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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- Gerber, Hans U., 1974. "On Additive Premium Calculation Principles," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 7(03), pages 215-222, March.
- Schmeidler, David, 1989.
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- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004.
"A Comonotonic Image of Independence for Additive Risk Measures,"
Tinbergen Institute Discussion Papers
04-030/4, Tinbergen Institute.
- Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004. "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 581-594, December.
- Gerber, Hans U., 1985. "On additive principles of zero utility," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 249-251, October.
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Itzhak Gilboa & David Schmeidler, 1989.
"Maxmin Expected Utility with Non-Unique Prior,"
- Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 540-547, April.
- Heilpern, S., 2003. "A rank-dependent generalization of zero utility principle," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 67-73, August.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 25, July.
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