Indifference pricing with uncertainty averse preferences

Flavia Giammarino and Pauline Barrieu

MPRA Paper from University Library of Munich, Germany

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)
JEL-codes: C02 D01 D52 D81 G22 (search for similar items in EconPapers)
Date: 2011-05-02, Revised 2012-03-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Indifference pricing with uncertainty averse preferences (2013)
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