The price of risk with incomplete knowledge on the utility function

Theory and Decision 53 (3):271-287 (2002)
Abstract
When a risk is exchanged, the exact value for the minimum price (positive or negative) that the purchaser (investor, or insurer) is willing to pay is given by the certainty equivalent wealth level, which in turn depends on his specific utility function. When this utility function is unknown, then only a sufficient condition on the price can ever be found. This paper provides methods for calculating such a sufficient condition, when only limited information on the utility function is known
Keywords Decision making under uncertainty  Insurance  Finance  Risk exchanges
Categories (categorize this paper)
Options
 Save to my reading list
Follow the author(s)
My bibliography
Export citation
Find it on Scholar
Edit this record
Mark as duplicate
Revision history Request removal from index
 
Download options
PhilPapers Archive


Upload a copy of this paper     Check publisher's policy on self-archival     Papers currently archived: 9,360
External links
  • Through your library Configure
    References found in this work BETA

    No references found.

    Citations of this work BETA

    No citations found.

    Similar books and articles
    Pietra Rivoli (1995). Ethical Aspects of Investor Behavior. Journal of Business Ethics 14 (4):265 - 277.
    Richard Pettigrew (2011). An Improper Introduction to Epistemic Utility Theory. In Henk de Regt, Samir Okasha & Stephan Hartmann (eds.), Proceedings of EPSA: Amsterdam '09. Springer. 287--301.
    Analytics

    Monthly downloads

    Sorry, there are not enough data points to plot this chart.

    Added to index

    2010-09-02

    Total downloads

    1 ( #306,343 of 1,089,154 )

    Recent downloads (6 months)

    1 ( #69,735 of 1,089,154 )

    How can I increase my downloads?

    My notes
    Sign in to use this feature


    Discussion
    Start a new thread
    Order:
    There  are no threads in this forum
    Nothing in this forum yet.