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
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
Journal title :
Insurance Mathematics and Economics