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Indifference pricing with uncertainty averse preferences

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 (Unpublished)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)
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/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 25 May 2011 09:10
URL: http://eprints.lse.ac.uk/36326/

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