Let
be the modified Bessel function of the first kind of order
. Motivated by a conjecture on the convexity of the ratio
for
, using the monotonicity rules for a ratio of two power series and an elementary technique, we present fully the convexity of the functions
,
and
for
on
in different value ranges of
, which give an answer to the conjecture and extend known results. As consequences, some monotonicity results and new functional inequalities for
are established. As applications, an open problem and a conjectures are settled. Finally, a conjecture on the complete monotonicity of
for
is proposed.