### 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 |
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Pages (from-to) | 187-189 |

Journal | Insurance: Mathematics & Economics |

Volume | 47 |

Issue number | 2 |

Publication status | Published - 2010 |

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## Cite this

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.