Comparative ambiguity aversion and downside ambiguity aversion

Yi-Chieh Huang, Larry Y. Tzeng and Lin Zhao ()

Insurance: Mathematics and Economics, 2015, vol. 62, issue C, 257-269

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.

Keywords: Ambiguity; Downside ambiguity; Comparative ambiguity aversion; Comparative downside ambiguity aversion; Effort (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:62:y:2015:i:c:p:257-269

DOI: 10.1016/j.insmatheco.2015.04.002

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