On the infinite divisibility of the lognormal distribution

Olof Thorin

166 citations0/0 files storedScandinavian Actuarial Journal

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

Summary In the present paper the author proves that the lognormal distribution is infinitely divisible. This is achieved by showing that the lognormal is the weak limit of a sequence of probability distributions all of which are generalized Γ-convolutions and thus infinitely divisible. It is also proved that the lognormal itself is a generalized Γ-convolution.

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1970Mathematical Methods in Risk Theory 1971Mathematical Methods in Risk Theory.

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