Risk pricing in a non-expected utility framework

Gebhard Geiger

doi:10.1016/j.ejor.2015.04.032

Risk pricing in a non-expected utility framework

Gebhard Geiger

Default

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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.

Original language	English
Pages (from-to)	944-948
Number of pages	5
Journal	European Journal of Operational Research
Volume	246
Issue number	3
DOIs	https://doi.org/10.1016/j.ejor.2015.04.032
State	Published - 1 Nov 2015

Keywords

Certainty equivalent
Non-expected utility
Risk analysis
Risk pricing
Utility theory

Access to Document

10.1016/j.ejor.2015.04.032

Cite this

@article{8da1b2e77e284f5a85f1aa628013d910,

title = "Risk pricing in a non-expected utility framework",

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.",

keywords = "Certainty equivalent, Non-expected utility, Risk analysis, Risk pricing, Utility theory",

author = "Gebhard Geiger",

note = "Publisher Copyright: {\textcopyright} 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.",

year = "2015",

month = nov,

day = "1",

doi = "10.1016/j.ejor.2015.04.032",

language = "English",

volume = "246",

pages = "944--948",

journal = "European Journal of Operational Research",

issn = "0377-2217",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Risk pricing in a non-expected utility framework

AU - Geiger, Gebhard

N1 - Publisher Copyright: © 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.

PY - 2015/11/1

Y1 - 2015/11/1

N2 - 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.

AB - 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.

KW - Certainty equivalent

KW - Non-expected utility

KW - Risk analysis

KW - Risk pricing

KW - Utility theory

UR - http://www.scopus.com/inward/record.url?scp=84932199615&partnerID=8YFLogxK

U2 - 10.1016/j.ejor.2015.04.032

DO - 10.1016/j.ejor.2015.04.032

M3 - Article

AN - SCOPUS:84932199615

SN - 0377-2217

VL - 246

SP - 944

EP - 948

JO - European Journal of Operational Research

JF - European Journal of Operational Research

IS - 3

ER -

Risk pricing in a non-expected utility framework

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this