Giammarino, Flavia and Barrieu, Pauline (2011) Indifference pricing with uncertainty averse preferences. In: LSE Research Day 2011: The Early Career Researcher, 26 May 2011, London School of Economics and Political Science, London, UK. (Unpublished)
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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 |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Sets: | Departments > Statistics Collections > PhD poster exhibition materials 2011 |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/36326/ |
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