The price of risk with incomplete knowledge on the utility function

Theory and Decision 53 (3):271-287 (2002)
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
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DOI 10.1023/A:1022811800577
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