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
收藏
页码：154 / 159
页数：6
相关论文
共 50 条
  • [31] An elicitation of utility for quality of life under prospect theory
    Attema, Arthur E.
    Brouwer, Werner B. F.
    l'Haridon, Olivier
    Luis Pinto, Jose
    JOURNAL OF HEALTH ECONOMICS, 2016, 48 : 121 - 134
  • [32] Quantum decision theory augments rank-dependent expected utility and Cumulative Prospect Theory
    Ferro, Giuseppe M.
    Kovalenko, Tatyana
    Sornette, Didier
    JOURNAL OF ECONOMIC PSYCHOLOGY, 2021, 86
  • [33] On the Foster-Hart Measure of Riskiness under Cumulative Prospect Theory
    Chudziak, J.
    Halicki, M.
    ACTA PHYSICA POLONICA A, 2016, 129 (05) : 950 - 954
  • [34] A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm
    Hu, Sang
    Obloj, Jan
    Zhou, Xun Yu
    MANAGEMENT SCIENCE, 2023, 69 (04) : 2474 - 2496
  • [35] Multi-Period Investment Strategies under Cumulative Prospect Theory
    Deng, Liurui
    Pirvu, Traian A.
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2019, 12 (02)
  • [36] Computational Models for Cumulative Prospect Theory: Application to the Knapsack Problem Under Risk
    Martin, Hugo
    Perny, Patrice
    SCALABLE UNCERTAINTY MANAGEMENT, SUM 2019, 2019, 11940 : 52 - 65
  • [37] A characterization of quality adjusted life-years under cumulative prospect theory
    Bleichrodt, H
    Miyamoto, J
    MATHEMATICS OF OPERATIONS RESEARCH, 2003, 28 (01) : 181 - 193
  • [38] Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers
    Cui, Xiangyu
    Jiang, Rujun
    Shi, Yun
    Xiao, Rufeng
    Yan, Yifan
    INFORMS JOURNAL ON COMPUTING, 2024,
  • [39] Health insurance choice and risk preferences under cumulative prospect theory - an experiment
    Kairies-Schwarz, Nadja
    Kokot, Johanna
    Vomhof, Markus
    Wessling, Jens
    JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2017, 137 : 374 - 397
  • [40] Discrete-time behavioral portfolio selection under cumulative prospect theory
    Shi, Yun
    Cui, Xiangyu
    Li, Duan
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2015, 61 : 283 - 302
12345