AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY

DOI10.1017/ASB.2013.1zbMath1284.91243OpenAlexW2124811890MaRDI QIDQ5398343

Michał Krzeszowiec, Marek Kaluszka

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2013.1

zbMATH Keywords

distorted probabilitycumulative prospect theorypremium principlesiterativitygeneralized Choquet integralinsurance theorymean-value principle

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

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• Anticipated utility: A measure representation approach
• Advances in prospect theory: cumulative representation of uncertainty
• Updating non-additive probabilities -- a geometric approach
• Representation results for law invariant time consistent functions
• A note on the utility function under prospect theory
• Stochastic Finance
• Advanced Mathematical Methods for Finance
• Insurance Premium Calculations with Anticipated Utility Theory

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