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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, 2011-05-26, London, United Kingdom, GBR. (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)
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: 13 Sep 2024 14:08
URI: http://eprints.lse.ac.uk/id/eprint/36326

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