Indifference pricing with uncertainty averse preferences

DOI10.1016/j.jmateco.2012.09.003zbMath1258.91073OpenAlexW1830166689MaRDI QIDQ1940387

Flavia Giammarino, Pauline Barrieu

Publication date: 6 March 2013

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/36326/1/Portrait_Giammari_A1.pdf

zbMATH Keywords

quasiconvexityrisk measuresuncertainty aversionindifference pricingcash-subadditivity

Mathematics Subject Classification ID

Individual preferences (91B08)

Related Items (1)

Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework

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