Litteraturanmälningar |
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| Authors: | J F S Ingvar Laurin H C A K Erlang |
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| Institution: | 1. University of California , Riverside, USA;2. Department of Finance , The University of Texas at Austin , Austin , Texas , 78712 , USA |
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| Abstract: | Abstract In 1977 Thorin introduced the class of generalized Γ-convolutions and proved that the Pareto distribution belongs to this class. In subsequent papers Thorin, Bondesson and others have shown that several important distributions are generalized Γ-convolutions. The purpose of the present paper is to provide a very short proof of Thorin's result that the Pareto distribution is a generalized Γ-convolution. The proof is based on an old stability property of the Stieltjes cone due to Reuter (1956) and Itô (1974). |
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