On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory (Q2212149)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory |
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On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory (English)
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19 November 2020
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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.
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principle of equivalent utility
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cumulative prospect theory
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Choquet integral
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positive homogeneity
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additivity for comonotonic risks
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