Indifference pricing with uncertainty averse preferences

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing, decreasing, and constant uncertainty aversion.

MoreLess

Year of publication:	2013
Authors:	Giammarino, Flavia ; Barrieu, Pauline
Published in:	Journal of Mathematical Economics. - Elsevier, ISSN 0304-4068. - Vol. 49.2013, 1, p. 22-27
Publisher:	Elsevier
Subject:	Indifference pricing \| Uncertainty aversion \| Risk measures \| Quasiconvexity \| Cash-subadditivity

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010608647