Location of Repository

Indifference pricing with uncertainty averse preferences

By Flavia Giammarino and Pauline Barrieu

Abstract

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
OAI identifier: oai:eprints.lse.ac.uk:36326
Provided by: LSE Research Online

Suggested articles

Preview

Citations

  1. (2008). Complete Monotone Quasiconcave Duality. Carlo Alberto Notebook No. doi
  2. (2008). Uncertainty Averse Preferences. Carlo Alberto Notebook No. doi

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.