On infinite divisibility of powers of a gamma variable

Authors
Citation
L. Bondesson,, On infinite divisibility of powers of a gamma variable, Scandinavian actuarial journal , 1978(1), 1978, pp. 48-61
ISSN journal
03461238
Volume
1978
Issue
1
Year of publication
1978
Pages
48 - 61
Database
ACNP
SICI code
Abstract
Consider the following three different types of probability laws on [0, ∞) 1. Lognormal distribution 2. Pareto distribution (possibly inverse, i.e, power function distribution) 3. The distribution of a power {itZ{suγ}}, {itγ}εR, of a gamma distributed random variable {itZ}. If X is an r.v. distributed according to (a), (b), or (c) above, the r.v. Y = log X will have a 1. a′) Normal distribution 2. b′) Exponential distribution (possibly negative or translated) or 3. c′) Generalized normal distribution, respectively.