In their pioneering works on prospect theory Kahneman and Tversky (1979, 1992) propose the ground-breaking idea that in making decisions under risk individuals evaluate asymmetrically losses and gains against to a personal reference point. According to the Kahneman and Tversky (1979) statement...

According to a revised definition of Samuelson, a risk-averse agent is called a coward whenever he refuse even a small portion of a risky gamble exhibiting a positive expected payoff. This property may cause the invalidation of some of the basic theorems of the insurance and finance theory. As...

Bid and ask prices tailored to the traders' risk-aversion and gain-propension are defined. Risk and gain premia are given by the Extended Gini indices, where the characteristic parameter captures the traders' perception of the under-performance and over-performance of the asset. Sufficient and...