On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory

被引：4

作者：

Chudziak, J. ^{[1
]}

机构：

[1] Univ Rzeszow, Inst Math, Pigonia 1, PL-35959 Rzeszow, Poland

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2020年 / 94卷

关键词：

Principle of equivalent utility; Cumulative prospect theory; Choquet integral; Positive homogeneity; Additivity for comonotonic risks;

D O I：

10.1016/j.insmatheco.2020.07.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Investigating the principle of equivalent utility under Cumulative Prospect Theory, Kaluszka and Krzeszowiec (2012) established characterizations of several important properties of the premium. It turns out that the results concerning positive homogeneity and comonotonic additivity are in general not true. The aim of this paper is to present modified and essentially generalized versions of the mentioned above results. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：154 / 159

页数：6

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