Log-concavity of compound distributions with applications in stochastic optimization
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.
log-concavity compound distributions stochastic optimization bell polynomials