If we have two random variables ξ_1 and ξ_2, then we can form their mixture if we take ξ_1 with some probability w and ξ_2 with the remaining probability 1-w. The probability density function (pdf ). ϱ(x) of the mixture is a convex combination of the pdfs of the original variables: ϱ(x) = w.ϱ_1(x) + (1 - w).ϱ_2(x). A natural question is: can we use other functions f(ϱ_1, ϱ_2) to combine the pdfs, i.e., to produce a new pdf ϱ(x) = f(ϱ_1(x), ϱ_2(x))? In this paper, we prove that the only combination operations that always lead to a pdf are the operations f(ϱ_1, ϱ_2) = w.ϱ_1 + (1 - w).ϱ_2 corresponding to mixture.