A note on additive risk measures in rank-dependent utility

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.

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Year of publication:	2010
Authors:	Goovaerts, Marc J. ; Kaas, Rob ; Laeven, Roger J.A.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 47.2010, 2, p. 187-189
Publisher:	Elsevier
Keywords:	Decision-making Measure of risk Premium principle Equivalent utility Rank-dependent utility Exponential utility Axiomatization Additivity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008865446