Title of article
A note on additive risk measures in rank-dependent utility
Author/Authors
Goovaerts، نويسنده , , Marc J. and Kaas، نويسنده , , Rob and Laeven، نويسنده , , Roger J.A.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
3
From page
187
To page
189
Abstract
This note proves that risk measures obtained by applying the equivalent utility principle in rank-dependent utility are additive if and only if the utility function is linear or exponential and the probability weighting (distortion) function is the identity.
Keywords
rank-dependent utility , Exponential utility , Additivity , decision-making , Measure of risk , Axiomatization , Equivalent utility , premium principle
Journal title
Insurance Mathematics and Economics
Serial Year
2010
Journal title
Insurance Mathematics and Economics
Record number
1544046
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