Comparative Ambiguity Aversion in Intertemporal Decisions

Jianli Wang and Jingyuan Li

Journal of Risk & Insurance, 2020, vol. 87, issue 1, 195-212

Abstract: This article examines the effects of ambiguity aversion on intertemporal decisions when there is ambiguity about a future state. Compared to the existing literature, we allow for a three‐way separation between intertemporal substitution, risk aversion, and ambiguity aversion. Holding risk preferences, beliefs, and time preferences fixed, we explore how a change in ambiguity aversion increases the strength of the current willingness to pay. We apply our results to saving, self‐protection, and self‐insurance problems.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:87:y:2020:i:1:p:195-212

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