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Indifference pricing with uncertainty averse preferences

By Flavia Giammarino and Pauline Barrieu


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 comparative uncertainty attitudes, and we obtain a characterization of increasing, decreasing, and constant uncertainty aversion in terms of cash-subadditive, cash-superadditive, and cash-additive quasiconvex risk measures

Topics: HA Statistics, HB Economic Theory
Year: 2011
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Provided by: LSE Research Online

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