On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory (Q2212149)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory |
scientific article; zbMATH DE number 7275973
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory |
scientific article; zbMATH DE number 7275973 |
Statements
On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory (English)
0 references
19 November 2020
0 references
The paper deals with the principle of equivalent utility under cumulative prospect theory. After presenting the main definitions and some basic properties, the study focuses on certain characteristics of the premium. In particular, the analysis poses a critical point: the results concerning positive homogeneity and comonotonic additivity are in general not true. In order to overcome these problems, the aforementioned results are suitably extended and generalized.
0 references
principle of equivalent utility
0 references
cumulative prospect theory
0 references
Choquet integral
0 references
positive homogeneity
0 references
additivity for comonotonic risks
0 references
0 references
0.8702064752578735
0 references
0.8209092617034912
0 references
0.8125787973403931
0 references
0.7967740893363953
0 references
0.7887447476387024
0 references
