On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory

DOI10.1016/J.INSMATHECO.2018.02.001zbMath1401.91118OpenAlexW2794342523MaRDI QIDQ1742725

Jacek Chudziak

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.02.001

zbMATH Keywords

existenceuniquenessChoquet integralcumulative prospect theoryprinciple of equivalent utility

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (7)

Characterization of positive homogeneity for the principle of equivalent utility ⋮ On functional equations stemming from actuarial mathematics ⋮ Zero utility principles coinciding on binary risks ⋮ On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory ⋮ Extension problem for principles of equivalent utility ⋮ A unified approach to the monotone integral-based premium principles under the CPT theory ⋮ On comparison of the principles of equivalent utility and its applications

Cites Work

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• Advances in prospect theory: cumulative representation of uncertainty
• A rank-dependent generalization of zero utility principle.
• Pricing insurance contracts under cumulative prospect theory
• On iterative premium calculation principles under Cumulative Prospect Theory

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