| Authors |
|
| Publication date |
2010
|
| Journal |
Insurance: Mathematics & Economics
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| Volume | Issue number |
47 | 2
|
| Pages (from-to) |
187-189
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
|
| 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.
|
| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1016/j.insmatheco.2010.05.003
|
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