On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory

DOI10.1016/J.INSMATHECO.2020.07.008MaRDI QIDQ2212149zbMATH OpenOpenAlexFDO

Authors Jacek Chudziak

Publication date 19 November 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.07.008

zbMATH Keywords

additivity for comonotonic risksChoquet integralcumulative prospect theorypositive homogeneityprinciple of equivalent utility

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial mathematics (91G05)

Review text

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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Cites work

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• Non-additive measure and integral
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• On functional equations stemming from actuarial mathematics
• On iterative premium calculation principles under Cumulative Prospect Theory
• Pricing insurance contracts under cumulative prospect theory
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Cited in

(10)

• Existence of additive utility on positive semigroups: An elementary proof
• Complementary symmetry in cumulative prospect theory with random reference
• Characterization of positive homogeneity for the principle of equivalent utility
• On complementary symmetry under cumulative prospect theory
• Pricing insurance contracts under cumulative prospect theory
• Mean-value principle under cumulative prospect theory
• Zero utility principles coinciding on binary risks
• Gain-loss hedging and cumulative prospect theory
• Zero utility principle under uncertainty
• Pricing insurance contracts with an existing portfolio as background risk

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