Boundedness of Variance Functions of Natural Exponential Families with Unbounded Support

The variance function (VF) is central to natural exponential family (NEF) theory. Prompted by an online query about whether, beyond the classical normal NEF, other real-line NEFs with bounded VFs exist, we establish three complementary sets of sufficient conditions that yield many such families. One set imposes a polynomial-growth bound on the NEF’s generating measure, ensuring rapid tail decay and a uniformly bounded VF. A second set relies on the Legendre duality, requiring a uniform positive lower bound on the second derivative of the generating function, which likewise ensures a bounded VF. The third set starts from the standard normal distribution and constructs an explicit sequence of NEFs whose Laplace transforms and VFs remain bounded. Collectively, these results reveal a remarkably broad class of NEFs whose Laplace transforms are not expressible in elementary form (apart from those stemming from the standard normal case), yet can be handled easily using modern symbolic and numerical software. Worked examples show that NEFs with bounded VFs are far more varied than previously recognized, offering practical alternatives to the normal and other classical models for real-data analysis across many fields.