De Vinci Pôle Universitaire and Université de Reims

This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty.
The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable
conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also
revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.