Giammarino, Flavia and Barrieu, Pauline (2011) Indifference pricing with uncertainty averse preferences. In: LSE Research Day 2011: The Early Career Researcher, 2011-05-26, London, United Kingdom. (Submitted)
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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 comparative uncertainty attitudes, and we obtain a characterization of increasing, decreasing, and constant uncertainty aversion in terms of cash-subadditive, cash-superadditive, and cash-additive quasiconvex risk measures.
| Item Type: | Conference or Workshop Item (Poster) |
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| Additional Information: | © 2011 Flavia Giammarino and Pauline Barrieu |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Date Deposited: | 25 May 2011 09:10 |
| Last Modified: | 15 Sep 2023 08:28 |
| URI: | http://eprints.lse.ac.uk/id/eprint/36326 |
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