A note on pricing with risk aversion

We consider the pricing problem of a risk‐averse seller facing uncertain demand. Demand uncertainty stems from buyers’ valuations being privately observed. By imposing very mild restrictions on the distribution of buyers’ valuations (an increasing generalized failure rate distribution) and the Bernoulli utility function, we show that a risk‐averse seller will unambiguously post a lower price than a risk‐neutral counterpart.