- A note on additive risk measures in rank-dependent utility
- Insurance: Mathematics & Economics
- Volume | Issue number
- 47 | 2
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
Amsterdam Business School Research Institute (ABS-RI)
- 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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