A Note on Indifference Pricing with Dynamic Quasiconcave Preferences

In this paper we study the problem of indifference pricing in a discrete‐time setting where the decision‐maker's preferences are represented by a general monotone increasing and quasiconcave dynamic preference functional. We show that the indifference price is a dynamic convex risk measure and we introduce as an example the dynamic robust entropic risk measure

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Year of publication:	2015
Authors:	Giammarino, Flavia
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Präferenztheorie \| Theory of preferences \| Intertemporale Entscheidung \| Intertemporal choice \| Diskrete Entscheidung \| Discrete choice

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economic Notes, Vol. 44, Issue 3, pp. 437-448, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 25, 2014 erstellt
Classification:	C02 - Mathematical Methods ; D01 - Microeconomic Behavior: Underlying Principles ; D52 - Incomplete Markets ; G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013011503