A note on additive risk measures in rank-dependent utility

M.J. Goovaerts, R. Kaas, R.J.A. Laeven

Research output: Contribution to journalArticleScientificpeer-review

14 Citations (Scopus)

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 languageEnglish
Pages (from-to)187-189
JournalInsurance: Mathematics & Economics
Volume47
Issue number2
Publication statusPublished - 2010

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    Goovaerts, M. J., Kaas, R., & Laeven, R. J. A. (2010). A note on additive risk measures in rank-dependent utility. Insurance: Mathematics & Economics, 47(2), 187-189.