On additive principles of zero utility (Q1069642)

In the first part a fifth order approximation for the premium of a small risk is given; this formula is used to show that additivity for all x implies linear or exponential utility. The same conclusion is obtained from the weaker assumption of additivity for only one value of x (second part). For the proof one considers a functional equation for the utility function (that has been derived earlier); it has a two-parametric family of solutions, some of which are quite exotic.