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A note on additive risk measures in rank-dependent utility

Goovaerts,M.J.
; 
Kaas,R.
; 
Laeven,R.J.A.
Abstract
This note proves that risk measures obtained by applying the equivalent utility principle in rank-dependent utility are additive if and only if the utility function is linear or exponential and the probability weighting (distortion) function is the identity.
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2010
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Tilburg University Research Output Collection
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Goovaerts, M J, Kaas, R & Laeven, R J A 2010, 'A note on additive risk measures in rank-dependent utility', Insurance Mathematics & Economics, vol. 47, no. 2, pp. 187-189.
URI
https://hdl.handle.net/20.500.14602/53530
License
info:eu-repo/semantics/restrictedAccess
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