On ambiguity apportionment

Christophe Courbage and Beatrice Rey ()
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Christophe Courbage: The Geneva Association, Geneva, Switzerland

No 1527, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: This paper investigates the notion of changes in ambiguity over loss probabilities in the smooth ambiguity model developed by Klibanoff, Marinacci and Mukerji (2005). Changes in ambiguity over loss probabilities are expressed through the specific concept of stochastic dominance of order n defined by Ekern (1980). We characterize conditions on the function capturing attitudes towards ambiguity under which an individual always considers one situation to be more ambiguous than another in a model of two states of nature. We propose an intuitive interpretation of the properties of this function in terms of preferences for harms disaggregation over probabilities, also labelled ambiguity apportionment.

Keywords: Smooth ambiguity aversion; more ambiguity; ambiguity apportionment; stochastic dominance (search for similar items in EconPapers)
JEL-codes: D81 H50 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-upt
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ftp://ftp.gate.cnrs.fr/RePEc/2015/1527.pdf (application/pdf)

Related works:
Journal Article: On ambiguity apportionment (2016)
Working Paper: On ambiguity apportionment (2016)
Working Paper: On ambiguity apportionment (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:1527

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