3784502746

56 Marek Kałuszka, Michał Krzeszowiec

[21] Zhu W. (2011), Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricina, „Insurance: Mathematics and Economics”, vol. 49, s. 38-46.

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Iterativity of premium principles under Cumulative Prospect Theory and ambiguity theory

Abstract

In the paper we focus on the property of iterativity of premium principles. We analyze under which circumstances mean-value pńnciple and zero utility principle, both of them adjusted to the Cumulatiue Prospect Theory, are iteratiue. We also generalize these results under ambiguity theory by assuming that we do not have complete information on the distribution of risk.

Autorzy:

Marek Kałuszka, Instytut Matematyki, Politechnika Łódzka, ul. Wólczańska 215, 90-924 Łódź,

e-mail: [e-mail]

Michał Krzeszowiec, Instytut Matematyki, Politechnika Łódzka, ul. Wólczańska 215, 90-924 Łódź; Instytut Matematyczny Polskiej Akademii Nauk, ul. Śniadeckich 8, p.o. box 21, 00-956 Warszawa,

e-mail: [e-mail]