Repeated convolution and truncation of a truncated fat-tailed distribution, instead of Monte Carlo simulation, for pricing a ...

The convolution of two φ-convex functions is estimated by means of an inequality of Hadamard type. The sharpness of this inequality is discussed. As consequence, few inequalities for the convolution ...

In this paper we study a class of functional operators under which the convexity of convex set functions is preserved. In particular, convolution of convex set functions is defined and its convexity ...