands of a surface capillary–gravity wave get excited as a result of resonance with an internal wave, all propagating in the same direction. It is also shown that surface waves can grow exponentially with time at the expense of the energy of the internal wave.

We consider the optimal proportional reinsurance problem for an insurer with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Using the technique of stochastic linear–quadratic control theory and the Hamilton–Jacobi–Bellman equation, we derive the explicit expressions for the optimal reinsurance strategies and value function, and present the verification theorem within the framework of the viscosity solution. Furthermore, we extend the results in the linear–quadratic setting to the mean–variance problem, and obtain an efficient strategy and frontier. Some numerical examples are given to show the impact of model parameters on the efficient frontier.

A new approach to jump diffusion is introduced, where the jump is treated as a vertical shift of the price (or volatility) function. This method is simpler than the previous methods and it is applied to the portfolio model with a stochastic volatility. Moreover, closed-form solutions for the optimal portfolio are obtained. The optimal closed-form solutions are derived when the value function is not smooth, without relying on the method of viscosity solutions.

As a new business form, the buy-online and pick-up-in-store (BOPS) mode allows consumers to pay for goods online and pick them up in a physical store. In this paper, an equilibrium model is constructed to formulate an optimal decision-making problem for online and offline retailers under the BOPS mode, where the online retailer determines the retail price of the goods and the consignment quantity in a physical store, while the offline retailer chooses the revenue share of profit by a consignment contract. Different to the existing models, the cost of overstocking and loss of understocking are incorporated into the profit function of the online retailer due to the randomness of demand. For the objective function of the offline retailer, the cross-sale quantity generated by the BOPS mode is taken into account. Then the game between the online and offline retailers is expressed as a stochastic Nash equilibrium model. Based on the analytic properties of the model, necessary conditions for the equilibrium solution are obtained. A case study and sensitivity analysis are employed to reveal the managerial implications of the model, which can provide a number of valuable suggestions on optimizing the strategies for the online and offline retailers under the BOPS mode.