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)

Recommendations

• Characterization of positive homogeneity for the principle of equivalent utility
• Extension problem for principles of equivalent utility
• On comparison of the principles of equivalent utility and its applications
• Pricing insurance contracts under cumulative prospect theory
• On iterative premium calculation principles under Cumulative Prospect Theory

Cites work

• A note on additive risk measures in rank-dependent utility
• A rank-dependent generalization of zero utility principle.
• Advances in prospect theory: cumulative representation of uncertainty
• Extension problem for principles of equivalent utility
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Non-additive measure and integral
• On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory
• On functional equations stemming from actuarial mathematics
• On iterative premium calculation principles under Cumulative Prospect Theory
• Pricing insurance contracts under cumulative prospect theory
• The methods of distances in the theory of probability and statistics.

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

This page was built for publication: On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2212149)