Increasing Uncertainty: A Definition

Simon Grant and John Quiggin

No WPR04_4, Risk & Uncertainty Working Papers from Risk and Sustainable Management Group, University of Queensland

Abstract: We present a definition of increasing uncertainty, in which an elementary increase in the uncertainty of any act corresponds to the addition of an `elementary bet' that increases consumption by a fixed amount in (relatively) `good' states and decreases consumption by a fixed (and possibly different) amount in (relatively) `bad' states. This definition naturally gives rise to a dual definition of comparative aversion to uncertainty. We characterize this definition for a popular class of generalized models of choice under uncertainty.

Keywords: uncertainty; ambiguity; risk; non-expected utility (search for similar items in EconPapers)
JEL-codes: C72 D81 (search for similar items in EconPapers)
Date: 2004-05
New Economics Papers: this item is included in nep-dcm and nep-rmg
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Related works:
Journal Article: Increasing uncertainty: a definition (2005)
Working Paper: Increasing Uncertainty: A Definition (2004)
Working Paper: Increasing Uncertainty: A Definition (2004)
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