Risk pricing in a non-expected utility framework

• A non-expected utility model of risk pricing is presented.
• Risk prices are calculated as the certainty equivalents of risky assets.
• Certainty equivalents are given simple, explicit algebraic representations.
• Certainty equivalents of risks with multi-attribute utilities can be calculated.

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.