Log-concavity of compound distributions with applications in stochastic optimization

Authors:
Anh Ninh;András Prékopa
Affiliations:
-;-
Venue:
Discrete Applied Mathematics
Year:
2013

Citing 4
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Abstract

Compound distributions come up in many applications (telecommunication, hydrology, insurance, etc.), where some of the typical problems are of optimization type. The log-concavity property is paramount in these respects to ensure convexity. In this paper, we prove the log-concavity of some compound Poisson and other compound distributions.