Xiaohu Yang - Department of Statistics, Xi'an University of Finance and Economics, Xi'an ۷۱۰۰۶۱, China

Convexity theory and duality theory are important issues in math- ematical programming. Within the framework of credibility theory, this paper rst introduces the concept of convex fuzzy variables and some basic criteria. Furthermore, a convexity theorem for fuzzy chance constrained programming is proved by adding some convexity conditions on the objective and constraint functions. Finally, a duality theorem for fuzzy linear chance constrained pro- gramming is proved.

Convexity theorem, Duality theorem, Fuzzy variable, Chance con- strained programming