Abstract (EN)

We consider a class of law invariant utilities which contains the RankDependent Expected Utility (RDU) and the cumulative prospect theory(CPT). We show that the computation of demand for a contingent claimwhen utilities are within that class, although not as simple as in theExpected Utility (EU) case, is still tractable. Specific attention is givento the RDU and to the CPT cases. Numerous examples are fully solved.