A note on additive risk measures in rank-dependent utility

DOI10.1016/j.insmatheco.2010.05.003zbMath1231.91190OpenAlexW2144165523MaRDI QIDQ661234

Rob Kaas, Roger J. A. Laeven, Marc J. Goovaerts

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.003

zbMATH Keywords

additivitydecision-makingaxiomatizationrank-dependent utilityexponential utilityequivalent utilitymeasure of riskpremium principle

Mathematics Subject Classification ID

Related Items (13)

Characterization of positive homogeneity for the principle of equivalent utility ⋮ Pricing insurance contracts under cumulative prospect theory ⋮ On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory ⋮ The connection between distortion risk measures and ordered weighted averaging operators ⋮ On iterative premium calculation principles under Cumulative Prospect Theory ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ A premium principle based on the g-integral ⋮ Worst case risk measurement: back to the future? ⋮ Decision principles derived from risk measures ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems ⋮ Additive Consistency of Risk Measures and Its Application to Risk-Averse Routing in Networks ⋮ Behavioral premium principles ⋮ Equilibrium routing under uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Decision principles derived from risk measures
• Actuarial risk measures for financial derivative pricing
• On additive principles of zero utility
• Maxmin expected utility with non-unique prior
• Advances in prospect theory: cumulative representation of uncertainty
• A rank-dependent generalization of zero utility principle.
• A comonotonic image of independence for additive risk measures
• Risk measurement with equivalent utility principles
• Subjective Probability and Expected Utility without Additivity
• On the representation of additive principles of premium calculation
• The Dual Theory of Choice under Risk
• Equilibrium in a Reinsurance Market

This page was built for publication: A note on additive risk measures in rank-dependent utility