Library Header Image
LSE Research Online LSE Library Services

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, 2011-05-26. (Submitted)

Download (49kB) | Preview


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
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Date Deposited: 25 May 2011 09:10
Last Modified: 21 Aug 2021 23:25

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics