Indifference pricing with uncertainty averse preferences
Giammarino, Flavia; and Barrieu, Pauline
(2013)
Indifference pricing with uncertainty averse preferences
Journal of Mathematical Economics, 49 (1).
pp. 2-15.
ISSN 0304-4068
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.
| Item Type | Article |
|---|---|
| Keywords | indifference pricing,uncertainty aversion,risk measures,quasiconvexity,cash-subadditivity |
| Departments |
Statistics Centre for Analysis of Time Series |
| DOI | 10.1016/j.jmateco.2012.09.003 |
| Date Deposited | 15 Oct 2012 10:27 |
| URI | https://researchonline.lse.ac.uk/id/eprint/46753 |
ORCID: https://orcid.org/0000-0001-9473-263X