Indifference pricing with uncertainty averse preferences

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.

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Year of publication:	2011-05-02
Authors:	Giammarino, Flavia ; Barrieu, Pauline
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Indifference Pricing \| Uncertainty Aversion \| Risk Measures \| Quasiconvexity \| Cash-Subadditivity

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies ; C02 - Mathematical Methods ; D52 - Incomplete Markets ; D01 - Microeconomic Behavior: Underlying Principles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011261061