On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory

J. Chudziak

Insurance: Mathematics and Economics, 2020, vol. 94, issue C, 154-159

Abstract: Investigating the principle of equivalent utility under Cumulative Prospect Theory, Kałuszka and Krzeszowiec (2012) established characterizations of several important properties of the premium. It turns out that the results concerning positive homogeneity and comonotonic additivity are in general not true. The aim of this paper is to present modified and essentially generalized versions of the mentioned above results.

Keywords: Principle of equivalent utility; Cumulative prospect theory; Choquet integral; Positive homogeneity; Additivity for comonotonic risks (search for similar items in EconPapers)
JEL-codes: D81 G22 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:94:y:2020:i:c:p:154-159

DOI: 10.1016/j.insmatheco.2020.07.008

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