A note on additive risk measures in rank-dependent utility

Marc Goovaerts, Rob Kaas and Roger Laeven

Insurance: Mathematics and Economics, 2010, vol. 47, issue 2, 187-189

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: Decision-making; Measure; of; risk; Premium; principle; Equivalent; utility; Rank-dependent; utility; Exponential; utility; Axiomatization; Additivity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:2:p:187-189

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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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