On iterative premium calculation principles under Cumulative Prospect Theory

DOI10.1016/j.insmatheco.2013.02.009zbMath1284.91244MaRDI QIDQ2443220

Michał Krzeszowiec, Marek Kaluszka

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.02.009

zbMATH Keywords

non-expected utility; iterativity; Cumulative Prospect Theory; zero utility principle; generalized Choquet integral

Mathematics Subject Classification ID

91B06: Decision theory

Related Items

Zero utility principles coinciding on binary risks, On functional equations stemming from actuarial mathematics, On risk aversion under fuzzy random data, Extension problem for principles of equivalent utility, On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory, Characterization of positive homogeneity for the principle of equivalent utility, On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory, Asymptotic normality of nonparametric estimate for zero-utility premiums, Behavioral premium principles, Unnamed Item

Cites Work

• A note on additive risk measures in rank-dependent utility
• Surprises and counterexamples in real function theory
• Anticipated utility: A measure representation approach
• Advances in prospect theory: cumulative representation of uncertainty
• Non-additive measure and integral
• A rank-dependent generalization of zero utility principle.
• Pricing insurance contracts under cumulative prospect theory
• A class of non-expected utility risk measures and implications for asset allocations
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