Risk pricing in a non-expected utility framework
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Publication:319904
DOI10.1016/J.EJOR.2015.04.032zbMATH Open1346.91047OpenAlexW2125474472MaRDI QIDQ319904FDOQ319904
Authors: Gebhard Geiger 
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.04.032
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Cites Work
- Cumulative prospect theory's functional menagerie
- A tractable method to measure utility and loss aversion under prospect theory
- Advances in prospect theory: cumulative representation of uncertainty
- State of the Art—Utility Assessment Methods
- Multi-attribute non-expected utility
- It is whether you win or lose: the importance of the overall probabilities of winning or losing in risky choice
- An axiomatic account of status quo-dependent non-expected utility: pragmatic constraints on rational choice under risk
- Lottery pricing under time pressure
- Reference-dependent utility with shifting reference points and incomplete preferences
- The Midweight Method to Measure Attitudes Toward Risk and Ambiguity
- Risk measurement with equivalent utility principles
- On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences.
- Range effects and lottery pricing
Cited In (10)
- The price of risk with incomplete knowledge on the utility function
- Modeling non-monotone risk aversion using SAHARA utility functions
- Housing risk and its influence on house price: an expected utility approach
- A method for determining risk aversion functions from uncertain market prices of risk
- Preferences with frames: A new utility specification that allows for the framing of risks
- Distributional analysis to model atypical behavior
- Comparing utility derivative premia under additive and multiplicative risks
- A note on utility based pricing and asymptotic risk diversification
- Option price without expected utility
- Price volatility and risk with non-separability of preferences
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