A note on additive risk measures in rank-dependent utility
| Authors | |
|---|---|
| Publication date | 2010 |
| Journal | Insurance: Mathematics & Economics |
| Volume | Issue number | 47 | 2 |
| Pages (from-to) | 187-189 |
| Organisations |
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| 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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1016/j.insmatheco.2010.05.003
(Final published version)
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| Permalink to this page | |
