# A method for determining risk aversion functions from uncertain market prices of risk

*Henryk Gzyl* () and
*Silvia Mayoral*

*Insurance: Mathematics and Economics*, 2010, vol. 47, issue 1, 84-89

**Abstract:**
In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.

**Keywords:** Distortion; function; Spectral; measures; Risk; aversion; function; Maximum; entropy; in; the; mean; Inverse; problems; for; noisy; data (search for similar items in EconPapers)

**Date:** 2010

**References:** View references in EconPapers View complete reference list from CitEc

**Citations:** View citations in EconPapers (2)

**Downloads:** (external link)

http://www.sciencedirect.com/science/article/pii/S0167-6687(10)00039-9

Full text for ScienceDirect subscribers only

**Related works:**

This item may be available elsewhere in EconPapers: Search for items with the same title.

**Export reference:** BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text

**Persistent link:** https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:1:p:84-89

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by *R. Kaas*, *Hansjoerg Albrecher*, *M. J. Goovaerts* and *E. S. W. Shiu*

More articles in Insurance: Mathematics and Economics from Elsevier

Bibliographic data for series maintained by Catherine Liu ().