Indifference pricing with uncertainty averse preferences
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40636.
Date of creation: 02 May 2011
Date of revision: 09 Mar 2012
Indifference Pricing; Uncertainty Aversion; Risk Measures; Quasiconvexity; Cash-Subadditivity;
Other versions of this item:
- Giammarino, Flavia & Barrieu, Pauline, 2013. "Indifference pricing with uncertainty averse preferences," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 22-27.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
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