Psychological considerations suggest that the omission of rewards in humans comprises two effects: first, an allocentric effect triggering learning and behavioural changes potentially processed by dopaminergic neurons according to the prediction error theory; second, an egocentric effect representing the individual's emotional reaction, commonly called frustration. We investigated this second effect in the context of omission of monetary reward with functional magnetic resonance imaging. As expected, the contrast omission relative to receipt of reward led to a decrease in ventral striatal activation consistent with prediction error theory. Increased activation for this contrast was found in areas previously related to emotional pain: the right anterior insula and the right ventral prefrontal cortex. We interpreted this as a neural correlate of the egocentric effect.