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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- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Gerber, Hans U., 1985. "On additive principles of zero utility," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 249-251, October.
- 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.
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