Section: ArticlesTitle: On iterative premium calculation principles under Cumulative Prospect Theory / Marek Kaluszka, Michal KrzeszowiecAuthor: Kaluszka, MarekNotes: Sumario: In the paper we analyze the iterativity condition for zero utility principle adjusted to Cumulative Prospect Theory. We prove, under mild conditions, that the premium principle is iterative if and only if the value function is linear or exponential and probability distortion functions are identities, i.e. the probabilities are not distorted.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 06/05/2013 Volumen 52 Número 3 - mayo 2013 Other categories: 6Rights: In Copyright (InC)Referencias externas:
