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Risk pricing in a non-expected utility framework

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  • Geiger, Gebhard

Abstract

Risk prices are calculated as the certainty equivalents of risky assets, using a recently developed non-expected utility (non-EU) approach to quantitative risk assessment. The present formalism for the pricing of risk is computationally simple, realistic in the sense of behavioural economics and straightforward to apply in operational research and risk and decision analyses.

Suggested Citation

  • Geiger, Gebhard, 2015. "Risk pricing in a non-expected utility framework," European Journal of Operational Research, Elsevier, vol. 246(3), pages 944-948.
    • Handle: RePEc:eee:ejores:v:246:y:2015:i:3:p:944-948
    DOI: 10.1016/j.ejor.2015.04.032
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    References listed on IDEAS

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