Munich Personal RePEc Archive

Indifference pricing with uncertainty averse preferences

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

[img]
Preview
PDF
MPRA_paper_40636.pdf

Download (177Kb) | Preview

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.