Giammarino, Flavia and Barrieu, Pauline (2011): Indifference pricing with uncertainty averse preferences.

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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 attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing, decreasing, and constant uncertainty aversion.
Item Type:  MPRA Paper 

Original Title:  Indifference pricing with uncertainty averse preferences 
Language:  English 
Keywords:  Indifference Pricing; Uncertainty Aversion; Risk Measures; Quasiconvexity; CashSubadditivity 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G2  Financial Institutions and Services > G22  Insurance; Insurance Companies C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods D  Microeconomics > D5  General Equilibrium and Disequilibrium > D52  Incomplete Markets D  Microeconomics > D0  General > D01  Microeconomic Behavior: Underlying Principles 
Item ID:  40636 
Depositing User:  Flavia Giammarino 
Date Deposited:  14. Aug 2012 01:46 
Last Modified:  15. Feb 2013 23:02 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/40636 