Indifference pricing with uncertainty averse preferences

Flavia Giammarino and Pauline Barrieu

Journal of Mathematical Economics, 2013, vol. 49, issue 1, 22-27

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 attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing, decreasing, and constant uncertainty aversion.

Keywords: Indifference pricing; Uncertainty aversion; Risk measures; Quasiconvexity; Cash-subadditivity (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Working Paper: Indifference pricing with uncertainty averse preferences (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:49:y:2013:i:1:p:22-27

DOI: 10.1016/j.jmateco.2012.09.003

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