Comparative ambiguity aversion and downside ambiguity aversion
Journal
Insurance: Mathematics and Economics
Journal Volume
62
Pages
257-269
Date Issued
2015
Author(s)
Abstract
This paper first defines an increase in ambiguity and an increase in downside ambiguity. We then provide comparative criteria for ambiguity aversion and downside ambiguity aversion. Different from the finding that the comparative criterion for risk aversion is variant with the measure of the premium to reduce risks, we show that the criteria remain the same, whether the premiums to reduce ambiguity and downside ambiguity are measured by utility or money. Under the criteria, a more ambiguity-averse (downside-ambiguity-averse) individual is shown to spend more effort in reducing ambiguity (downside ambiguity) than a less ambiguity-averse (downside-ambiguity-averse) individual. ? 2015 Elsevier B.V.
Subjects
Ambiguity
Comparative ambiguity aversion
Comparative downside ambiguity aversion
Downside ambiguity
Effort
Type
journal article