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
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Citations: View citations in EconPapers (2)

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