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.
| Original language | English |
|---|---|
| Pages (from-to) | 187-189 |
| Journal | Insurance Mathematics & Economics |
| Volume | 47 |
| Issue number | 2 |
| Publication status | Published - 2010 |