Risk pricing in a non-expected utility framework

DOI10.1016/j.ejor.2015.04.032zbMath1346.91047MaRDI QIDQ319904

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

zbMATH Keywords

risk analysis; certainty equivalent; non-expected utility; utility theory; risk pricing

Mathematics Subject Classification ID

91B06: Decision theory

91B16: Utility theory

Cites Work

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• Reference-dependent utility with shifting reference points and incomplete preferences
• The Midweight Method to Measure Attitudes Toward Risk and Ambiguity
• State of the Art—Utility Assessment Methods
• Risk measurement with equivalent utility principles
• On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences.