Risk pricing in a non-expected utility framework

DOI10.1016/J.EJOR.2015.04.032MaRDI QIDQ319904zbMATHOpenAlexFDO

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

zbMATH Keywords

risk analysisnon-expected utilityutility theorycertainty equivalentrisk pricing

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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Cites work

• A tractable method to measure utility and loss aversion under prospect theory
• Advances in prospect theory: cumulative representation of uncertainty
• An axiomatic account of status quo-dependent non-expected utility: pragmatic constraints on rational choice under risk
• Cumulative prospect theory's functional menagerie
• It is whether you win or lose: the importance of the overall probabilities of winning or losing in risky choice
• Lottery pricing under time pressure
• Multi-attribute non-expected utility
• On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences.
• Range effects and lottery pricing
• Reference-dependent utility with shifting reference points and incomplete preferences
• Risk measurement with equivalent utility principles
• State of the Art—Utility Assessment Methods
• The Midweight Method to Measure Attitudes Toward Risk and Ambiguity

Cited in

(10)

• Housing risk and its influence on house price: an expected utility approach
• Modeling non-monotone risk aversion using SAHARA utility functions
• Distributional analysis to model atypical behavior
• Price volatility and risk with non-separability of preferences
• Preferences with frames: A new utility specification that allows for the framing of risks
• The price of risk with incomplete knowledge on the utility function
• Comparing utility derivative premia under additive and multiplicative risks
• A method for determining risk aversion functions from uncertain market prices of risk
• A note on utility based pricing and asymptotic risk diversification
• Option price without expected utility

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